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Itô Calculus without Probability in Idealized Financial Markets*
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Itô Calculus without Probability in Idealized Financial Markets* (2015)Itô Calculus without Probability in Ideal…Local times for typical price paths and pathwise Tanaka formulas (2015)Local times for typical price…Continuous-time trading and the emergence of probability (2012)Continuous-time trading and t…Stochastic Finance (2011)Stochastic FinanceChange of variable formulas for non-anticipative functionals on path space (2010)Change of variable formulas f…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Probability and Finance: It's Only a Game! (2001)Probability and Finance: It's…Probability and Finance (2001)Probability and FinanceMargin Requirements, Margin Loans, and Margin Rates: Practice and Principles (2000)Margin Requirements, Margin L…Calcul d'ito sans probabilites (1981)Calcul d'ito sans probabilitesThe Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)Stock market liquidity and macro-liquidity shocks: Evidence from the 2007–2009 financial crisis (2014)Technical market indicators: An overview (2014)Funding liquidity, market liquidity and TED spread: A two-regime model (2017)Convergence en loi des suites d'intégrales stochastiques sur l'espace $$\mathbb{D}$$ 1 de Skorokhod (1989)Un Cours sur les Intégrales Stochastiques (2002)Ambiguous Volatility and Asset Pricing in Continuous Time (2013)Functional Itô calculus and stochastic integral representation of martingales (2013)Brownian Motion and Stochastic Calculus. (1989)Differential equations driven by rough signals (1998)Brownian Motion and Stochastic Calculus (2007)Quadratic variation and quadratic roughness (2022)Stochastic Analysis (1997)Limit Theorems for Stochastic Processes (2003)Stochastic Integration and Differential Equations (2005)BSDE, path-dependent PDE and nonlinear Feynman-Kac formula (2015)Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations (2015)A martingale approach for fractional Brownian motions and related path dependent PDEs (2019)Continuous Martingales and Brownian Motion (1999)Pathwise stochastic integrals for model free finance (2016)Pathwise stochastic calculus with local times (2018)Robust pricing–hedging dualities in continuous time (2018)Generalized deviations in risk analysis (2005)Utility maximization in incomplete markets (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Competitive On‐line Statistics (2001)Calibration with Many Checking Rules (2003)Probability, Causality and the Empirical World: A Bayes–de Finetti–Popper– Borel Synthesis (2004)OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (2011)COHERENCE AND ELICITABILITY (2014)Risk management with expectiles (2015)Representation, Propagation, and Decision Issues in Risk Analysis Under Incomplete Probabilistic Information (2010)History of the Efficient Market Hypothesis (2012)
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References

  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2011Stochastic Finance424 cited
  • 2001Probability and Finance: It's Only a Game!286 cited
  • 1981Calcul d'ito sans probabilites247 cited
  • 2001Probability and Finance220 cited
  • 2010Change of variable formulas for non-anticipative functionals on path space172 cited
  • 2012Continuous-time trading and the emergence of probability64 cited
  • 2000Margin Requirements, Margin Loans, and Margin Rates: Practice and Principles56 cited
  • 2015Local times for typical price paths and pathwise Tanaka formulas28 cited

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