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BDG inequalities and their applications for model-free continuous price paths with instant enforcement
Rafał M. Łochowski
martingales / measure theoryResource overview

BDG inequalities and their applications for model-free continuous price paths with instant enforcement

Paper2021

by Rafał M. Łochowski

Tags
martingalesmeasure theorystochastic calculusstochastic processes

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Suggested foundations for stochastic processes and pricing. Specialist prerequisites vary by paper.

Before you read

  1. Conditional Expectation

    Understand what it means to condition on current information.

  2. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

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  1. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

  2. Simulating SDEs

    Translate continuous dynamics into a numerical experiment.

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