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UID:690713d4cbce073a304ecbb930acfcc3
DTSTAMP:20260307T152608Z
SUMMARY:Henry Chiu: A model-free approach to continuous-time finance
DESCRIPTION:We present a non-probabilistic\, pathwise approach to continuou
 s-time finance based on causal functional calculus. We introduce a definit
 ion of self-financing\, free from any integration concept and show that th
 e value of a self-financing portfolio is a pathwise integral (every self-f
 inancing strategy is \\emph{always} a gradient!) and that generic domain o
 f functional calculus is inherently arbitrage-free. We then consider the p
 roblem of hedging a path-dependent payoff across a generic set of scenario
 s. We apply the transition principle of Isaacs in optimal control and obta
 in a verification theorem for the solution\, which is characterised by a (
 fully non-linear) path-dependent equation. For the Asian option\, we obtai
 n explicit solution.
URL:https://www.imperial.ac.uk/events/154157/henry-chiu-tbd/
DTSTART;TZID=Europe/London:20221101T133000
DTEND;TZID=Europe/London:20221101T143000
LOCATION:G03\, Weeks Hall\, South Kensington Campus\, Imperial College Lond
 on\, London\, SW7 2AZ\, United Kingdom
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