Towards a probability-free theory of continuous martingales

Abstract: Without probability theory, we define classes of supermartingales, martingales, and semimartingales in idealized financial markets with continuous price paths. This allows us to establish probability-free versions of a number of standard results in martingale theory, including the Dubins-Schwarz theorem, the Girsanov theorem, and results concerning the It^o integral. We also establish the existence of an equity premium and a CAPM relationship in this probability-free setting.