Before revision:  In particular this allows us to assess model misspecification, generalising the so-called fundamental theorem of derivative trading (see Ellersgaard et al. 2017). Our pathwise integrals and equations exhibit the role of Greeks beyond the leading-order Delta, and makes explicit the role of Gamma sensitivities .
After revision:  In particular this allows us to assess model misspecification, generalising the so-called fundamental theorem of derivative trading , showing that a small misspecification of the model will yield only a small excess profit or loss of the replication strategy. Our hedging strategy is an enhanced version of classical delta hedging where we use volatility swaps to hedge the second order terms arising in rough-path integrals, resulting in improved robustness .