Arbitrage-free pricing of derivatives in nonlinear market models

Tomasz Bielecki , Igor Cialenco , Marek Rutkowski

Abstract

The objective of this paper is to provide a comprehensive study of the no-arbitrage pricing of financial derivatives in the presence of funding costs, the counterparty credit risk and market frictions affecting the trading mechanism, such as collateralization and capital requirements. To achieve our goals, we extend in several respects the nonlinear pricing approach developed in (El Karoui and Quenez 1997) and (El Karoui et al. 1997), which was subsequently continued in (Bielecki and Rutkowski 2015).
Author Tomasz Bielecki
Tomasz Bielecki,,
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, Igor Cialenco
Igor Cialenco,,
-
, Marek Rutkowski (FMIS / DSPFM)
Marek Rutkowski,,
- Department of Stochastic Processes and Financial Mathematics
Journal seriesProbability, Uncertainty and Quantitative Risk, ISSN 2367-0126, (0 pkt)
Issue year2018
Vol3
No1
Pages1-56
Publication size in sheets2.75
Keywords in Polishzabezpieczenie, cena bezarbitrażowa, kolateralizacja, rynek nieliniowy
Keywords in EnglishArbitrage, Hedging, Fair price, Funding cost, Margin agreement, Market friction, BSDE
Abstract in PolishCelem pracy było opracowanie bezarbitrażowej wyceny finansowych instrumentów pochodnych w modelu rynku finansowego uwzględniającym koszty zabezpieczenia, ryzyko kredytowe, kolateralizacje oraz kapitał regulacyjny. Uogólniona została nieliniowa metoda wyceny finansowych instrumentów pochodnych zaproponowana w pracach El Karoui i Quenez (1997), El Karoui i in. (1997) oraz Bieleckiego i Rutkowskiego (2015).
DOIDOI:10.1186/s41546-018-0027-x
URL https://link.springer.com/article/10.1186/s41546-018-0027-x
Languageen angielski
Score (nominal)5
Score sourcejournalList
ScoreMinisterial score = 5.0, 20-10-2019, ArticleFromJournal
Publication indicators WoS Citations = 1
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