Arbitrage-free pricing of derivatives in nonlinear market models
From MaRDI portal
Publication:2296111
Abstract: The objective of this paper is to provide a comprehensive study 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).
Recommendations
- Pricing derivatives with counterparty risk and collateralization: a fixed point approach
- Bilateral counterparty risk under funding constraints. I: Pricing
- Arbitrage theory for non convex financial market models
- Bergman, Piterbarg, and beyond: pricing derivatives under collateralization and differential rates
- Fair bilateral pricing under funding costs and exogenous collateralization
Cites work
- A BSDE approach to fair bilateral pricing under endogenous collateralization
- A note on the condition of no unbounded profit with bounded risk
- Arbitrage-free XVA
- Backward Stochastic Differential Equations Driven By Càdlàg Martingales
- Backward Stochastic Differential Equations in Finance
- Bilateral counterparty risk under funding constraints. I: Pricing
- Bilateral counterparty risk under funding constraints. II: CVA
- BSDEs driven by multidimensional martingales and their applications to markets with funding costs
- BSDEs with jumps, optimization and applications to dynamic risk measures
- BSE's, BSDE's and fixed-point problems
- Contingent claim valuation in a market with different interest rates
- Counterparty risk and funding. A tale of two puzzles. With an introductory dialogue by Damiano Brigo
- Counterparty risk and funding: immersion and beyond
- Credit, funding, margin, and capital valuation adjustments for bilateral portfolios
- Derivative pricing under asymmetric and imperfect collateralization and CVA
- Fair bilateral prices in Bergman's model with exogenous collateralization
- Fair bilateral pricing under funding costs and exogenous collateralization
- Funding, repo and credit inclusive valuation as modified option pricing
- Game options in an imperfect market with default
- Hedging American contingent claims with constrained portfolios
- scientific article; zbMATH DE number 2130502 (Why is no real title available?)
- scientific article; zbMATH DE number 1066313 (Why is no real title available?)
- scientific article; zbMATH DE number 1066453 (Why is no real title available?)
- Invariance times
- Market viability via absence of arbitrage of the first kind
- Model-independent superhedging under portfolio constraints
- No arbitrage in discrete time under portfolio constraints.
- On the pricing of contingent claims under constraints
- Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices
- The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
- The mathematics of arbitrage
- The numéraire portfolio in semimartingale financial models
- Valuation and hedging of contracts with funding costs and collateralization
- Weak and strong no-arbitrage conditions for continuous financial markets
- XVA analysis from the balance sheet
Cited in
(21)- Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models
- Weak time-derivatives and no-arbitrage pricing
- American options in nonlinear markets
- Affine processes under parameter uncertainty
- Arbitrage pricing in non-Walrasian financial markets
- Arbitrage theory for non convex financial market models
- Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales
- Valuation and hedging of contracts with funding costs and collateralization
- scientific article; zbMATH DE number 1867107 (Why is no real title available?)
- A risk-sharing framework of bilateral contracts
- Cross Currency Valuation and Hedging in the Multiple Curve Framework
- A unified approach to xVA with CSA discounting and initial margin
- PRICING DERIVATIVES IN HERMITE MARKETS
- scientific article; zbMATH DE number 6444283 (Why is no real title available?)
- Binary funding impacts in derivative valuation
- The no-arbitrage pricing of non-traded assets
- Notes on backward stochastic differential equations for computing XVA
- Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives
- Affine models with path-dependence under parameter uncertainty and their application in finance
- Pricing and hedging of SOFR derivatives
- Cross-currency basis swaps referencing backward-looking rates
This page was built for publication: Arbitrage-free pricing of derivatives in nonlinear market models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2296111)
