Abstract
Arbitrage-free pricing of derivatives in nonlinear market models
by
Tomasz Bielecki
The main objective of this talk is to present a novel approach to study of 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 existing literature on nonlinear pricing approach developed.
Committee
Workshop
Key Dates
Communication
First Conference Link
Second Conference Link