Statistical Methods in Finance 2017

Dec 16 - 19, 2017


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.