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 tra...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 sev-eral 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).展开更多
In this work we give a comprehensive overview of the time consistency property of dynamic risk and performance measures,focusing on a the discrete time setup.The two key operational concepts used throughout are the no...In this work we give a comprehensive overview of the time consistency property of dynamic risk and performance measures,focusing on a the discrete time setup.The two key operational concepts used throughout are the notion of the LMmeasure and the notion of the update rule that,we believe,are the key tools for studying time consistency in a unified framework.展开更多
文摘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 sev-eral 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).
基金Tomasz R.Bielecki and Igor Cialenco acknowledge support from the NSF grant DMS-1211256.Part of the research was performed while Igor Cialenco was visiting the Institute for Pure and Applied Mathematics(IPAM),which is supported by the National Science Foundation.Marcin Pitera acknowledges the support by Project operated within the Foundation for Polish Science IPP Programme“Geometry and Topology in Physical Model”co-financed by the EU European Regional Development Fund,Operational Program Innovative Economy 2007–2013.
文摘In this work we give a comprehensive overview of the time consistency property of dynamic risk and performance measures,focusing on a the discrete time setup.The two key operational concepts used throughout are the notion of the LMmeasure and the notion of the update rule that,we believe,are the key tools for studying time consistency in a unified framework.
