Derivatives Pricing in Nonlinear Models
Presenter
June 14, 2018
Keywords:
- nonlinear pricing, cash-flow adjustments, no-arbitrage, BSDEs
Abstract
The main objective of the presented work is to 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 previously in the literature.