Arbitrage-Free Pricing in Nonlinear Market Models


We proposed a nonlinear arbitrage-free pricing theory, which arises in a natural way when accounting for salient features of real-world trades such as: trading constraints, differential funding costs, collateralization,... [ view full abstract ]


  1. Tomasz Bielecki (Illinois Institute of Technology)
  2. Igor Cialenco (Illinois Institute of Technology)
  3. Marek Rutkowski (University of Sydney)

Topic Areas

Arbitrage Theory , Backward Stochastic Differential Equations , CVA-XVA Models


TU-A-BU » Arbitrage Theory (11:30 - Tuesday, 17th July, Burke Theater)

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