英文标题：
《Fair and profitable bilateral prices under funding costs and
collateralization》
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作者：
Tianyang Nie, Marek Rutkowski
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最新提交年份：
2014
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英文摘要：
Bielecki and Rutkowski (2014) introduced and studied a generic nonlinear market model, which includes several risky assets, multiple funding accounts and margin accounts. In this paper, we examine the pricing and hedging of contract both from the perspective of the hedger and the counterparty with arbitrary initial endowments. We derive inequalities for unilateral prices and we give the range for either fair bilateral prices or bilaterally profitable prices. We also study the monotonicity of a unilateral price with respect to the initial endowment. Our study hinges on results for BSDE driven by continuous martingales obtained in Nie and Rutkowski (2014), but we also derive the pricing PDEs for path-independent contingent claims of European style in a Markovian framework.
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中文摘要：
Bielecki和Rutkowski（2014）介绍并研究了一个通用的非线性市场模型，该模型包括多个风险资产、多个融资账户和保证金账户。在本文中，我们从套期保值者和具有任意初始禀赋的交易对手的角度来研究合同的定价和套期保值。我们推导了单边价格的不平等性，并给出了公平双边价格或双边盈利价格的范围。我们还研究了单边价格相对于初始禀赋的单调性。我们的研究依赖于Nie和Rutkowski（2014）中获得的连续鞅驱动的BSDE结果，但我们也在马尔可夫框架中推导了欧式路径无关未定权益的定价偏微分方程。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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