英文标题：
《Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models》
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作者：
Tomasz R. Bielecki, Igor Cialenco and Marek Rutkowski
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最新提交年份：
2018
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英文摘要：
The objective of this paper is to provide a comprehensive 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 in El Karoui and Quenez (1997) and El Karoui et al. (1997), which was subsequently continued in Bielecki and Rutkowski (2015).
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中文摘要：
本文的目的是全面研究金融衍生品无套利定价中存在的融资成本、交易对手信用风险和市场摩擦对交易机制的影响，如担保和资本要求。为了实现我们的目标，我们在几个方面扩展了El Karoui和Quenez（1997）和El Karoui et al.（1997）中开发的非线性定价方法，随后在Bielecki和Rutkowski（2015）中继续使用。
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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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