英文标题：
《A Second Look at Post Crisis Pricing of Derivatives - Part I: A Note on
Money Accounts and Collateral》
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作者：
Hovik Tumasyan
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最新提交年份：
2018
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英文摘要：
The paper reviews origins of the approach to pricing derivatives post-crisis by following three papers that have received wide acceptance from practitioners as the theoretical foundations for it - [Piterbarg 2010], [Burgard and Kjaer 2010] and [Burgard and Kjaer 2013]. The review reveals several conceptual and technical inconsistencies with the approaches taken in these papers. In particular, a key component of the approach - prescription of cost components to a risk-free money account, generates derivative prices that are not cleared by the markets that trade the derivative and its underlying securities. It also introduces several risk-free positions (accounts) that accrue at persistently non-zero spreads with respect to each other and the risk free rate. In the case of derivatives with counterparty default risk [Burgard and Kjaer 2013] introduces an approach referred to as semi-replication, which through the choice of cost components in the money account results in derivative prices that carry arbitrage opportunities in the form of holding portfolio of counterparty\'s bonds versus a derivative position with it. This paper derives no-arbitrage expressions for default-risky derivative contracts with and without collateral, avoiding these inconsistencies.
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中文摘要：
本文通过以下三篇论文回顾了危机后衍生产品定价方法的起源，这三篇论文已得到从业者的广泛认可，作为其理论基椽—【Piterbarg 2010】、【Burgard and Kjaer 2010】和【Burgard and Kjaer 2013】。审查揭示了与这些文件中所采用的方法在概念和技术上的一些不一致之处。特别是，该方法的一个关键组成部分——对无风险货币账户的成本组成进行规定——产生的衍生产品价格未经交易该衍生产品及其基础证券的市场清算。它还引入了几个无风险头寸（账户），这些头寸（账户）之间的息差和无风险利率持续非零。对于具有交易对手违约风险的衍生品【Burgard和Kjaer，2013年】引入了一种称为半复制的方法，这种方法通过选择货币账户中的成本组成，产生了衍生品价格，这种价格带来了套利机会，其形式是持有交易对手债券的组合，而不是持有交易对手债券的衍生品头寸。本文推导了有无抵押品的违约风险衍生品合约的无套利表达式，避免了这些不一致性。
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分类信息：

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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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：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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