Derivatives Pricing in Nonlinear Models

Thursday, June 14, 2018 - 10:00am - 10:50am
Lind 305
Tom Bielecki (Illinois Institute of Technology)
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.