The objective of this paper is to provide a comprehensive study of the 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).
展开▼
机译：本文的目的是对存在融资成本，交易对手信用风险和影响交易机制（例如抵押品和资本要求）的市场摩擦的情况下金融衍生品的无套利定价进行全面研究。为了实现我们的目标，我们在（El Karoui and Quenez 1997）和（El Karoui et al。1997）中发展了非线性定价方法，随后又在（Bielecki and Rutkowski 2015）中继续使用。
展开▼
