no code implementations • 24 Jun 2022 • Carole Bernard, Stephan Sturm
We show how the problem can be extended to incomplete markets and that the main results from the theory of complete markets still hold in adapted form.
no code implementations • 6 Nov 2020 • Weijie Pang, Stephan Sturm
Before the 2008 financial crisis, most research in financial mathematics focused on pricing options without considering the effects of counterparties' defaults, illiquidity problems, and the role of the sale and repurchase agreement (Repo) market.
no code implementations • 14 Aug 2018 • Maxim Bichuch, Agostino Capponi, Stephan Sturm
We introduce an arbitrage-free framework for robust valuation adjustments.
