numerraire portfolio, as reference unit. The proposed concept of benchmarked risk minimization generalizes classical risk … integrability of contingent claims and the existence of an equivalent risk neutral probability measure. The proposed concept of … benchmarked risk minimization avoids these restrictive assumptions. It employs the real world probability measure as pricing …

This paper derives a unified framework for portfolio optimization, derivative pricing, financial modeling and risk … discounted GOP. Risk neutral derivative pricing and actuarial pricing are generalized by the fair pricing concept, which uses the … GOP as numeraire and the real world probability measure as pricing measure. An equivalent risk neutral martingale measure …

This paper makes use of an integrated benchmark modelling framework that allows us to model credit risk. We demonstrate …

units of the benchmark, are local martingales. In general, an equivalent risk neutral martingale measure need not exist in … prices under the real world probability measure. This concept of fair pricing generalizes classical risk neutral pricing. The … pricing under incompleteness is modeled by the choice of the market prices for risk. The hedging is performed under …