Markets are modeled as a counterparty accepting at zero cost a set of cash flows that are closed under addition, scaling and contain the nonnegative cash flows. Formulas are then provided for bid and ask prices in terms of this marketed cone. Additionally closed forms are obtained when...

Markets are modeled as passively accepting a convex cone of cash flows that contain the nonnegative cash flows. Different markets are modeled using different cones that reflect the clientele of the market. Conditions are established to exclude the possibility of arbitrage between markets....

Single period risks acceptable to the market at zero cost are modeled by a convex set of random variables leading to bid and ask prices that are trade size dependent. The theory of nonlinear expectations is employed to construct dynamically consistent sequences of bid and ask unit size prices...

Postulating additivity of bid and ask prices for claims comonotone with a long or short stock position, two pricing processes are identified from data on bid and ask prices for options. It is observed that there are two separate put call parity relations in place, with the ask price for call...

Observing that pure discount projection curves are now based on a variety of tenors leads us to enquire into the possibility of theoretically deriving tenor specific zero coupon bond prices. The question then also arises on how to construct tenor specific prices for all financial contracts....

The concept of the gamma of a financed return as the highest level of stress that a return distribution can withstand is introduced. Stress is measured by positive expectation under a concave distortion of the return distribution accessed. Four distortions introduced in Cherny and Madan (2008)...