We introduce and discuss a general criterion for the derivative pricing in the general situation of incomplete markets, we refer to it as the No Almost Sure Arbitrage Principle. This approach is based on the theory of optimal strategy in repeated multiplicative games originally introduced by...

We introduce a criterion how to price derivatives in incomplete markets, which is based on the theory of optimal strategies in repeated multiplicative games. Arguments are presented why such growth-optimal strategies should be relevant to the problem of pricing derivatives. Under the assumptions...

We introduce a criterion how to price derivatives in incomplete markets, based on the theory of growth optimal strategy in repeated multiplicative games. We present reasons why these growth-optimal strategies should be particularly relevant to the problem of pricing derivatives. We compare our...

How to model the dependence between defaults in a portfolio subject to credit risk is a question of great importance. The infectious default model of Davis and Lo offers a way to model the dependence. Every company defaulting in this model may 'infect' another company causing it to default. An...

In this paper we present a method for calculating the entire hedge surface of a derivative who’s future underlying asset has been simulated by a market simulator for example with the Monte Carlo method. Our method is built from work on penalized filtering techniques and is applied on a grid of...

American Monte Carlo is a solution to the puzzle of calculating the value of derivatives with the right to an early exercise, when using Monte Carlo simulation. One of the technique uses regression of some suitable basis functions, which is a bit arbitrary, and could if made wrong render in...

We introduce a criterion how to price derivatives in incomplete markets, based on the theory of growth optimal strategy in repeated multiplicative games. We present reasons why these growth-optimal strategies should be particularly relevant to the problem of pricing derivatives. Under the...