Ziyu Zheng [in-person]

Title: Discounting Game

Abstract: We provide a ``model-free" derivative pricing theory as a competitive discounting game. We show derivatives have unique market-implied seller prices without non-arbitrage condition or unique riskless rate, that can be considered as cash-flow discounted with a market-implied Libor. We show entity-specific funding valuation adjustment (FVA) does not exist in price and the overnight indexed swap (OIS) discounting needs to be adjusted to fund hedges. We show there are market-implied bid-ask spreads and put call parity arbitrage that compensate dealers for market

Join Zoom Meeting:
https://usc.zoom.us/j/94973619069?pwd=VnU5bVlMc1pzVTlEYUVaZUYyNSt6UT09

Meeting ID: 949 7361 9069
Passcode: 925028