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ρ-consistent pricing

The aim of this talk is to provide as explicit as possible the set of rational prices for a financial contract that lives outside a given market. Rationality is determined through the absence of ρ-arbitrage where ρ is a convex risk measure. More precisely we replace the term "no-arbitrage" in classical mathematical finance with "no-ρ-arbitrage". The model we consider is static and frictionless, and the obtained price bounds can be sharp enough to be useful in the practice of pricing.