  Risk-neutral pricing dictates that the discounted derivative price is a
martingale in a measure equivalent to the economic measure. The residual
ambiguity for incomplete markets is here resolved by minimising the entropy of
the price measure from the economic measure, subject to mark-to-market
constraints, following arguments based on the optimisation of portfolio risk.
The approach accounts for market and funding convexities and incorporates
available price information, interpolating between methodologies based on
expectation and replication.

Mathematical Finance;Pricing of Securities