The following pages link to Marek Rutkowski (Q196873):
Displaying 50 items.
- A BSDE approach to fair bilateral pricing under endogenous collateralization (Q331356) (← links)
- Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection (Q402722) (← links)
- Random times and multiplicative systems (Q424521) (← links)
- Hedging of a credit default swaption in the CIR default intensity model (Q483934) (← links)
- Arbitrage-free pricing of multi-person game claims in discrete time (Q503392) (← links)
- A simple proof for the Kalman-Bucy smoothed estimate formula (Q689529) (← links)
- Martingale methods in financial modelling. (Q703592) (← links)
- Discrete time stochastic multi-player competitive games with affine payoffs (Q898397) (← links)
- Stochastic differential equations with singular drift (Q923498) (← links)
- Defaultable game options in a hazard process model (Q1039923) (← links)
- (Q1122219) (redirect page) (← links)
- On solutions of stochastic differential equations with drift (Q1122220) (← links)
- Optimal linear filtering and smoothing for a discrete-time stable linear model (Q1333192) (← links)
- Left and right linear innovations for a multivariate \(\text{S} \alpha \text{S}\) random variable (Q1347176) (← links)
- Continuous-time term structure models: Forward measure approach (Q1376237) (← links)
- Funding, repo and credit inclusive valuation as modified option pricing (Q1728382) (← links)
- American options in nonlinear markets (Q2042845) (← links)
- Arbitrage-free pricing of derivatives in nonlinear market models (Q2296111) (← links)
- Pricing and trading credit default swaps in a hazard process model (Q2378639) (← links)
- Integral representations of martingales for progressive enlargements of filtrations (Q2419970) (← links)
- Progressive enlargements of filtrations with pseudo-honest times (Q2511557) (← links)
- Strong comparison of solutions of one-dimensional stochastic differential equations (Q2639424) (← links)
- Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales (Q2671650) (← links)
- Multiple ratings model of defaultable term structure. (Q2707138) (← links)
- Self-financing trading strategies for sliding, rolling-horizon, and consol bonds (Q2757309) (← links)
- A note on the Flesaker-Hughston model of the term structure of interest rates. (Q2760398) (← links)
- Modelling of forward Libor and swap rates (Q2771111) (← links)
- Credit risk modelling: intensity based approach (Q2771112) (← links)
- Default risk and hazard process. (Q2782358) (← links)
- Convertible Bonds in a Defaultable Diffusion Model (Q2909987) (← links)
- Market Models of Forward CDS Spreads (Q2909992) (← links)
- Admissibility of generic market models of forward swap rates (Q2927948) (← links)
- Valuation and Hedging of Contracts with Funding Costs and Collateralization (Q2941474) (← links)
- REGULATORY CAPITAL MODELING FOR CREDIT RISK (Q2947348) (← links)
- Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives (Q3000885) (← links)
- DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK (Q3005840) (← links)
- (Q3126060) (← links)
- (Q3158097) (← links)
- (Q3160495) (← links)
- (Q3160496) (← links)
- BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs (Q3178727) (← links)
- Discrete-Time Multi-Player Stopping and Quitting Games with Redistribution of Payoffs (Q3195067) (← links)
- (Q3339055) (← links)
- Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices (Q3424144) (← links)
- FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION (Q3460683) (← links)
- PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES (Q3503044) (← links)
- (Q3511641) (← links)
- Static Replication of Forward-Start Claims and Realized Variance Swaps (Q3565101) (← links)
- Arbitrage pricing of defaultable game options with applications to convertible bonds (Q3605239) (← links)
- VALUATION OF CREDIT DEFAULT SWAPTIONS AND CREDIT DEFAULT INDEX SWAPTIONS (Q3655556) (← links)
