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A BSDE approach to fair bilateral pricing under endogenous collateralization
Nie, Tianyang; Rutkowski, Marek - In: Finance and stochastics 20 (2016) 4, pp. 855-900
Persistent link: https://www.econbiz.de/10011569868
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Continuous-time term structure models : forward measure approach
Musiela, Marek - In: Finance and stochastics 1 (1997) 4, pp. 261-291
Persistent link: https://www.econbiz.de/10001226612
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Arbitrage-free pricing of multi-person game claims in discrete time
Guo, Ivan; Rutkowski, Marek - In: Finance and stochastics 21 (2017) 1, pp. 111-155
Persistent link: https://www.econbiz.de/10011944066
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Hedging of a credit default swaption in the CIR default intensity model
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek - In: Finance and stochastics 15 (2011) 3, pp. 541-572
Persistent link: https://www.econbiz.de/10009303111
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Hedging of a credit default swaption in the CIR default intensity model
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek - In: Finance and stochastics 15 (2011) 3, pp. 541-573
Persistent link: https://www.econbiz.de/10009262458