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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

Fair bilateral pricing under funding costs and exogenous collateralization

Nie, Tianyang; Rutkowski, Marek - In: Mathematical finance : an international journal of … 28 (2018) 2, pp. 621-655

Persistent link: https://www.econbiz.de/10011969093

Fair bilateral prices in Bergman’s model with exogenous collateralization

Nie, Tianyang; Rutkowski, Marek - In: International journal of theoretical and applied finance 18 (2015) 7, pp. 1-26

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Maximum principle for general partial information nonzero sum stochastic differential games and applications

Nie, Tianyang; Wang, Falei; Yu, Zhiyong - In: Dynamic games and applications : DGA 12 (2022) 2, pp. 608-631

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A note on the Flesaker-Hughston model of the term structure of interest rates

Rutkowski, Marek - In: Applied mathematical finance 4 (1997) 3, pp. 151-163

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The early exercise premium representation of foreign market American options

Rutkowski, Marek - In: Mathematical finance : an international journal of … 4 (1994) 4, pp. 313-325

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Self-financing trading strategies for sliding, rolling-horizon, and consol bonds

Rutkowski, Marek - In: Mathematical finance : an international journal of … 9 (1999) 3, pp. 361-385

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Models of forward Libor and swap rates

Rutkowski, Marek - In: Applied mathematical finance 6 (1999) 1, pp. 29-60

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Continuous-Time Term Structure Models

Musiela, Marek; Rutkowski, Marek - Sonderforschungsbereich Information und die … - 1996

The problem of term structure of interest rates modelling is considered in a continuous-time framework. The emphasis is on the bond prices, forward bond prices or LIBOR rates, rather than on the instantaneous rates as in the traditional models. Forward and spot probability measures are...

Persistent link: https://www.econbiz.de/10009138378

Continuous-Time Term Structure Models

Musiela, Marek; Rutkowski, Marek - University of Bonn, Germany - 1996

pagehe problem of term structure of interest rates modelling is considered in a continuous-time framework. The emphasis is on the bond prices, forward bond prices or LIBOR rates, rather than on the instantaneous rates as in the traditional models. Forward and spot probability measures are...

Persistent link: https://www.econbiz.de/10005085674