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Static replication of forward-start claims and realized variance swaps

Baldeaux, Jan; Rutkowski, Marek - In: Applied mathematical finance 17 (2010) 1/2, pp. 99-131

Persistent link: https://www.econbiz.de/10003975324

PDE approach to the valuation and hedging of basket credit derivatives

Rutkowski, Marek; Yousiph, Khan - In: International journal of theoretical and applied finance 10 (2007) 8, pp. 1261-1285

Persistent link: https://www.econbiz.de/10003632076

Valuation of basket credit derivatives in the credit migrations environment

Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique - In: Financial engineering, (pp. 471-507). 2008

Persistent link: https://www.econbiz.de/10003567710

Admissibility of generic market models of forward swap rates

Li, Libo; Rutkowski, Marek - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 728-761

Persistent link: https://www.econbiz.de/10011308170

Constructing random times with given survival processes and applications to valuation of credit derivatives

Gapeev, Pavel V.; Jeanblanc, Monique; Li, Libo; … - In: Contemporary quantitative finance : essays in honour of …, (pp. 255-280). 2010

Persistent link: https://www.econbiz.de/10008749243

Modeling and valuation of credit risk

Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek - In: Stochastic methods in finance : lectures given at the …, (pp. 27-126). 2004

Persistent link: https://www.econbiz.de/10002526431

Valuation and hedging of contingent claims in the HJM model with deterministic volatilities

Rutkowski, Marek - In: Applied mathematical finance 3 (1996) 3, pp. 237-267

Persistent link: https://www.econbiz.de/10001217776

Funding, repo and credit inclusive valuation as modified option pricing

Brigo, Damiano; Buescu, C.; Rutkowski, Marek - In: Operations research letters 45 (2017) 6, pp. 665-670

Persistent link: https://www.econbiz.de/10011783094

Valuation of Credit Default Swaptions and Credit Default Index Swaptions

Rutkowski, Marek - 2010

The paper provides simple and rigorous, albeit fairly general, derivations of valuation formulae for credit default swaptions and credit default index swaptions. Results of this work cover as special cases the pricing formulae derived previously by Jamshidian [Finance and Stochastics 8 (2004)...

Persistent link: https://www.econbiz.de/10013150069

Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization

Rutkowski, Marek; Bickersteth, Matthew - 2022

Since the 1970s, the LIBOR has served as a fundamental measure for floating term rates across multiple currencies and maturities. Loans and many derivative securities, including swaps, caps and swaptions, still rely on LIBOR as the reference forward-looking term rate. However, in 2017 the...

Persistent link: https://www.econbiz.de/10013309778