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Markov chain
Theorie
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20
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18
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13
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Bielecki, Tomasz R.
10
Crépey, Stéphane
4
Herbertsson, Alexander
3
Hernández-Hernández, Daniel
3
Jeanblanc, Monique
3
Rutkowski, Marek
3
Cialenco, Igor
2
Cousin, Areski
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Bielecki, Thomas
1
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1
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1
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1
Feng, Shibi
1
Pliska, Stanley R.
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International journal of theoretical and applied finance
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Mathematical methods of operations research
2
Working papers in economics
2
Dynamic games and applications : DGA
1
Financial engineering
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Mathematical methods of operations research : ZOR
1
Recent advances in financial engineering 2012 : proceedings of the International Workshop on Finance 2012, the University of Tokyo, Japan, 30-31 October 2012
1
The Oxford handbook of credit derivatives
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ECONIS (ZBW)
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Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
Bielecki, Thomas
;
Hernández-Hernández, Daniel
; …
- In:
Mathematical methods of operations research
50
(
1999
)
2
,
pp. 167-188
Persistent link: https://www.econbiz.de/10001428073
Saved in:
2
Solution to the risk-sensitive average optimality equation in communicating Markov decision chains with finite state space : an alternative approach
Cavazos-Cadena, Rolando
;
Hernández-Hernández, Daniel
- In:
Mathematical methods of operations research
56
(
2002
)
3
,
pp. 473-479
Persistent link: https://www.econbiz.de/10001725939
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3
Zero-sum stochastic games with random rules of priority, discrete linear-quadratic model
Hernández-Hernández, Daniel
;
Ricalde-Guerrero, Joshué H.
- In:
Dynamic games and applications : DGA
12
(
2022
)
4
,
pp. 1293-1311
Persistent link: https://www.econbiz.de/10013433667
Saved in:
4
Defaultable options in a Markovian intensity model of credit risk
Bielecki, Tomasz R.
;
Crépey, Stéphane
;
Jeanblanc, Monique
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 493-518
Persistent link: https://www.econbiz.de/10003769008
Saved in:
5
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
Saved in:
6
A Markov Copula model of portfolio credit risk with stochastic intensities and Random recoveries
Bielecki, Tomasz R.
;
Cousin, Areski
;
Crépy, Stéphane
; …
-
2012
Persistent link: https://www.econbiz.de/10009630172
Saved in:
7
A bottom-up dynamic model of portfolio credit risk : part I ; Markov copula perspective
Bielecki, Tomasz R.
;
Cousin, Areski
;
Crépey, Stéphane
; …
- In:
Recent advances in financial engineering 2012 : …
,
(pp. 25-49)
.
2014
Persistent link: https://www.econbiz.de/10010359909
Saved in:
8
Valuation and hedging of CDS counterparty exposure in a Markov copula model
Bielecki, Tomasz R.
;
Crépey, S.
;
Jeanblanc, Monique
; …
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10009562148
Saved in:
9
Multiple ratings model of defaultable term structure
Bielecki, Tomasz R.
;
Rutkowski, Marek
- In:
Mathematical finance : an international journal of …
10
(
2000
)
2
,
pp. 125-139
Persistent link: https://www.econbiz.de/10002177192
Saved in:
10
Dynmaic modelling of portfolio credit risk with common shocks
Bielecki, Tomasz R.
(
contributor
)
-
2011
Persistent link: https://www.econbiz.de/10009012001
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