Narrow search
Showing 21 - 30 of 93
Cover Image
Credit risk : modeling, valuation and hedging
Bielecki, Tomasz R.; Rutkowski, Marek - 2002
Persistent link: https://www.econbiz.de/10001621020
Cover Image
Risk sensitive asset management with transaction costs
Bielecki, Tomasz R.; Pliska, Stanley R. - In: Finance and stochastics 4 (2000) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10001486618
Cover Image
Risk sensitive asset allocation
Bielecki, Tomasz R.; Pliska, Stanley R.; Sherris, Michael - In: Journal of economic dynamics & control 24 (2000) 8, pp. 1145-1177
Persistent link: https://www.econbiz.de/10001474593
Cover Image
Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection
Bielecki, Tomasz R.; Chen, Tao; Cialenco, Igor - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10012650186
Cover Image
Dynmaic modelling of portfolio credit risk with common shocks
Bielecki, Tomasz R. (contributor) - 2011
Persistent link: https://www.econbiz.de/10009012001
Cover Image
A dynamic model of central counterparty risk
Bielecki, Tomasz R.; Cialenco, Igor; Feng, Shibi - In: International journal of theoretical and applied finance 21 (2018) 8, pp. 1-34
Persistent link: https://www.econbiz.de/10011970904
Cover Image
No-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs
Bielecki, Tomasz R.; Cialenco, Igor; Rodriguez, Rodrigo - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 673-701
Persistent link: https://www.econbiz.de/10011350542
Cover Image
A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time
Bielecki, Tomasz R.; Cialenco, Igor; Pitera, Marcin - In: Mathematics of operations research 43 (2018) 1, pp. 204-221
Persistent link: https://www.econbiz.de/10011818748
Cover Image
Markov chain models of portfolio credit risk
Bielecki, Tomasz R. - In: The Oxford handbook of credit derivatives, (pp. 327-382). 2011
Persistent link: https://www.econbiz.de/10014565537
Cover Image
Risk filtering and risk-averse control of Markovian systems subject to model uncertainty
Bielecki, Tomasz R.; Cialenco, Igor; Ruszczyński, … - In: Mathematical methods of operations research : ZOR 98 (2023) 2, pp. 231-268
Persistent link: https://www.econbiz.de/10014423851