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PDE approach to valuation and hedging of credit derivatives

Bielecki, Tomasz; Jeanblanc, Monique; Rutkowski, Marek - In: Quantitative Finance 5 (2005) 3, pp. 257-270

This paper presents a PDE approach in a Markovian setting to hedge defaultable derivatives. The arbitrage price and the hedging strategy for an attainable contingent claim are described in terms of solutions of a pair of coupled PDEs. For some standard examples of defaultable claims, we provide...

Persistent link: https://www.econbiz.de/10009208234

Use of autoencoder and one-hot encoding for customer segmentation

Smutek, Tomasz; Sikora, Janusz W.; Bogacki, Sylwester; … - In: European research studies 27 (2024), pp. 72-82

Persistent link: https://www.econbiz.de/10014543578

Static Replication of Forward-Start Claims and Realized Variance Swaps

Baldeaux, Jan; Rutkowski, Marek - In: Applied mathematical finance 17 (2010) 2, pp. 99-132

Persistent link: https://www.econbiz.de/10008418936

Multiple Ratings Model of Defaultable Tenn Structure

Bielecki, Tomasz R.; Rutkowski, Marek - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 125-140

Persistent link: https://www.econbiz.de/10008217836

PAPERS - Models of forward Libor and swap rates

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

Persistent link: https://www.econbiz.de/10008218057

ARTICLES - Self-Financing Trading Strategies for Sliding, Rolling-Horizon, and Consol Bonds

Rutkowski, Marek - In: Mathematical finance : an international journal of … 9 (1999) 4, pp. 361-386

Persistent link: https://www.econbiz.de/10008218177

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

Rutkowski, Marek - In: Applied mathematical finance 4 (1997) 3, pp. 151-164

Persistent link: https://www.econbiz.de/10008219565

The Early Exercise Premium Representation of Foreign Market American Options

Rutkowski, Marek - In: Mathematical finance : an international journal of … 4 (1994) 4, pp. 313-326

Persistent link: https://www.econbiz.de/10008223916

Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates

AHLIP, REHEZ; RUTKOWSKI, MAREK - In: Quantitative finance 13 (2013) 6, pp. 955-966

Persistent link: https://www.econbiz.de/10010134653

TERM STRUCTURE OF CREDIT - HJM WITH MULTIPLIES

Bielecki, Tomasz; Rutkowski, Marek - In: Risk : managing risk in the world's financial markets 13 (2000) 4, pp. 95-98

Persistent link: https://www.econbiz.de/10007050994