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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
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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
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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
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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
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Regulatory capital modeling for credit risk
Rutkowski, Marek; Tarca, Silvio - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-44
Persistent link: https://www.econbiz.de/10011403880
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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
Persistent link: https://www.econbiz.de/10011404379
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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
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Assessing the Basel II internal ratings-based approach : empirical evidence from Australia
Tarca, Silvio; Rutkowski, Marek - In: Journal of financial regulation and compliance : an … 24 (2016) 2, pp. 106-139
Persistent link: https://www.econbiz.de/10011563824
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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
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Pricing of foreign exchange options under the MPT stochastic volatility model and the CIR interest rates
Ahlip, Rehez; Rutkowski, Marek - In: The European journal of finance 22 (2016) 7/9, pp. 551-571
Persistent link: https://www.econbiz.de/10011619055