Rutkowski, Marek
- Pricing and hedging of SOFR derivatives
2021/12/28 by Matthew Bickersteth, Bickersteth, Matthew, Ding, Yining +2 · 2 citations
Economics, Econometrics and Finance · #91G20 #91G40 #FOS: Economics and business #Financial Markets and Investment Strategies #Market Dynamics and Volatility #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications
- Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models
2017/01/29 by Tomasz R. Bielecki, Igor Cialenco, Bielecki, Tomasz R. +3 · 1 citation
Economics, Econometrics and Finance · #60J28 #91G40 #Banking stability, regulation, efficiency #Credit Risk and Financial Regulations #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Pricing of Securities (q-fin.PR) #Stochastic processes and financial applications
- Vulnerable European and American Options in a Market Model with Optional Hazard Process
2022/12/25 by Libo Li, Li, Libo, Ruyi Liu +3 · 1 citation
Economics, Econometrics and Finance · #Capital Investment and Risk Analysis #Economic theories and models #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Pricing of Securities (q-fin.PR) #Stochastic processes and financial applications
- BSDEs driven by a multi-dimensional martingale and their applications to market models with funding costs
2014/10/02 by Tianyang Nie, Nie, Tianyang, Marek Rutkowski +1 · 2 citations
Economics, Econometrics and Finance · Mathematics · #60H10 #91G40 #Climate Change Policy and Economics #Economic theories and models #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications #math.PR #msc:60H10 #msc:91G40