Similar Search Results

Valuation and hedging of contingent claims in the HJM model with deterministic volatilities

Rutkowski, Marek - In: Applied mathematical finance 3 (1996) 3, pp. 237-267

Persistent link: https://www.econbiz.de/10001217776

Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek - In: Stochastic methods in finance : lectures given at the …, (pp. 27-126). 2004

Persistent link: https://www.econbiz.de/10002526431

Equity protection swaps : investment insurance for superannuation accounts

Xu, Huansang; Liu, Ruyi; Rutkowski, Marek - In: Quantitative finance 24 (2024) 12, pp. 1773-1797

Persistent link: https://www.econbiz.de/10015196970

Constructing random times with given survival processes and applications to valuation of credit derivatives

Gapeev, Pavel V.; Jeanblanc, Monique; Li, Libo; … - In: Contemporary quantitative finance : essays in honour of …, (pp. 255-280). 2010

Persistent link: https://www.econbiz.de/10008749243

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

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

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

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

Static replication of forward-start claims and realized variance swaps

Baldeaux, Jan; Rutkowski, Marek - In: Applied mathematical finance 17 (2010) 1/2, pp. 99-131

Persistent link: https://www.econbiz.de/10003975324

Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization

Rutkowski, Marek; Bickersteth, Matthew - 2022

Since the 1970s, the LIBOR has served as a fundamental measure for floating term rates across multiple currencies and maturities. Loans and many derivative securities, including swaps, caps and swaptions, still rely on LIBOR as the reference forward-looking term rate. However, in 2017 the...

Persistent link: https://www.econbiz.de/10013309778