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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

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

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

Hedging of a credit default swaption in the CIR default intensity model

Bielecki, Tomasz; Jeanblanc, Monique; Rutkowski, Marek - In: Finance and Stochastics 15 (2011) 3, pp. 541-572

Persistent link: https://www.econbiz.de/10009324932

Credit risk : modeling, valuation and hedging

Bielecki, Tomasz R.; Rutkowski, Marek - 2002

Persistent link: https://www.econbiz.de/10001621020

Modelling and hedging of default risk

Jeanblanc, Monique; Rutkowski, Marek - In: Credit derivatives : the definitive guide, (pp. 385-416). 2004

Persistent link: https://www.econbiz.de/10002799023

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

Hedging of defaultable claims

Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek - In: Paris Princeton lectures on mathematical finance 2 (2003), pp. 1-132

Persistent link: https://www.econbiz.de/10009357101

Hedging of a credit default swaption in the CIR default intensity model

Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek - In: Finance and stochastics 15 (2011) 3, pp. 541-572

Persistent link: https://www.econbiz.de/10009303111

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