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A bottom-up dynamic model of portfolio credit risk : part II ; common-shock interpretation, calibration and hedging issues

Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; … - In: Recent advances in financial engineering 2012 : …, (pp. 51-73). 2014

Persistent link: https://www.econbiz.de/10010359906

A bottom-up dynamic model of portfolio credit risk : part I ; Markov copula perspective

Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; … - In: Recent advances in financial engineering 2012 : …, (pp. 25-49). 2014

Persistent link: https://www.econbiz.de/10010359909

A Markov Copula model of portfolio credit risk with stochastic intensities and Random recoveries

Bielecki, Tomasz R.; Cousin, Areski; Crépy, Stéphane; … - 2012

Persistent link: https://www.econbiz.de/10009630172

Risk sensitive asset allocation

Bielecki, Tomasz R.; Pliska, Stanley R.; Sherris, Michael - In: Journal of economic dynamics & control 24 (2000) 8, pp. 1145-1177

Persistent link: https://www.econbiz.de/10001474593

Risk sensitive asset management with transaction costs

Bielecki, Tomasz R.; Pliska, Stanley R. - In: Finance and stochastics 4 (2000) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10001486618

Risk-sensitive portfolio optimization with transaction costs

Bielecki, Tomasz R.; Chancelier, Jean-Philippe; Pliska, … - In: The journal of computational finance 8 (2004) 1, pp. 39-63

Persistent link: https://www.econbiz.de/10002390572

Continuous-time-mean-variance portfolio selection with bankruptcy prohibition

Bielecki, Tomasz R.; Jin, Hanqing; Pliska, Stanley R.; … - In: Mathematical finance : an international journal of … 15 (2005) 2, pp. 213-244

Persistent link: https://www.econbiz.de/10002725425

Dynmaic modelling of portfolio credit risk with common shocks

Bielecki, Tomasz R. (contributor) - 2011

Persistent link: https://www.econbiz.de/10009012001

Dynamic conic finance : pricing and hedging in market models with transaction costs via dynamic coherent acceptability indices

Bielecki, Tomasz R.; Cialenco, Igor; Iyigunler, Ismail; … - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-36

Persistent link: https://www.econbiz.de/10009725092

Credit risk frontiers : subprime crisis, pricing and hedging, CVA, MBS, ratings, and liquidity

Bielecki, Tomasz R. (ed.); Brigo, Damiano (contributor); … - 2011

A timely guide to understanding and implementing credit derivatives Credit derivatives are here to stay and will continue to play a role in finance in the future. But what will that role be? What issues and challenges should be addressed? And what lessons can be learned from the credit mess?...

Persistent link: https://www.econbiz.de/10008903488