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Models of forward Libor and swap rates

Rutkowski, Marek - In: Applied mathematical finance 6 (1999) 1, pp. 29-60

Persistent link: https://www.econbiz.de/10001449235

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

Valuation of credit default swaptions and credit default index swaptions

Rutkowski, Marek; Armstrong, Anthony - In: International journal of theoretical and applied finance 12 (2009) 7, pp. 1027-1053

Persistent link: https://www.econbiz.de/10003928782

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

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

Valuation of Credit Default Swaptions and Credit Default Index Swaptions

Rutkowski, Marek - 2010

The paper provides simple and rigorous, albeit fairly general, derivations of valuation formulae for credit default swaptions and credit default index swaptions. Results of this work cover as special cases the pricing formulae derived previously by Jamshidian [Finance and Stochastics 8 (2004)...

Persistent link: https://www.econbiz.de/10013150069