Publication Search Results
Exact matches for:
- Author = Bielecki TR [web profile page]
1.
Bielecki TR, Cialenco I, Rutkowski M
Tomasz R Bielecki, Igor Cialenco and Marek Rutkowski:
Arbitrage-free pricing of derivatives in nonlinear market models,
Probability, Uncertainty and Quantitative Risk,
3
(2018),
no. 1,
56 pages.
2.
Bielecki TR, Rutkowski M
Tomasz R Bielecki and Marek Rutkowski:
Valuation and Hedging of Contracts with Funding Costs and Collateralization,
SIAM Journal on Financial Mathematics,
6
(2015),
no. 1,
594–655.
3.
Bielecki TR, Crepey S, Jeanblanc M, Rutkowski M
T R Bielecki, S Crepey, M Jeanblanc and M Rutkowski:
Convertible bonds in a defaultable diffusion model,
Stochastic Analysis with Financial Applications (Hong Kong 2009),
Progress in Probability (Vol. 65),
Springer Basel,
Switzerland,
(2011),
255–298.
ISBN 978-3-0348-0097-6.
4.
Bielecki TR, Jeanblanc M, Rutkowski M
Tomasz R Bielecki, Monique Jeanblanc, Marek Rutkowski:
Hedging of a credit default swaption in the CIR default intensity model,
Finance and Stochastics,
15
(2011),
541–572.
5.
Bielecki TR, Crepey S, Jeanblanc M, Rutkowski M
Tomasz R Bielecki, Stephane Crepey, Monique Jeanblanc and Marek Rutkowski:
Valuation of Basket Credit Derivatives in the Credit Migrations Environment,
Handbooks in Operations Research and Management Science: Simulation, 13,
Elsevier,
North Holland,
(2010),
471–507.
ISBN 978-0-444-51428-8.
6.
Bielecki TR, Jeanblanc M, Rutkowski M
T R Bielecki, M Jeanblanc and M Rutkowski:
Alternative approaches to credit risk modelling,
Modèles aléatoires en finance mathématiques,
Travaux en Cours,
Hermann, Cimpa,
(2009),
1–159.
ISBN 978-2-7056-6970-6.
7.
Bielecki TR, Crépey C, Jeanblanc M, Rutkowski M
T R Bielecki, C Crépey, M Jeanblanc and M Rutkowski:
Valuation and hedging of defaultable options in a hazard process model,
Journal of applied mathematics and stochastic analysis,
2009
(2009),
Article ID 695798.
8.
Bielecki TR, Jeanblanc M, Rutkowski M
T R Bielecki, M Jeanblanc and M Rutkowski:
Credit Risk Modeling,
CSFI Lecture Notes Series 02,
Osaka University Press,
Japan,
(2009),
284.
ISBN 978-3540675938.
9.
Bielecki TR, Crépey C, Jeanblanc M, Rutkowski M
T R Bielecki, C Crépey, M Jeanblanc and M Rutkowski:
Arbitrage pricing of defaultable game options with applications to convertible bonds,
Quantitative Finance,
8
(2008),
795–810.
10.
Bielecki TR, Jeanblanc M, Rutkowski M
T R Bielecki, M Jeanblanc and M Rutkowski:
Pricing and trading credit default swaps in a hazard process model,
Annals of Applied Probability,
18
(2008),
2495–2529.
11.
Bielecki TR, Crépey C, Jeanblanc M, Rutkowski M
T R Bielecki, C Crépey, M Jeanblanc and M Rutkowski:
Defaultable options in a Markovian intensity model of credit risk,
Mathematical Finance,
18
(2008),
493–518.
12.
Bielecki TR, Crepey S, Jeanblanc M, Rutkowski M
Tomasz R Bielecki, S Crepey, M Jeanblanc and M Rutkowski:
Valuation of Basket Credit Derivatives in the Credit Migrations Environment,
Financial Engineering,
Handbooks in Operations Research and Management Science,
Elsevier Science,
-,
(2007),
471–507.
ISBN 978-0-444-51781-4.
13.
Bielecki TR, Jeanblanc M, Rutkowski M
T R Bielecki, M Jeanblanc and M Rutkowski:
Hedging of basket credit derivatives in credit default swap market,
Journal of Credit Risk,
3
(2007),
91–132.
14.
Bielecki TR, Jeanblanc M, Rutkowski M
T R Bielecki, M Jeanblanc and M Rutkowski:
Completeness of a general semimartingale market under constrained trading,
Stochastic Finance,
Springer,
New York, USA,
(2006),
83–106.
ISBN 978-0-387-28262-6.
15.
Bielecki TR, Jeanblanc M, Rutkowski M
T R Bielecki, M Jeanblanc and M Rutkowski:
Hedging of credit derivatives in models with totally unexpected default,
Stochastic Processes and Applications to Mathematical Finance,
World Scientific,
Singapore,
(2006),
35–100.
ISBN 981-256-519-1.
16.
Bielecki TR, Jeanblanc M, Rutkowski M
T R Bielecki, M Jeanblanc and M Rutkowski:
Replication of contingent claims in a reduced-form credit risk model with discontinuous asset prices,
Stochastic Models,
22
(2006),
661–687.
17.
Bielecki TR, Jeanblanc M, Rutkowski M
T R Bielecki, M Jeanblanc and M Rutkowski:
PDE approach to valuation and hedging of credit derivatives,
Quantitative Finance,
5
(2005),
257–270.
| Number of matches: 17 |