Marek Rutkowski

Publication Activity (10 Years)

Years Active: 1997-2017
Publications (10 Years): 4

Top Topics

Black Scholes Model

Mechanism Design

Distributional Assumptions

Top Venues

Finance Stochastics

Oper. Res. Lett.

SIAM J. Financial Math.

Publications

Damiano Brigo, Cristin Buescu, Marek Rutkowski
Funding, repo and credit inclusive valuation as modified option pricing. Oper. Res. Lett. 45 (6) (2017)
Ivan Guo, Marek Rutkowski
Arbitrage-free pricing of multi-person game claims in discrete time. Finance Stochastics 21 (1) (2017)
Tianyang Nie, Marek Rutkowski
A BSDE approach to fair bilateral pricing under endogenous collateralization. Finance Stochastics 20 (4) (2016)
Tomasz R. Bielecki, Marek Rutkowski
Valuation and Hedging of Contracts with Funding Costs and Collateralization. SIAM J. Financial Math. 6 (1) (2015)
Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski
Hedging of a credit default swaption in the CIR default intensity model. Finance Stochastics 15 (3) (2011)
Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski
Arbitrage Pricing of Convertible Securities with Credit Risk. CDC (2006)
Tomasz R. Bielecki, Marek Rutkowski
Modeling of the defaultable term structure: conditionally Markov approach. IEEE Trans. Autom. Control. 49 (3) (2004)
Marek Musiela, Marek Rutkowski
Continuous-time term structure models: Forward measure approach. Finance Stochastics 1 (4) (1997)