9 citations · 27 across the 8 of their papers we have counts for
4 papers · 1 filter
A BSDE approach to fair bilateral pricing under endogenous collateralization
Tianyang Nie, Marek Rutkowski
Our previous results are extended to the case of the margin account, which may depend on the contract's value for the hedger and/or the counterparty. The present work generalizes a…
Fair bilateral prices in Bergman's model
Tianyang Nie, Marek Rutkowski
Bielecki and Rutkowski (2014) introduced and studied a generic nonlinear market model, which includes several risky assets, multiple funding accounts and margin accounts. In this p…
BSDEs driven by a multi-dimensional martingale and their applications to market models with funding costs
Tianyang Nie, Marek Rutkowski
We establish some well-posedness and comparison results for BSDEs driven by one- and multi-dimensional martingales. On the one hand, our approach is largely motivated by results an…
Fair and profitable bilateral prices under funding costs and collateralization
Tianyang Nie, Marek Rutkowski
Bielecki and Rutkowski (2014) introduced and studied a generic nonlinear market model, which includes several risky assets, multiple funding accounts and margin accounts. In this p…