59 citations · 199 across the 36 of their papers we have counts for
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q-fin.PR2014
Dynamic Conic Finance via Backward Stochastic Difference Equations
Tomasz R. Bielecki, Igor Cialenco, Tao Chen
We present an arbitrage free theoretical framework for modeling bid and ask prices of dividend paying securities in a discrete time setup using theory of dynamic acceptability indi…
math.PR2014★ 15 cited
A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera
In this paper we provide a flexible framework allowing for a unified study of time consistency of risk measures and performance measures (also known as acceptability indices). The…