1 citations · 1 across the 3 of their papers we have counts for
4 papers
Cross-Currency Basis Swaps Referencing Backward-Looking Rates
Yining Ding, Ruyi Liu, Marek Rutkowski
The financial industry has undergone a significant transition from the London Interbank Offered Rates (LIBORs) to Risk Free Rates (RFRs) such as, e.g., the Secured Overnight Financ…
Equity Protection Swaps: A New Type of Investment Insurance for Holders of Superannuation Accounts
Huansang Xu, Ruyi Liu, Marek Rutkowski
We propose to develop a new class of investment insurance products for holders of superannuation accounts in Australia, which we tentatively call equity protection swaps (EPSs). An…
Vulnerable European and American Options in a Market Model with Optional Hazard Process
Libo Li, Ruyi Liu, Marek Rutkowski
We study the upper and lower bounds for prices of European and American style options with the possibility of an external termination, meaning that the contract may be terminated a…
Well-posedness and penalization schemes for generalized BSDEs and reflected generalized BSDEs
Libo Li, Ruyi Liu, Marek Rutkowski
The paper is directly motivated by the pricing of vulnerable European and American options in a general hazard process setup and a related study of the corresponding pre-default ba…