53 citations · 134 across the 31 of their papers we have counts for
3 papers · 1 filter
Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models
Tomasz R. Bielecki, Igor Cialenco, Marek Rutkowski
The objective of this paper is to provide a comprehensive study no-arbitrage pricing of financial derivatives in the presence of funding costs, the counterparty credit risk and mar…
A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera
In this work we give a comprehensive overview of the time consistency property of dynamic risk and performance measures, focusing on a the discrete time setup. The two key operatio…
Valuation and Hedging of Contracts with Funding Costs and Collateralization
Tomasz R. Bielecki, Marek Rutkowski
The research presented in this work is motivated by recent papers by Brigo et al. (2011), Burgard and Kjaer (2009), Crépey (2012), Fujii and Takahashi (2010), Piterbarg (2010) and…