53 citations · 134 across the 31 of their papers we have counts for
3 papers · 1 filter
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…
Valuation and hedging of OTC contracts with funding costs, collateralization and counterparty credit risk: Part 1
Tomasz R. Bielecki, Marek Rutkowski
The research presented in this work is motivated by some recent papers regarding hedging and valuation of financial securities subject to funding costs, collateralization and count…
Collateralized CVA Valuation with Rating Triggers and Credit Migrations
Tomasz R. Bielecki, Igor Cialenco, Ismail Iyigunler
In this paper we discuss the issue of computation of the bilateral credit valuation adjustment (CVA) under rating triggers, and in presence of ratings-linked margin agreements. Spe…