53 citations · 134 across the 31 of their papers we have counts for
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math.PR2011★ 2 cited
Intricacies of Dependence between Components of Multivariate Markov Chains: Weak Markov Consistency and Markov Copulae
Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Niewęgłowski
This article continues our study of Markovian consistency and Markov copulae. In particular, we characterize the weak Markovian consistency for finite Markov chains. We discuss som…
q-fin.RM2011★ 3 cited
Counterparty Risk and the Impact of Collateralization in CDS Contracts
Tomasz R. Bielecki, Igor Cialenco, Ismail Iyigunler
We analyze the counterparty risk embedded in CDS contracts, in presence of a bilateral margin agreement. First, we investigate the pricing of collateralized counterparty risk and w…