53 citations · 134 across the 31 of their papers we have counts for
3 papers · 1 filter
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…
No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs
Tomasz R. Bielecki, Igor Cialenco, Rodrigo Rodriguez
We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities. Specifically, we show that the n…
Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices
Tomasz R. Bielecki, Igor Cialenco, Ismail Iyigunler +1
In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete ti…