53 citations · 134 across the 31 of their papers we have counts for
3 papers · 1 filter
Dynamic Limit Growth Indices in Discrete Time
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera
We propose a new class of mappings, called Dynamic Limit Growth Indices, that are designed to measure the long-run performance of a financial portfolio in discrete time setup. We s…
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…
Dynamic Assessment Indices
Tomasz R. Bielecki, Igor Cialenco, Samuel Drapeau +1
This paper provides a unified framework, which allows, in particular, to study the structure of dynamic monetary risk measures and dynamic acceptability indices. The main mathemati…