53 citations · 134 across the 31 of their papers we have counts for
4 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…
A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera
In this paper we provide a flexible framework allowing for a unified study of time consistency of risk measures and performance measures (also known as acceptability indices). The…
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…
Joint Hitting-Time Densities for Finite State Markov Processes
Tomasz R. Bielecki, Monique Jeanblanc, Ali Devin Sezer
For a finite state Markov process and a finite collection of subsets of its state space, let be the first time the process visits the set . We deriv…