53 citations · 122 across the 24 of their papers we have counts for
25 papers
Vulnerable European and American Options in a Market Model with Optional Hazard Process
Libo Li, Ruyi Liu, Marek Rutkowski
We study the upper and lower bounds for prices of European and American style options with the possibility of an external termination, meaning that the contract may be terminated a…
Well-posedness and penalization schemes for generalized BSDEs and reflected generalized BSDEs
Libo Li, Ruyi Liu, Marek Rutkowski
The paper is directly motivated by the pricing of vulnerable European and American options in a general hazard process setup and a related study of the corresponding pre-default ba…
Pricing and hedging of SOFR derivatives
Matthew Bickersteth, Yining Ding, Marek Rutkowski
The LIBOR has served since the 1970s as a fundamental measure for floating term rates across multiple currencies and maturities. However, in 2017 the Financial Conduct Authority an…
Generalized BSDEs with random time horizon in a progressively enlarged filtration
Anna Aksamit, Libo Li, Marek Rutkowski
We study generalized backward stochastic differential equations (BSDEs) up to a random time horizon , which is not a stopping time, under minimal assumptions regarding t…
Reflected BSDEs and doubly reflected BSDEs driven by RCLL martingales
Tianyang Nie, Marek Rutkowski
We prove some new results on reflected BSDEs and doubly reflected BSDEs driven by a multi-dimensional RCLL martingale. The goal is to develop a general multi-asset framework encomp…
Existence, uniqueness and strict comparison theorems for backward stochastic differential equations driven by RCLL martingales
Tianyang Nie, Marek Rutkowski
Results on the existence, uniqueness and strict comparison for solutions to a BSDE driven by a multi-dimensional RCLL martingale are established. The goal is to develop a general m…