53 citations · 122 across the 24 of their papers we have counts for
10 papers · 1 filter
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…
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…
Arbitrage-Free Pricing of Game Options in Nonlinear Markets
Tianyang Nie, Edward Kim, Marek Rutkowski
The goal is to re-examine and extend the findings from the recent paper by Dumitrescu, Quenez and Sulem (2017) who studied game options within the nonlinear arbitrage-free pricing…
Arbitrage-free pricing of American options in nonlinear markets
Edward Kim, Tianyang Nie, Marek Rutkowski
We re-examine and extend the findings from the recent paper by Dumitrescu, Quenez and Sulem (2018) who studied American and game options in a particular market model using the nonl…
Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models
Tomasz R. Bielecki, Igor Cialenco, Marek Rutkowski
The objective of this paper is to provide a comprehensive study no-arbitrage pricing of financial derivatives in the presence of funding costs, the counterparty credit risk and mar…
A BSDE approach to fair bilateral pricing under endogenous collateralization
Tianyang Nie, Marek Rutkowski
Our previous results are extended to the case of the margin account, which may depend on the contract's value for the hedger and/or the counterparty. The present work generalizes a…
Fair bilateral prices in Bergman's model
Tianyang Nie, Marek Rutkowski
Bielecki and Rutkowski (2014) introduced and studied a generic nonlinear market model, which includes several risky assets, multiple funding accounts and margin accounts. In this p…
Fair and profitable bilateral prices under funding costs and collateralization
Tianyang Nie, Marek Rutkowski
Bielecki and Rutkowski (2014) introduced and studied a generic nonlinear market model, which includes several risky assets, multiple funding accounts and margin accounts. In this p…
Arbitrage Pricing of Multi-person Game Contingent Claims
Ivan Guo, Marek Rutkowski
We introduce a class of financial contracts involving several parties by extending the notion of a two-person game option (see Kifer (2000)) to a contract in which an arbitrary num…
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…