53 citations · 122 across the 24 of their papers we have counts for
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q-fin.PR2013
CVA for Bilateral Counterparty Risk under Alternative Settlement Conventions
Cyril Durand, Marek Rutkowski
We depart from the usual methods for pricing contracts with the counterparty credit risk found in most of the existing literature. In effect, typically, these models do not account…
math.PR2013★ 2 cited
Progressive Enlargements of Filtrations with Pseudo-Honest Times and their Applications in Financial Mathematics
Libo Li, Marek Rutkowski
We deal with various alternative decompositions of F-martingales with respect to the filtration G which represents the enlargement of a filtration F by a progressive flow of observ…
q-fin.PR2013★ 7 cited
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…