2 citations · 3 across the 4 of their papers we have counts for
4 papers
Time consistency of dynamic risk measures and dynamic performance measures generated by distortion functions
Tomasz R. Bielecki, Igor Cialenco, Hao Liu
The aim of this work is to study risk measures generated by distortion functions in a dynamic discrete time setup, and to investigate the corresponding dynamic coherent acceptabili…
On Function of Evolution of Distribution for Time Homogeneous Markov Processes
Tomasz Bielecki, Jacek Jakubowski, Maciej Wiśniewolski
A study of time homogeneous, real valued Markov processes with a special property and a non-atomic initial distribution is provided. The new notion of a function of evolution of di…
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…
Collateralized CVA Valuation with Rating Triggers and Credit Migrations
Tomasz R. Bielecki, Igor Cialenco, Ismail Iyigunler
In this paper we discuss the issue of computation of the bilateral credit valuation adjustment (CVA) under rating triggers, and in presence of ratings-linked margin agreements. Spe…