9 citations · 23 across the 7 of their papers we have counts for
7 papers
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…
BSDEs driven by a multi-dimensional martingale and their applications to market models with funding costs
Tianyang Nie, Marek Rutkowski
We establish some well-posedness and comparison results for BSDEs driven by one- and multi-dimensional martingales. On the one hand, our approach is largely motivated by results an…
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…
Stochastic Multi-player Competitive Games in Discrete Time
Ivan Guo, Marek Rutkowski
A new class of multi-player competitive stochastic games in discrete-time with an affine specification of the redistribution of payoffs at exercise is proposed and examined. Our ga…