9 citations · 23 across the 7 of their papers we have counts for
5 papers · 1 filter
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…