15 citations · 54 across the 23 of their papers we have counts for
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math.PR2014★ 15 cited
A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera
In this paper we provide a flexible framework allowing for a unified study of time consistency of risk measures and performance measures (also known as acceptability indices). The…
q-fin.CP2014
The least squares method for option pricing revisited
Maciej Klimek, Marcin Pitera
It is shown that the the popular least squares method of option pricing converges even under very general assumptions. This substantially increases the freedom of creating differen…