关注
Marek Rutkowski
Marek Rutkowski
在 sydney.edu.au 的电子邮件经过验证 - 首页
标题
引用次数
引用次数
年份
Martingale Methods in Financial Modelling
M Musiela, M Rutkowski
Springer Science & Business Media, 2005
2862*2005
Credit Risk: Modeling, Valuation and Hedging
TR Bielecki, M Rutkowski
Springer Science & Business Media, 2013
20122013
Continuous-time term structure models: Forward measure approach
M Musiela, M Rutkowski
Finance and Stochastics 1, 261-291, 1997
2541997
Modelling of default risk: An overview
M Jeanblanc, M Rutkowski
Mathematical Finance: Theory and Practice, 171-269, 2000
1532000
Hedging of defaultable claims
TR Bielecki, T Björk, M Jeanblanc, M Rutkowski, JA Scheinkman, W Xiong, ...
Paris-Princeton Lectures on Mathematical Finance 2003, 1-132, 2004
1382004
Default risk and hazard process
M Jeanblanc, M Rutkowski
Mathematical Finance - Bachelier Congress 2000, 281-312, 2002
1032002
Multiple ratings model of defaultable term structure
TR Bielecki, M Rutkowski
Mathematical Finance 10 (2), 125-139, 2000
992000
Matematyka finansowa. Instrumenty pochodne
J Jakubowski, A Palczewski, M Rutkowski, Ł Stettner
WNT, 2003
942003
Modelling of default risk: Mathematical tools
M Jeanblanc, M Rutkowski
Preprint, 2000
912000
Pricing and trading credit default swaps in a hazard process model
TR Bielecki, M Jeanblanc, M Rutkowski
862008
A note on the Flesaker-Hughston model of the term structure of interest rates
M Rutkowski
Applied Mathematical Finance 4 (3), 151-163, 1997
861997
Arbitrage pricing of defaultable game options with applications to convertible bonds
TR Bielecki, S Crépey, M Jeanblanc, M Rutkowski
Quantitative Finance 8 (8), 795-810, 2008
852008
Valuation and hedging of contracts with funding costs and collateralization
TR Bielecki, M Rutkowski
SIAM Journal on Financial Mathematics 6 (1), 594-655, 2015
802015
Modeling and valuation of credit risk
TR Bielecki, M Jeanblanc, M Rutkowski
Stochastic Methods in Finance, 27-126, 2004
64*2004
Defaultable game options in a hazard process model
TR Bielecki, S Crépey, M Jeanblanc, M Rutkowski
International Journal of Stochastic Analysis 2009, 2009
62*2009
Defaultable options in a Markovian intensity model of credit risk
TR Bielecki, S Crépey, M Jeanblanc, M Rutkowski
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2008
552008
Valuation of basket credit derivatives in the credit migrations environment
TR Bielecki, S Crépey, M Jeanblanc, M Rutkowski
Handbooks in Operations Research and Management Science 15, 471-507, 2007
532007
PDE approach to valuation and hedging of credit derivatives
TR Bielecki, M Jeanblanc, M Rutkowski
Quantitative Finance 5 (3), 257-270, 2005
532005
Modeling of the defaultable term structure: Conditionally Markov approach
TR Bielecki, M Rutkowski
IEEE Transactions on Automatic Control 49 (3), 361-373, 2004
512004
Self‐financing trading strategies for sliding, rolling‐horizon, and consol bonds
M Rutkowski
Mathematical Finance 9 (4), 361-385, 1999
461999
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