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 | 2012 | 2013 |
Continuous-time term structure models: Forward measure approach M Musiela, M Rutkowski Finance and Stochastics 1, 261-291, 1997 | 254 | 1997 |
Modelling of default risk: An overview M Jeanblanc, M Rutkowski Mathematical Finance: Theory and Practice, 171-269, 2000 | 153 | 2000 |
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 | 138 | 2004 |
Default risk and hazard process M Jeanblanc, M Rutkowski Mathematical Finance - Bachelier Congress 2000, 281-312, 2002 | 103 | 2002 |
Multiple ratings model of defaultable term structure TR Bielecki, M Rutkowski Mathematical Finance 10 (2), 125-139, 2000 | 99 | 2000 |
Matematyka finansowa. Instrumenty pochodne J Jakubowski, A Palczewski, M Rutkowski, Ł Stettner WNT, 2003 | 94 | 2003 |
Modelling of default risk: Mathematical tools M Jeanblanc, M Rutkowski Preprint, 2000 | 91 | 2000 |
Pricing and trading credit default swaps in a hazard process model TR Bielecki, M Jeanblanc, M Rutkowski | 86 | 2008 |
A note on the Flesaker-Hughston model of the term structure of interest rates M Rutkowski Applied Mathematical Finance 4 (3), 151-163, 1997 | 86 | 1997 |
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 | 85 | 2008 |
Valuation and hedging of contracts with funding costs and collateralization TR Bielecki, M Rutkowski SIAM Journal on Financial Mathematics 6 (1), 594-655, 2015 | 80 | 2015 |
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 | 55 | 2008 |
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 | 53 | 2007 |
PDE approach to valuation and hedging of credit derivatives TR Bielecki, M Jeanblanc, M Rutkowski Quantitative Finance 5 (3), 257-270, 2005 | 53 | 2005 |
Modeling of the defaultable term structure: Conditionally Markov approach TR Bielecki, M Rutkowski IEEE Transactions on Automatic Control 49 (3), 361-373, 2004 | 51 | 2004 |
Self‐financing trading strategies for sliding, rolling‐horizon, and consol bonds M Rutkowski Mathematical Finance 9 (4), 361-385, 1999 | 46 | 1999 |