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Marek Rutkowski

Identifiers

  • name variant Marek Rutkowski 0.60 · backfill

Papers (21)

  1. Valuation of Variable Annuities with Equity Protection Swaps under Jumps and Default Risks q-fin.MF · 2026 · author #1
  2. Pricing and Hedging Strategies for Cross-Currency Equity Protection Swaps q-fin.MF · 2024 · author #1
  3. Arbitrage-Free Pricing of Game Options in Nonlinear Markets q-fin.MF · 2018 · author #3
  4. Arbitrage-free pricing of American options in nonlinear markets q-fin.MF · 2018 · author #3
  5. Risk-neutral valuation under differential funding costs, defaults and collateralization q-fin.PR · 2018 · author #5
  6. Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models q-fin.MF · 2017 · author #3
  7. Funding, repo and credit inclusive valuation as modified option pricing q-fin.PR · 2016 · author #3
  8. Integral representations of martingales for progressive enlargements of filtrations math.PR · 2015 · author #3
  9. A BSDE approach to fair bilateral pricing under endogenous collateralization q-fin.MF · 2014 · author #2
  10. Regulatory Capital Modelling for Credit Risk q-fin.RM · 2014 · author #1
  11. Assessing the Basel II Internal Ratings-Based Approach: Empirical Evidence from Australia q-fin.RM · 2014 · author #2
  12. BSDEs driven by a multi-dimensional martingale and their applications to market models with funding costs math.PR · 2014 · author #2
  13. Fair bilateral prices in Bergman's model q-fin.MF · 2014 · author #2
  14. Fair and profitable bilateral prices under funding costs and collateralization q-fin.MF · 2014 · author #2
  15. Valuation and Hedging of Contracts with Funding Costs and Collateralization q-fin.MF · 2014 · author #2
  16. Arbitrage Pricing of Multi-person Game Contingent Claims q-fin.MF · 2014 · author #2
  17. Stochastic Multi-player Competitive Games in Discrete Time math.PR · 2014 · author #2
  18. CVA for Bilateral Counterparty Risk under Alternative Settlement Conventions q-fin.PR · 2013 · author #2
  19. Progressive Enlargements of Filtrations with Pseudo-Honest Times and their Applications in Financial Mathematics math.PR · 2013 · author #2
  20. Valuation and hedging of OTC contracts with funding costs, collateralization and counterparty credit risk: Part 1 q-fin.PR · 2013 · author #2
  21. Pricing and trading credit default swaps in a hazard process model math.PR · 2009 · author #3

Mentions

  • 1307.6486 #2 · backfill · confidence 0.70 Marek Rutkowski
  • 1307.6389 #2 · backfill · confidence 0.70 Marek Rutkowski
  • 1306.4733 #2 · backfill · confidence 0.70 Marek Rutkowski
  • 2605.25450 #1 · arxiv_oai · confidence 0.70 Marek Rutkowski
  • 0901.2390 #3 · backfill · confidence 0.70 Marek Rutkowski

Frequent Coauthors