Marek Rutkowski

According to our database, Marek Rutkowski authored at least 9 papers between 1997 and 2026.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2026

Cross-Currency Basis Swaps Referencing Backward-Looking Rates.

Yining Ding, Ruyi Liu, Marek Rutkowski

SIAM J. Financial Math., 2026

2017

Funding, repo and credit inclusive valuation as modified option pricing.

Damiano Brigo, Cristin Buescu, Marek Rutkowski

Oper. Res. Lett., 2017

Arbitrage-free pricing of multi-person game claims in discrete time.

Ivan Guo, Marek Rutkowski

Finance Stochastics, 2017

2016

A BSDE approach to fair bilateral pricing under endogenous collateralization.

Tianyang Nie, Marek Rutkowski

Finance Stochastics, 2016

2015

Valuation and Hedging of Contracts with Funding Costs and Collateralization.

Tomasz R. Bielecki, Marek Rutkowski

SIAM J. Financial Math., 2015

2011

Hedging of a credit default swaption in the CIR default intensity model.

Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski

Finance Stochastics, 2011

2006

Arbitrage Pricing of Convertible Securities with Credit Risk.

Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski

Proceedings of the 45th IEEE Conference on Decision and Control, 2006

2004

Modeling of the defaultable term structure: conditionally Markov approach.

Tomasz R. Bielecki, Marek Rutkowski

IEEE Trans. Autom. Control., 2004

1997

Continuous-time term structure models: Forward measure approach.

Marek Musiela, Marek Rutkowski

Finance Stochastics, 1997