Marek Rutkowski

The University of Sydney - School of Mathematics and Statistics

Sydney, New South Wales 2006

Australia

SCHOLARLY PAPERS

4

DOWNLOADS

228

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Funding, Repo and Credit Inclusion in Option Pricing via Dividends

Number of pages: 13 Posted: 20 Feb 2016
Damiano Brigo, Cristin Buescu and Marek Rutkowski
Imperial College London - Department of Mathematics, King's College London, Department of Mathematics and The University of Sydney - School of Mathematics and Statistics
Downloads 147 (198,876)

Abstract:

Loading...

Hedging, funding costs, counterparty risk, credit risk, re-purchase agreement, repo market, valuation adjustments, dividends

2.

Risk-Neutral Valuation Under Differential Funding Costs, Defaults and Collateralization

Number of pages: 33 Posted: 07 Mar 2018
Imperial College London - Department of Mathematics, King's College London, Department of Mathematics, Imperial College London - Department of Mathematics, Banca IMI and The University of Sydney - School of Mathematics and Statistics
Downloads 80 (305,395)
Citation 3

Abstract:

Loading...

risk-neutral valuation, replication, funding costs, default, collateral

3.

Fair Bilateral Pricing Under Funding Costs and Exogenous Collateralization

Mathematical Finance, Vol. 28, Issue 2, pp. 621-655, 2018
Number of pages: 35 Posted: 16 Mar 2018
Tianyang Nie and Marek Rutkowski
Shandong University and The University of Sydney - School of Mathematics and Statistics
Downloads 1 (653,079)
Citation 3
  • Add to Cart

Abstract:

Loading...

BSDE, collateral, fair pricing, funding costs, hedging, PDE

4.

Admissibility of Generic Market Models of Forward Swap Rates

Mathematical Finance, Vol. 24, Issue 4, pp. 728-761, 2014
Number of pages: 34 Posted: 24 Sep 2014
Libo Li and Marek Rutkowski
The University of Sydney and The University of Sydney - School of Mathematics and Statistics
Downloads 0 (670,823)
  • Add to Cart

Abstract:

Loading...

forward swap rate, market model, Libor, admissibility