Agatha Murgoci

Independent

SCHOLARLY PAPERS

10

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in Total Papers Downloads

3,842

SSRN CITATIONS
Rank 10,999

SSRN RANKINGS

Top 10,999

in Total Papers Citations

91

CROSSREF CITATIONS

53

Scholarly Papers (10)

1.

A General Theory of Markovian Time Inconsistent Stochastic Control Problems

Number of pages: 55 Posted: 20 Oct 2010
Tomas Bjork and Agatha Murgoci
Stockholm School of Economics - Swedish House of Finance and Independent
Downloads 1,832 (17,359)
Citation 130

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Time consistency, time inconsistent control, dynamic programming, time inconsistency, stochastic control, hyperbolic discounting, meanvariance, Bellman equation, Hamilton-Jacobi-Bellman

2.

Convexity Adjustments for ATS Models

ISEG Advance Working Paper No. 9/2008
Number of pages: 25 Posted: 05 May 2009 Last Revised: 18 Mar 2016
Raquel M. Gaspar and Agatha Murgoci
ISEG and Cemapre/REM, Universidade de Lisboa and Independent
Downloads 530 (97,999)
Citation 3

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affine term structure, convexity adjustments, CMS, LIBOR in arrears

3.

Financial Sector Linkages and the Dynamics of Bank and Sovereign Credit Spreads

Number of pages: 64 Posted: 17 Mar 2012 Last Revised: 16 Apr 2013
Rene Kallestrup, David Lando and Agatha Murgoci
Capital Four Management, Copenhagen Business School - Department of Finance and Independent
Downloads 443 (121,564)
Citation 29

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Credit risk, banks, sovereign risk

4.

A Theory of Markovian Time Inconsistent Stochastic Control in Continuous Time

Number of pages: 44 Posted: 04 Feb 2016
Tomas Bjork, Mariana Khapko and Agatha Murgoci
Stockholm School of Economics - Swedish House of Finance, University of Toronto - Finance Area and Independent
Downloads 259 (217,316)
Citation 6

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Time consistency, time inconsistency, time inconsistent control, dynamic programming, stochastic control, Bellman equation, hyperbolic discounting, mean-variance, equilibrium

5.

Pricing Counter-Party Risk Using Good Deal Bounds

Number of pages: 40 Posted: 24 Feb 2008 Last Revised: 12 Sep 2014
Agatha Murgoci
Independent
Downloads 214 (261,298)

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incomplete markets, good deal bounds, vulnerable options, counterparty risk, coherent risk measure, over-the-counter derivatives market

6.

On Time Inconsistent Stochastic Control in Continuous Time

Finance and Stochastics, Forthcoming
Number of pages: 32 Posted: 27 Dec 2016
Tomas Bjork, Mariana Khapko and Agatha Murgoci
Stockholm School of Economics - Swedish House of Finance, University of Toronto - Finance Area and Independent
Downloads 189 (292,656)

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Time consistency, time inconsistency, time inconsistent control, dynamic programming

7.

Vulnerable Options and Good Deal Bounds - A Structural Model

Number of pages: 38 Posted: 24 Feb 2008
Agatha Murgoci
Independent
Downloads 177 (310,123)

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incomplete markets, counterparty risk, good deal bounds, vulnerable options

8.

Time Inconsistent Stochastic Control in Continuous Time: Theory and Examples

Finance Stochastics, Forthcoming, Rotman School of Management Working Paper No. 2887328
Number of pages: 58 Posted: 19 Dec 2016 Last Revised: 16 Mar 2019
Tomas Bjork, Mariana Khapko and Agatha Murgoci
Stockholm School of Economics - Swedish House of Finance, University of Toronto - Finance Area and Independent
Downloads 155 (349,348)
Citation 38

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Time Consistency, Time Inconsistency, Time Inconsistent Control, Dynamic Programming, Equilibrium

9.

The Geometry of Multi-curve Interest Rate Models

Number of pages: 28 Posted: 12 Feb 2024
Claudio Fontana, Giacomo Lanaro and Agatha Murgoci
University of Padova, Department of Mathematics, University of Padua - Department of Mathematics "Tullio Levi-Civita" and Independent
Downloads 35 (811,726)

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Term structure modeling; spreads; interest rate benchmarks; Heath-Jarrow-Morton model, consistency problem, finite-dimensional realization, model calibration

10.

Convexity Adjustments

ENCYCLOPEDIA OF QUANTITATIVE FINANCE, R. Cont, ed., Wiley, 2009
Number of pages: 6 Posted: 07 Mar 2009 Last Revised: 20 Sep 2023
Raquel M. Gaspar and Agatha Murgoci
ISEG and Cemapre/REM, Universidade de Lisboa and Independent
Downloads 8 (1,061,742)

Abstract:

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convexity adjustment, LIBOR rate, swap rates, in-arrears products, CMS, forward price, futures