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1. Li L, Liu R, Rutkowski M
Libo Li, Ruyi Liu, Marek Rutkowski: Penalization schemes for BSDEs and reflected BSDEs with generalized driver, Probability, Uncertainty and Quantitative Risk, 9 (2024), no. 3, 301–338.

2. Aksamit A, Li L, Rutkowski M
Anna Aksamit, Libo Li, Marek Rutkowski: Generalized BSDE and reflected BSDE with random time horizon, Electronic Journal of Probability, 28, Open Access (2023), Article 40 (1–41).

3. Brigo D, Buescu C, Francischello M, Pallavicini A, Rutkowski M
Damiano Brigo, Cristin Buescu, Marco Francischello, Andrea Pallavicini and Marek Rutkowski: Nonlinear Valuation with XVAs: Two Converging Approaches, Mathematics, 10 (2022), 791 (31 pages).

4. Nie T, Rutkowski M
Tianyang Nie and Marek Rutkowski: Reflected and doubly reflected BSDEs driven by RCLL martingales, Stochastics and Dynamics, 22 (2022), no. 5, Paper 2250012 (34 pages).

5. Nie T, Rutkowski M
Tianyang Nie, Marek Rutkowski: Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales, Probability, Uncertainty and Quantitative Risk, 6 (2021), no. 4, 319–342.

6. Aksamit A, Jeanblanc M, Rutkowski M
Anna Aksamit, Monique Jeanblanc, Marek Rutkowski: Integral representations of martingales for progressive enlargements of filtrations, Stochastic Processes and their Applications, 129 (2019), no. 4, 1229–1258. MR3926554

7. Bielecki TR, Cialenco I, Rutkowski M
Tomasz R Bielecki, Igor Cialenco and Marek Rutkowski: Arbitrage-free pricing of derivatives in nonlinear market models, Probability, Uncertainty and Quantitative Risk, 3 (2018), no. 1, 56 pages.

8. Nie T, Rutkowski M
Tianyan Nie and Marek Rutkowski: Fair bilateral pricing under funding costs and exogenous collateralization, Mathematical Finance, 28 (2018), no. 2, 217–236.

9. Brigo D, Buescu C, Rutkowski M
D Brigo, C Buescu, M. Rutkowski: Funding, repo and credit inclusive valuation as modified option pricing, Operations Research Letters, 45 (2017), 665–670.

10. Guo I, Rutkowski M
Ivan Guo and Marek Rutkowski: Arbitrage-free pricing of multi-person game claims in discrete time, Finance and Stochastics, 21 (2017), no. 1, 111–155.

11. Li L, Liu R, Rutkowski M
Libo Li, Ruyi Liu and Marek Rutkowski: Well-posedness and penalization schemes for generalized BSDEs and reflected generalized BSDEs, (2023), preprint.

12. Li L, Liu R, Rutkowski M
Libo Li, Ruyi Liu and Marek Rutkowski: Vulnerable European and American Options in a Market Model with Optional Hazard Process, (2023), preprint.

13. Nie T, Rutkowski M
T Nie and M Rutkowski: BSDES driven by multidimensional martingales and their applications to markets with funding costs, Theory of Probability and its Applications - SIAM, 60 (2016), no. 4, 604–630. MR3583450

14. Nie T, Rutkowski M
Tianyang Nie and Marek Rutkowski: A BSDE approach to fair bilateral pricing under endogenous collateralization, Finance and Stochastics, 20 (2016), no. 4, 855–900. MR3551855

15. Ahlip R, Rutkowski M
Rehez Ahlip and Marek Rutkowski: Pricing of foreign exchange options under the MPT stochastic volatility model and the CIR interest rates, The European Journal of Finance, 22 (2016), no. 7, 551–571.

16. Tarca S, Rutkowski M
Silvio Tarca and Marek Rutkowski: Assessing the Basel II internal ratings-based approach Empirical evidence from Australia, Journal of Financial Regulation and Compliance, 24 (2016), no. 2, 106–139.

17. Guo I, Rutkowski M
Ivan Guo, Marek Rutkowski: Discrete time stochastic multi-player competitive games with affine payoffs, Stochastic Processes and their Applications, 126 (2016), 1–32. MR3426509

18. Nie T, Rutkowski M
Tianyang Nie and Marek Rutkowski: Fair bilateral prices in Bergman's model with exogenous collateralization, International Journal of Theoretical and Applied Finance, 18 (2015), no. 7, Art. 1550048.

19. Rutkowski M, Tarca S
Marek Rutkowski and Silvio Tarca: Regulatory capital modeling for credit risk, International Journal of Theoretical and Applied Finance, 18 (2015), no. 5, 1550034 (44 pages).

20. Bielecki TR, Rutkowski M
Tomasz R Bielecki and Marek Rutkowski: Valuation and Hedging of Contracts with Funding Costs and Collateralization, SIAM Journal on Financial Mathematics, 6 (2015), no. 1, 594–655.

21. Ahlip R, Rutkowski M
Rehez Ahlip and Marek Rutkowski: Semi-analytical Pricing of Currency Options in the Heston/CIR Jump- Diffusion Hybrid Model, Applied Mathematical Finance, 22 (2015), no. 1, 1–27.

22. Li L, Rutkowski M
Libo Li and Marek Rutkowski: Admissibility of generic market models of forward swap rates, Mathematical Finance, 24 (2014), no. 4, 728–761. MR3274930

23. Guo I, Rutkowski M
Ivan Guo and Marek Rutkowski: Discrete-time multi-player stopping and quitting games with redistribution of payoffs, Arbitrage, Credit and Informational Risks, Peking University - Series in Mathematics, World Scientific, Singapore, (2014), 171–206. ISBN 978-981-4602-06-8. MR3363802

24. Ahlip R, Rutkowski M
R Ahlip and M Rutkowski: Forward Start Foreign Exchange Options Under Heston's Volatility and the CIR Interest Rates, Inspired by Finance, Springer International Publishing, Switzerland, (2014), 1–27. ISBN 978-3-319-02068-6. MR3204209

25. Li L, Rutkowski M
Libo Li and Marek Rutkowski: Progressive Enlargements of Filtrations with Pseudo-Honest Times, The Annals of Applied Probability, 24 (2014), no. 4, 1509–1533.

26. Nie T, Rutkowski M
Tianyang Nie and Marek Rutkowski: Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection, Stochastic Processes and their Applications, 124 (2014), no. 8, 2672–2698.

27. Durant C, Rutkowski M
Cyril Durant and Marek Rutkowski: result 34 Document CVA under alternative settlement conventions and with systemic risk, International Journal of Theoretical and Applied Finance, 16 (2013), no. 7, 40 pages.

28. Ahlip R, Rutkowski M
R Ahlip and M Rutkowski: Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates, Quantitative Finance, 13 (2013), no. 6, 955–966.

29. Guo I, Rutkowski M
Ivan Guo and Marek Rutkowski: A Zero-Sum Competitive Multi-Player Game, Demonstratio Mathematica, XLV (2012), no. 2, 415–433. MR2963078

30. Li L, Rutkowski M
Libo Li and Marek Rutkowski: Random times and multiplicative systems, Stochastic Processes and their Applications, 122 (2012), no. 5, 2053–2077. MR2921972

31. Rutkowski M
Marek Rutkowski: Options on Credit default swaps and credit default indexes, Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity, Financial Series, John Wiley and Sons, New Jersey, USA, (2011), 219–282. ISBN 978-1-576=60358-1.

32. Li L, Rutkowski M
Libo Li and Marek Rutkowski: Market Models of Forward CDS Spreads, Progress in Probability, 65 (2011), 361–411.

33. Bielecki TR, Crepey S, Jeanblanc M, Rutkowski M
T R Bielecki, S Crepey, M Jeanblanc and M Rutkowski: Convertible bonds in a defaultable diffusion model, Stochastic Analysis with Financial Applications (Hong Kong 2009), Progress in Probability (Vol. 65), Springer Basel, Switzerland, (2011), 255–298. ISBN 978-3-0348-0097-6.

34. Bielecki TR, Jeanblanc M, Rutkowski M
Tomasz R Bielecki, Monique Jeanblanc, Marek Rutkowski: Hedging of a credit default swaption in the CIR default intensity model, Finance and Stochastics, 15 (2011), 541–572.

35. Gapeev PV, Jeanblanc M, Li L, Rutkowski M
Pavel V. Gapeev, Monique Jeanblanc, Libo Li and Marek Rutkowski: Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives, Contemporary Quantitative Finance, Quantitative Methods In Finance, C. Chiarella and A. Novikov (eds.), Springer-Verlag, Berlin Heidelberg New York, (2010), 255. ISBN 978-3-642-03478-7.

36. Rutkowski M
M Rutkowski: Complete Markets, Encyclopedia of Quantitative Finance, R (2010), 317–323.

37. Baldeaux J, Rutkowski M
J Baldeaux and M Rutkowski: Static replication of forward-start claims and realized variance swaps, Applied Mathematical Finance, 17 (2010), 99–131.

38. Gapeev PB, Jeanblanc M, Li L, Rutkowski M
Pavel B Gapeev, Monique Jeanblanc, Libo Li and Marek Rutkowski: Constructing random times with given survival processes and applications to valuation of credit derivatives, Contemporary quantitative finance, Springer, Berlin, (2010), 423. ISBN 978-3-642-03479-4.

39. Bielecki TR, Crepey S, Jeanblanc M, Rutkowski M
Tomasz R Bielecki, Stephane Crepey, Monique Jeanblanc and Marek Rutkowski: Valuation of Basket Credit Derivatives in the Credit Migrations Environment, Handbooks in Operations Research and Management Science: Simulation, 13, Elsevier, North Holland, (2010), 471–507. ISBN 978-0-444-51428-8.

40. Bielecki TR, Jeanblanc M, Rutkowski M
T R Bielecki, M Jeanblanc and M Rutkowski: Alternative approaches to credit risk modelling, Modèles aléatoires en finance mathématiques, Travaux en Cours, Hermann, Cimpa, (2009), 1–159. ISBN 978-2-7056-6970-6.

41. Ahlip R, Rutkowski M
R Ahlip and M Rutkowski: Forward start options under stochastic volatility and stochastic interest rates, International journal of theoretical and applied finance, 12 (2009), 209–225.

42. Roper M, Rutkowski M
M Roper and M Rutkowski: On the relationship between the call price surface and the implied volatility surface close to expiry, International review of applied financial issues and economics, 12 (2009), 427–441.

43. Rutkowski M, Armstrong A
M Rutkowski and A Armstrong: Valuation of credit default swaptions and credit default index swaptions, International journal of theoretical and applied finance, 12 (2009), 1027–1053.

44. Bielecki TR, Crépey C, Jeanblanc M, Rutkowski M
T R Bielecki, C Crépey, M Jeanblanc and M Rutkowski: Valuation and hedging of defaultable options in a hazard process model, Journal of applied mathematics and stochastic analysis, 2009 (2009), Article ID 695798.

45. Musiela M, Rutkowski M
M Musiela and M Rutkowski: Martingale Methods in Financial Modelling, Stochastic Modelling and Applied Probability, B Rozovskii and M Yor (eds.), Springer-Verlag, Germany, (2009), 715. ISBN 3-540-20966-2.

46. Bielecki TR, Jeanblanc M, Rutkowski M
T R Bielecki, M Jeanblanc and M Rutkowski: Credit Risk Modeling, CSFI Lecture Notes Series 02, Osaka University Press, Japan, (2009), 284. ISBN 978-3540675938.

47. Bielecki TR, Crépey C, Jeanblanc M, Rutkowski M
T R Bielecki, C Crépey, M Jeanblanc and M Rutkowski: Arbitrage pricing of defaultable game options with applications to convertible bonds, Quantitative Finance, 8 (2008), 795–810.

48. Bielecki TR, Jeanblanc M, Rutkowski M
T R Bielecki, M Jeanblanc and M Rutkowski: Pricing and trading credit default swaps in a hazard process model, Annals of Applied Probability, 18 (2008), 2495–2529.

49. Bielecki TR, Crépey C, Jeanblanc M, Rutkowski M
T R Bielecki, C Crépey, M Jeanblanc and M Rutkowski: Defaultable options in a Markovian intensity model of credit risk, Mathematical Finance, 18 (2008), 493–518.

50. Bielecki TR, Crepey S, Jeanblanc M, Rutkowski M
Tomasz R Bielecki, S Crepey, M Jeanblanc and M Rutkowski: Valuation of Basket Credit Derivatives in the Credit Migrations Environment, Financial Engineering, Handbooks in Operations Research and Management Science, Elsevier Science, -, (2007), 471–507. ISBN 978-0-444-51781-4.

51. Rutkowski M, Yu N
M Rutkowski and N Yu: An extension of the Brody-Hughston-Macrina approach to modeling of defaultable bonds, International journal of theoretical and applied finance, 10 (2007), 557–589.

52. Bielecki TR, Jeanblanc M, Rutkowski M
T R Bielecki, M Jeanblanc and M Rutkowski: Hedging of basket credit derivatives in credit default swap market, Journal of Credit Risk, 3 (2007), 91–132.

53. Rutkowski M, Yousiph K
M Rutkowski and K Yousiph: PDE approach to the valuation and hedging of basket credit derivatives, International journal of theoretical and applied finance, 10 (2007), 1261–1285.

54. Bielecki TR, Jeanblanc M, Rutkowski M
T R Bielecki, M Jeanblanc and M Rutkowski: Completeness of a general semimartingale market under constrained trading, Stochastic Finance, Springer, New York, USA, (2006), 83–106. ISBN 978-0-387-28262-6.

55. Bielecki TR, Jeanblanc M, Rutkowski M
T R Bielecki, M Jeanblanc and M Rutkowski: Hedging of credit derivatives in models with totally unexpected default, Stochastic Processes and Applications to Mathematical Finance, World Scientific, Singapore, (2006), 35–100. ISBN 981-256-519-1.

56. Bielecki TR, Jeanblanc M, Rutkowski M
T R Bielecki, M Jeanblanc and M Rutkowski: Replication of contingent claims in a reduced-form credit risk model with discontinuous asset prices, Stochastic Models, 22 (2006), 661–687.

57. Bielecki TR, Jeanblanc M, Rutkowski M
T R Bielecki, M Jeanblanc and M Rutkowski: PDE approach to valuation and hedging of credit derivatives, Quantitative Finance, 5 (2005), 257–270.

Number of matches: 57