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Tomasz R. Bielecki
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Credit risk: modeling, valuation and hedging
TR Bielecki, M Rutkowski
Springer Science & Business Media, 2013
20362013
Nonlinear expectations, nonlinear evaluations and risk measures
K Back, TR Bielecki, C Hipp, S Peng, W Schachermayer, S Peng
Stochastic Methods in Finance: Lectures given at the CIME-EMS Summer School …, 2004
4032004
Continuous‐time mean‐variance portfolio selection with bankruptcy prohibition
TR Bielecki, H Jin, SR Pliska, XY Zhou
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2005
3982005
Risk-sensitive dynamic asset management
TR Bielecki, SR Pliska
Applied Mathematics and Optimization 39, 337-360, 1999
3661999
Hedging of defaultable claims
TR Bielecki, T Björk, M Jeanblanc, M Rutkowski, JA Scheinkman, W Xiong, ...
Paris-Princeton Lectures on Mathematical Finance 2003, 1-132, 2004
1382004
Heterogeneous beliefs, speculation and trading in financial markets
TR Bielecki, T Björk, M Jeanblanc, M Rutkowski, JA Scheinkman, W Xiong, ...
Paris-Princeton lectures on mathematical finance 2003, 217-250, 2004
1332004
Counterparty risk and funding: A tale of two puzzles
S Crépey, TR Bielecki, D Brigo
Chapman and Hall/CRC, 2014
1312014
Risk sensitive asset management with transaction costs
TR Bielecki, SR Pliska
Finance and Stochastics 4, 1-33, 2000
1262000
Portfolio optimization with a defaultable security
TR Bielecki, I Jang
Asia-Pacific Financial Markets 13, 113-127, 2006
1002006
Multiple ratings model of defaultable term structure
TR Bielecki, M Rutkowski
Mathematical Finance 10 (2), 125-139, 2000
992000
Algorithms for singularly perturbed limiting average Markov control problems
M Abbad, JA Filar, TR Bielecki
29th IEEE Conference on Decision and Control, 1402-1407, 1990
981990
Risk sensitive asset allocation
TR Bielecki, SR Pliska, M Sherris
Journal of Economic Dynamics and Control 24 (8), 1145-1177, 2000
922000
Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
T Bielecki, D Hernández-Hernández, SR Pliska
Mathematical Methods of Operations Research 50, 167-188, 1999
901999
Pricing and trading credit default swaps in a hazard process model
TR Bielecki, M Jeanblanc, M Rutkowski
862008
Arbitrage pricing of defaultable game options with applications to convertible bonds
TR Bielecki, S Crépey, M Jeanblanc, M Rutkowski
Quantitative Finance 8 (8), 795-810, 2008
862008
Risk-sensitive ICAPM with application to fixed-income management
TR Bielecki, SR Pliska
IEEE Transactions on automatic control 49 (3), 420-432, 2004
852004
Valuation and hedging of contracts with funding costs and collateralization
TR Bielecki, M Rutkowski
SIAM Journal on Financial Mathematics 6 (1), 594-655, 2015
802015
Stochastic control with application in insurance
K Back, TR Bielecki, C Hipp, S Peng, W Schachermayer, C Hipp
Stochastic Methods in Finance: Lectures given at the CIME-EMS Summer School …, 2004
792004
Up and down credit risk
TR Bielecki, S Crépey, M Jeanblanc
Quantitative Finance 10 (10), 1137-1151, 2010
782010
CVA computation for counterparty risk assessment in credit portfolios
S Assefa, TR Bielecki, S Crépey, M Jeanblanc
Credit risk frontiers, 397-436, 2011
752011
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