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of 249
pro vyhledávání: '"Rutkowski, Marek"'
The financial industry has undergone a significant transition from the London Interbank Offered Rate (LIBOR) to Risk Free Rates (RFR) such as, e.g., the Secured Overnight Financing Rate (SOFR) in the U.S. and the AUD Overnight Index Average (AONIA) i
Externí odkaz:
http://arxiv.org/abs/2410.08477
Autor:
Rutkowski, Marek, Xu, Huansang
In this paper, we explore the pricing and hedging strategies for an innovative insurance product called the equity protection swap(EPS). Notably, we focus on the application of EPSs involving cross-currency reference portfolios, reflecting the realit
Externí odkaz:
http://arxiv.org/abs/2409.19387
We propose to develop a new class of investment insurance products for holders of superannuation accounts in Australia, which we tentatively call equity protection swaps (EPSs). An EPS is a standalone financial derivative, which is reminiscent of a t
Externí odkaz:
http://arxiv.org/abs/2305.09472
We study the upper and lower bounds for prices of European and American style options with the possibility of an external termination, meaning that the contract may be terminated at some random time. Under the assumption that the underlying market mo
Externí odkaz:
http://arxiv.org/abs/2212.12860
The paper is directly motivated by the pricing of vulnerable European and American options in a general hazard process setup and a related study of the corresponding pre-default backward stochastic differential equations (BSDE) and pre-default reflec
Externí odkaz:
http://arxiv.org/abs/2212.12854
Autor:
Rutkowski, Marek, Bickersteth, Matthew
Since the 1970s, the LIBOR has served as a fundamental measure for floating term rates across multiple currencies and maturities. Loans and many derivative securities, including swaps, caps and swaptions, still rely on LIBOR as the reference forward-
Externí odkaz:
http://arxiv.org/abs/2112.14033
We study generalized backward stochastic differential equations (BSDEs) up to a random time horizon $\vartheta$, which is not a stopping time, under minimal assumptions regarding the properties of $\vartheta$. In contrast to existing works in this ar
Externí odkaz:
http://arxiv.org/abs/2105.06654
Autor:
Nie, Tianyang, Rutkowski, Marek
We prove some new results on reflected BSDEs and doubly reflected BSDEs driven by a multi-dimensional RCLL martingale. The goal is to develop a general multi-asset framework encompassing a wide spectrum of nonlinear financial models, including as par
Externí odkaz:
http://arxiv.org/abs/2103.08917
Autor:
Nie, Tianyang, Rutkowski, Marek
Results on the existence, uniqueness and strict comparison for solutions to a BSDE driven by a multi-dimensional RCLL martingale are established. The goal is to develop a general multi-asset framework encompassing a wide spectrum of nonlinear financi
Externí odkaz:
http://arxiv.org/abs/2103.08898
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