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Tomasz R. Bielecki

Identifiers

  • name variant Tomasz R. Bielecki 0.60 · backfill

Papers (23)

  1. Wiener-Hopf Factorization for Time-Inhomogeneous Markov Chains math.PR · 2019 · author #1
  2. A Dynamic Model of Central Counterparty Risk q-fin.RM · 2018 · author #1
  3. Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application math.PR · 2018 · author #1
  4. Adaptive Robust Control Under Model Uncertainty math.OC · 2017 · author #1
  5. Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models q-fin.MF · 2017 · author #1
  6. Recursive Construction of Confidence Regions math.ST · 2016 · author #1
  7. A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective q-fin.MF · 2016 · author #1
  8. Conditional Markov Chains Part II: Consistency and Copulae math.PR · 2015 · author #1
  9. Conditional Markov Chains Revisited Part I: Construction and properties math.PR · 2015 · author #1
  10. Dynamic Conic Finance via Backward Stochastic Difference Equations q-fin.PR · 2014 · author #1
  11. A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time math.PR · 2014 · author #1
  12. Valuation and Hedging of Contracts with Funding Costs and Collateralization q-fin.MF · 2014 · author #1
  13. Joint Hitting-Time Densities for Finite State Markov Processes math.PR · 2014 · author #1
  14. Dynamic Limit Growth Indices in Discrete Time q-fin.RM · 2013 · author #1
  15. Dynamic Assessment Indices math.PR · 2013 · author #1
  16. Valuation and hedging of OTC contracts with funding costs, collateralization and counterparty credit risk: Part 1 q-fin.PR · 2013 · author #1
  17. Collateralized CVA Valuation with Rating Triggers and Credit Migrations q-fin.PR · 2012 · author #1
  18. No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs q-fin.GN · 2012 · author #1
  19. Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices q-fin.RM · 2012 · author #1
  20. Intricacies of Dependence between Components of Multivariate Markov Chains: Weak Markov Consistency and Markov Copulae math.PR · 2011 · author #1
  21. Counterparty Risk and the Impact of Collateralization in CDS Contracts q-fin.RM · 2011 · author #1
  22. Dynamic Coherent Acceptability Indices and their Applications to Finance q-fin.RM · 2010 · author #1
  23. Pricing and trading credit default swaps in a hazard process model math.PR · 2009 · author #1

Mentions

  • 1501.05535 #1 · backfill · confidence 0.70 Tomasz R. Bielecki
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  • 1105.2679 #1 · backfill · confidence 0.70 Tomasz R. Bielecki
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  • 1010.4339 #1 · backfill · confidence 0.70 Tomasz R. Bielecki
  • 0901.2390 #1 · backfill · confidence 0.70 Tomasz R. Bielecki

Frequent Coauthors