Marek Rutkowski: search on Z-Library

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1

[Springer Finance] Credit Risk: Modeling, Valuation and Hedging ||

Bielecki, Tomasz R., Rutkowski, Marek

Year:

2004

Language:

english

File:

PDF, 45.34 MB

english, 2004

2

Valuation and Hedging of Contracts with Funding Costs and Collateralization

Bielecki, Tomasz R., Rutkowski, Marek

Journal:

SIAM Journal on Financial Mathematics

Year:

2015

Language:

english

File:

PDF, 555 KB

english, 2015

3

Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates

AHLIP, REHEZ, RUTKOWSKI, MAREK

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 240 KB

english, 2013

4

ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY

ROPER, MICHAEL, RUTKOWSKI, MAREK

Journal:

International Journal of Theoretical and Applied Finance

Year:

2009

Language:

english

File:

PDF, 198 KB

english, 2009

5

VALUATION OF CREDIT DEFAULT SWAPTIONS AND CREDIT DEFAULT INDEX SWAPTIONS

RUTKOWSKI, MAREK, ARMSTRONG, ANTHONY

Journal:

International Journal of Theoretical and Applied Finance

Year:

2009

Language:

english

File:

PDF, 332 KB

english, 2009

6

A note on the Flesaker-Hughston model of the term structure of interest rates

Rutkowski, Marek

Journal:

Applied Mathematical Finance

Year:

1997

Language:

english

File:

PDF, 211 KB

english, 1997

7

Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model

Ahlip, Rehez, Rutkowski, Marek

Journal:

Applied Mathematical Finance

Year:

2015

Language:

english

File:

PDF, 458 KB

english, 2015

8

REGULATORY CAPITAL MODELING FOR CREDIT RISK

RUTKOWSKI, MAREK, TARCA, SILVIO

Journal:

International Journal of Theoretical and Applied Finance

Year:

2015

Language:

english

File:

PDF, 969 KB

english, 2015

9

Assessing the Basel II internal ratings-based approach

Tarca, Silvio, Rutkowski, Marek

Journal:

Journal of Financial Regulation and Compliance

Year:

2016

Language:

english

File:

PDF, 665 KB

english, 2016

10

Prospective, randomized trial examining the role of gentamycin-containing collagen sponge in the reduction of postoperative morbidity in rectal cancer patients: early results and surprising outcome at 3-year follow-up

Marek P. Nowacki, Andrzej Rutkowski, Janusz Olędzki, Maciej Chwaliński

Journal:

International Journal of Colorectal Disease

Year:

2005

Language:

english

File:

PDF, 165 KB

english, 2005

11

Self-Financing Trading Strategies for Sliding, Rolling-Horizon, and Consol Bonds

Marek Rutkowski

Journal:

Mathematical Finance

Year:

1999

Language:

english

File:

PDF, 141 KB

english, 1999

12

Multiple Ratings Model of Defaultable Term Structure

Tomasz R. Bielecki, Marek Rutkowski

Journal:

Mathematical Finance

Year:

2000

Language:

english

File:

PDF, 257 KB

english, 2000

13

THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS

Marek Rutkowski

Journal:

Mathematical Finance

Year:

1994

Language:

english

File:

PDF, 577 KB

english, 1994

14

DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK

Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski

Journal:

Mathematical Finance

Year:

2008

Language:

english

File:

PDF, 226 KB

english, 2008

15

Arbitrage pricing of defaultable game options with applications to convertible bonds

Bielecki, Tomasz R., Crépey, Stéphane, Jeanblanc, Monique, Rutkowski, Marek

Journal:

Quantitative Finance

Year:

2008

Language:

english

File:

PDF, 261 KB

english, 2008

16

Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices

Bielecki, Tomasz R., Jeanblanc, Monique, Rutkowski, Marek

Journal:

Stochastic Models

Year:

2006

Language:

english

File:

PDF, 209 KB

english, 2006

17

FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES

AHLIP, REHEZ, RUTKOWSKI, MAREK

Journal:

International Journal of Theoretical and Applied Finance

Year:

2009

Language:

english

File:

PDF, 263 KB

english, 2009

18

Static Replication of Forward-Start Claims and Realized Variance Swaps

Baldeaux, Jan, Rutkowski, Marek

Journal:

Applied Mathematical Finance

Year:

2010

Language:

english

File:

PDF, 267 KB

english, 2010

19

[IEEE Proceedings of the 45th IEEE Conference on Decision and Control - San Diego, CA, USA (2006.12.13-2006.12.15)] Proceedings of the 45th IEEE Conference on Decision and Control - Arbitrage Pricing of Convertible Securities with Credit Risk

Bielecki, Tomasz R., Crepey, Stephane, Jeanblanc, Monique, Rutkowski, Marek

Year:

2006

Language:

english

File:

PDF, 147 KB

english, 2006

20

ADMISSIBILITY OF GENERIC MARKET MODELS OF FORWARD SWAP RATES

Li, Libo, Rutkowski, Marek

Journal:

Mathematical Finance

Year:

2014

Language:

english

File:

PDF, 373 KB

english, 2014

21

Local times of functions of continuous semimartingales

Ouknine, Youssef, Rutkowski, Marek

Journal:

Stochastic Analysis and Applications

Year:

1995

Language:

english

File:

PDF, 497 KB

english, 1995

22

PDE approach to valuation and hedging of credit derivatives

Bielecki, Tomasz R., Jeanblanc *, Monique, Rutkowski, Marek

Journal:

Quantitative Finance

Year:

2005

Language:

english

File:

PDF, 261 KB

english, 2005

23

CVA UNDER ALTERNATIVE SETTLEMENT CONVENTIONS AND WITH SYSTEMIC RISK

DURAND, CYRIL, RUTKOWSKI, MAREK

Journal:

International Journal of Theoretical and Applied Finance

Year:

2013

Language:

english

File:

PDF, 382 KB

english, 2013

24

PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES

RUTKOWSKI, MAREK, YOUSIPH, KHAN

Journal:

International Journal of Theoretical and Applied Finance

Year:

2007

Language:

english

File:

PDF, 310 KB

english, 2007

25

AN EXTENSION OF THE BRODY–HUGHSTON–MACRINA APPROACH TO MODELING OF DEFAULTABLE BONDS

RUTKOWSKI, MAREK, YU, NANNAN

Journal:

International Journal of Theoretical and Applied Finance

Year:

2007

Language:

english

File:

PDF, 361 KB

english, 2007

26

The demand for labour and the disguised unemployment in Poland in the 1980s

Góra, Marek, Rutkowski, Michał

Journal:

Communist Economies

Year:

1990

Language:

english

File:

PDF, 703 KB

english, 1990

27

Dynamics of Spot, Forward, and Futures Libor Rates

Rutkowski, Marek

Journal:

International Journal of Theoretical and Applied Finance

Year:

1998

Language:

english

File:

PDF, 455 KB

english, 1998

28

High Plasma Adenine Concentration in Chronic Renal Failure and Its Relation to Erythrocyte ATP

Slominska, Ewa M., Szolkiewicz, Marek, Smolenski, Ryszard T., Rutkowski, Boleslaw, Swierczynski, Julian

Journal:

Year:

2002

Language:

english

File:

PDF, 65 KB

english, 2002

29

FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION

NIE, TIANYANG, RUTKOWSKI, MAREK

Journal:

International Journal of Theoretical and Applied Finance

Year:

2015

Language:

english

File:

PDF, 336 KB

english, 2015

30

Models of forward Libor and swap rates

Rutkowski, Marek

Journal:

Applied Mathematical Finance

Year:

1999

Language:

english

File:

PDF, 530 KB

english, 1999

31

Arbitrage-free pricing of multi-person game claims in discrete time

Guo, Ivan, Rutkowski, Marek

Journal:

Finance and Stochastics

Year:

2017

Language:

english

File:

PDF, 1.10 MB

english, 2017

32

Arbitrage-free pricing of derivatives in nonlinear market models

Bielecki, Tomasz R., Cialenco, Igor, Rutkowski, Marek

Journal:

Probability, Uncertainty and Quantitative Risk

Year:

2018

Language:

english

File:

PDF, 1.00 MB

english, 2018

33

Increased Rate of Adenine Incorporation into Adenine Nucleotide Pool in Erythrocytes of Patients with Chronic Renal Failure

Marlewski, Maciej, Smolenski, Ryszard T., Szolkiewicz, Marek, Aleksandrowicz, Zenon, Rutkowski, Boleslaw, Swierczynski, Julian

Journal:

Year:

2000

Language:

english

File:

PDF, 216 KB

english, 2000

34

Pricing and trading credit default swaps in a hazard process model

Bielecki, Tomasz R., Jeanblanc, Monique, Rutkowski, Marek

Journal:

The Annals of Applied Probability

Year:

2008

File:

PDF, 318 KB

2008

35

Surgical treatment of patients with initially inoperable and/or metastatic gastrointestinal stromal tumors (GIST) during therapy with imatinib mesylate

Piotr Rutkowski, Zbigniew Nowecki, Pawel Nyckowski, Wirginiusz Dziewirski, Urszula Grzesiakowska, Anna Nasierowska-Guttmejer, Marek Krawczyk, Wlodzimierz Ruka

Journal:

Journal of Surgical Oncology

Year:

2006

Language:

english

File:

PDF, 320 KB

english, 2006

36

Stochastic differential equations with singular drift

Marek Rutkowski

Journal:

Statistics & Probability Letters

Year:

1990

Language:

english

File:

PDF, 366 KB

english, 1990

37

A simple proof for the Kalman-Bucy smoothed estimate formula

Marek Rutkowski

Journal:

Statistics & Probability Letters

Year:

1993

Language:

english

File:

PDF, 440 KB

english, 1993

38

Left and right linear innovations for a multivariate SαS random variable

Marek Rutkowski

Journal:

Statistics & Probability Letters

Year:

1995

Language:

english

File:

PDF, 521 KB

english, 1995

39

Strong comparison of solutions of one-dimensional stochastic differential equations

Youssef Ouknine, Marek Rutkowski

Journal:

Stochastic Processes and their Applications

Year:

1990

Language:

english

File:

PDF, 834 KB

english, 1990

40

N-methyl-2-pyridone-5-carboxamide: A novel uremic toxin?

Rutkowski, Boleslaw, Slominska, Ewa, Szolkiewicz, Marek, Smolenski, Ryszard T., Striley, Cindy, Rutkowski, Przemyslaw, Swierczynski, Julian

Journal:

Kidney International

Year:

2003

Language:

english

File:

PDF, 454 KB

english, 2003

41

Accumulation of poly(ADP-ribose) polymerase inhibitors in children with chronic renal failure

Ewa M. Slominska, Katarzyna Kowalik, Ryszard T. Smolenski, Marek Szolkiewicz, Przemyslaw Rutkowski, Boleslaw Rutkowski, Julian Swierczynski

Journal:

Pediatric Nephrology

Year:

2006

Language:

english

File:

PDF, 202 KB

english, 2006

42

Hedging of a credit default swaption in the CIR default intensity model

Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski

Journal:

Finance and Stochastics

Year:

2011

Language:

english

File:

PDF, 974 KB

english, 2011

43

Continuous-time term structure models: Forward measure approach

Marek Musiela, Marek Rutkowski

Journal:

Finance and Stochastics

Year:

1997

Language:

english

File:

PDF, 283 KB

english, 1997

44

The influence of erythropoietin on cytokines in haemodialysis patients

Boleslaw RUTKOWSKI, Marek SZOLKIEWICZ, Jacek MANITIUS, Jolanta MYLAWSKA, Ewa BRYL, Andrzej MYSALIWSKI

Journal:

Year:

1997

Language:

english

File:

PDF, 412 KB

english, 1997

45

Accelerated degradation of adenine nucleotide in erythrocytes of patients with chronic renal failure

Maciej Marlewski, Ryszard T. Smolenski, Marek Szolkiewicz, Zenon Aleksandrowicz, Boleslaw Rutkowski, Julian Swierczynski

Journal:

Molecular and Cellular Biochemistry

Year:

2000

Language:

english

File:

PDF, 170 KB

english, 2000

46

Accumulation of plasma N-methyl-2-pyridone-5-carboxamide in patients with chronic renal failure

Ewa M. Slominska, Ryszard T. Smolenski, Marek Szolkiewicz, Neil Leaver, Boleslaw Rutkowski, H. Anne Simmonds, Julian Swierczynski

Journal:

Molecular and Cellular Biochemistry

Year:

2002

Language:

english

File:

PDF, 66 KB

english, 2002

47

Distal Bowel Surgical Margin Shorter than 1

Andrzej Rutkowski, Krzysztof Bujko, Marek P. Nowacki, Ewa Chmielik, Anna Nasierowska-Guttmejer, Andrzej Wojnar, On Behalf of the Polish Colorectal Study Group

Journal:

Annals of Surgical Oncology

Year:

2008

Language:

english

File:

PDF, 269 KB

english, 2008

48

Random times and multiplicative systems

Libo Li, Marek Rutkowski

Journal:

Stochastic Processes and their Applications

Year:

2012

Language:

english

File:

PDF, 303 KB

english, 2012

49

The role of lipogenesis in the development of uremic hyperlipidemia

Boleslaw Rutkowski, Marek Szolkiewicz, Justyna Korczynska, Elzbieta Sucajtys, Ewa Stelmanska, Tomasz Nieweglowski, Julian Swierczynski

Journal:

American Journal of Kidney Diseases

Year:

2003

Language:

english

File:

PDF, 119 KB

english, 2003

50

Population genetics of the hazel henBonasa bonasiain Poland assessed with non-invasive samples

Robert Rutkowski, Marek Keller, Patrycja Jagołkowska

Journal:

Central European Journal of Biology

Year:

2012

Language:

english

File:

PDF, 968 KB

english, 2012