| Year |
Citation |
Score |
| 2020 |
Bielecki TR, Cialenco I, Pitera M, Schmidt T. Fair Estimation of Capital Risk Allocation Statistics and Risk Modeling. 37: 1-24. DOI: 10.1515/Strm-2019-0011 |
0.352 |
|
| 2019 |
Bielecki TR, Chen T, Cialenco I, Cousin A, Jeanblanc M. Adaptive Robust Control Under Model Uncertainty Siam Journal On Control and Optimization. 57: 925-946. DOI: 10.1137/17M1137917 |
0.312 |
|
| 2018 |
Bielecki TR, Cialenco I, Rutkowski M. Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models Probability, Uncertainty and Quantitative Risk. 3: 1-56. DOI: 10.1186/S41546-018-0027-X |
0.394 |
|
| 2018 |
Bielecki TR, Cialenco I, Feng S. A Dynamic Model of Central Counterparty Risk International Journal of Theoretical and Applied Finance. 21: 1850050. DOI: 10.1142/S0219024918500504 |
0.386 |
|
| 2017 |
Bielecki TR, Cialenco I, Pitera M. A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time Mathematics of Operations Research. 43: 204-221. DOI: 10.1287/Moor.2017.0858 |
0.359 |
|
| 2017 |
Bielecki TR, Cialenco I, Pitera M. A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective Probability, Uncertainty and Quantitative Risk. 2: 1-52. DOI: 10.1186/S41546-017-0012-9 |
0.336 |
|
| 2017 |
Bielecki TR, Jakubowski J, Niewęgłowski M. Conditional Markov chains: Properties, construction and structured dependence Stochastic Processes and Their Applications. 127: 1125-1170. DOI: 10.1016/J.Spa.2016.07.010 |
0.356 |
|
| 2015 |
Bielecki TR, Cialenco I, Chen T. Dynamic Conic Finance via Backward Stochastic Difference Equations Siam Journal On Financial Mathematics. 6: 1068-1122. DOI: 10.1137/141002013 |
0.454 |
|
| 2015 |
Bielecki TR, Rutkowski M. Valuation and Hedging of Contracts with Funding Costs and Collateralization Siam Journal On Financial Mathematics. 6: 594-655. DOI: 10.1137/130928819 |
0.404 |
|
| 2015 |
Bielecki TR, Cialenco I, Rodriguez R. No-arbitrage Pricing For dividend-paying securities in discrete-time markets with transaction costs Mathematical Finance. 25: 673-701. DOI: 10.1111/Mafi.12038 |
0.422 |
|
| 2015 |
Bielecki TR, Cialenco I, Pitera M. Dynamic Limit Growth Indices in Discrete Time Stochastic Models. 31: 494-523. DOI: 10.1080/15326349.2015.1053616 |
0.372 |
|
| 2014 |
Bielecki TR, Cousin A, Crépey S, Herbertsson A. A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries Communications in Statistics - Theory and Methods. 43: 1362-1389. DOI: 10.2139/Ssrn.2159279 |
0.428 |
|
| 2014 |
Bielecki TR, Cialenco I, Zhang Z. Dynamic coherent acceptability indices and their applications to finance Mathematical Finance. 24: 411-441. DOI: 10.1111/J.1467-9965.2012.00524.X |
0.413 |
|
| 2014 |
Bielecki TR, Cousin A, Crépey S, Herbertsson A. Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model Journal of Optimization Theory and Applications. 161: 90-102. DOI: 10.1007/S10957-013-0318-4 |
0.412 |
|
| 2014 |
Bielecki TR, Crépey S. Dynamic hedging of counterparty exposure Inspired by Finance: the Musiela Festschrift. 47-71. DOI: 10.1007/978-3-319-02069-3_3 |
0.321 |
|
| 2013 |
Bielecki TR, Jakubowski J, Niewȩgłowski M. Intricacies of dependence between components of multivariate Markov chains: Weak Markov consistency and weak Markov copulae Electronic Journal of Probability. 18. DOI: 10.1214/Ejp.V18-2238 |
0.323 |
|
| 2013 |
Bielecki TR, Cialenco I, Iyigunler I. Collateralized CVA valuation with rating triggers and credit migrations International Journal of Theoretical and Applied Finance. 16. DOI: 10.1142/S021902491350009X |
0.681 |
|
| 2013 |
Bielecki TR, Cialenco I, Iyigunler I, Rodriguez R. Dynamic conic finance: Pricing and hedging in market models with transaction costs via dynamic coherent acceptability indices International Journal of Theoretical and Applied Finance. 16. DOI: 10.1142/S0219024913500027 |
0.687 |
|
| 2012 |
Bielecki TR, CrÉpey S, Jeanblanc M, Zargari B. Valuation and hedging of cds counterparty exposure in a markov copula model International Journal of Theoretical and Applied Finance. 15. DOI: 10.1142/S0219024911006498 |
0.361 |
|
| 2012 |
Bielecki TR, Jakubowski J, Niewegowski M. Study of dependence for some stochastic processes: Symbolic Markov copulae Stochastic Processes and Their Applications. 122: 930-951. DOI: 10.1016/J.Spa.2011.11.001 |
0.373 |
|
| 2011 |
Bielecki TR, Jeanblanc M, Rutkowski M. Hedging of a credit default swaption in the CIR default intensity model Finance and Stochastics. 15: 541-572. DOI: 10.1007/S00780-010-0143-7 |
0.378 |
|
| 2010 |
Bielecki TR, Crépey S, Jeanblanc M. Up and down credit risk Quantitative Finance. 10: 1137-1151. DOI: 10.1080/14697680903382776 |
0.429 |
|
| 2009 |
Bielecki TR, Crépey S, Jeanblanc M, Rutkowski M. Defaultable game options in a hazard process model Journal of Applied Mathematics and Stochastic Analysis. 2009. DOI: 10.1155/2009/695798 |
0.421 |
|
| 2008 |
Bielecki T, Vidozzi A, Vidozzi L. A Markov copulae approach to pricing and hedging of credit index derivatives and ratings triggered step-up bonds Journal of Credit Risk. 4: 47-76. DOI: 10.21314/Jcr.2008.068 |
0.659 |
|
| 2008 |
Bielecki TR, Jeanblanc M, Rutkowski M. Pricing and trading credit default swaps in a hazard process model Annals of Applied Probability. 18: 2495-2529. DOI: 10.1214/00-Aap520 |
0.498 |
|
| 2008 |
Bielecki TR, Crépey S, Jeanblanc M, Rutkowski M. Defaultable options in a Markovian intensity model of credit risk Mathematical Finance. 18: 493-518. DOI: 10.1111/J.1467-9965.2008.00345.X |
0.433 |
|
| 2008 |
Bielecki TR, Crepey S, Jeanblanc M, Rutkowski M. Arbitrage pricing of defaultable game options with applications to convertible bonds Quantitative Finance. 8: 795-810. DOI: 10.1080/14697680701401083 |
0.346 |
|
| 2008 |
Bielecki TR, Jakubowski J, Vidozzi A, Vidozzi L. Study of dependence for some stochastic processes Stochastic Analysis and Applications. 26: 903-924. DOI: 10.1080/07362990802128958 |
0.669 |
|
| 2007 |
Bielecki T, Jeanblanc M, Rutkowski M. Hedging Of Basket Credit Derivatives In Credit Default Swap Market Journal of Credit Risk. 3: 91-132. DOI: 10.21314/Jcr.2007.046 |
0.343 |
|
| 2006 |
Bielecki TR, Pliska SR, Sheu SJ. Risk sensitive portfolio management with Cox-Ingersoll-Ross interest rates: The HJB equation Siam Journal On Control and Optimization. 44: 1811-1843. DOI: 10.1137/S0363012903437952 |
0.423 |
|
| 2006 |
Bielecki TR, Jeanblanc M, Rutkowski M. Replication of contingent claims in a reduced-form credit risk model with discontinuous asset prices Stochastic Models. 22: 661-687. DOI: 10.1080/15326340600878313 |
0.406 |
|
| 2006 |
Bielecki TR, Jang I. Portfolio optimization with a defaultable security Asia-Pacific Financial Markets. 13: 113-127. DOI: 10.1007/S10690-007-9037-X |
0.419 |
|
| 2005 |
Bielecki TR, Pliska S, Yong J. Optimal investment decisions for a portfolio with a rolling horizon bond and a discount bond International Journal of Theoretical and Applied Finance. 8: 871-913. DOI: 10.1142/S0219024905003335 |
0.377 |
|
| 2005 |
Bielecki TR, Jin H, Pliska SR, Zhou XY. Continuous-time mean-variance portfolio selection with bankruptcy prohibition Mathematical Finance. 15: 213-244. DOI: 10.1111/J.0960-1627.2005.00218.X |
0.407 |
|
| 2005 |
Bielecki TR, Jeanblanc M, Rutkowski M. PDE approach to valuation and hedging of credit derivatives Quantitative Finance. 5: 257-270. DOI: 10.1080/14697680500149297 |
0.39 |
|
| 2004 |
Bielecki TR, Rutkowski M. Modeling of the Defaultable Term Structure: Conditionally Markov Approach Ieee Transactions On Automatic Control. 49: 361-373. DOI: 10.1109/Tac.2004.824480 |
0.368 |
|
| 2004 |
Bielecki TR, Pliska SR. Risk-Sensitive ICAPM With Application to Fixed-Income Management Ieee Transactions On Automatic Control. 49: 420-432. DOI: 10.1109/Tac.2004.824470 |
0.451 |
|
| 2003 |
Bielecki TR, Rutkowski M. Dependent defaults and credit migrations Applicationes Mathematicae. 30: 121-145. DOI: 10.4064/Am30-2-1 |
0.392 |
|
| 2003 |
Bielecki TR, Pliska SR. Economic Properties of the Risk Sensitive Criterion for Portfolio Management Review of Accounting and Finance. 2: 3-17. DOI: 10.1108/Eb027004 |
0.356 |
|
| 2000 |
Bielecki TR, Rutkowski M. Multiple ratings model of defaultable term structure Mathematical Finance. 10: 125-139. DOI: 10.1111/1467-9965.00085 |
0.431 |
|
| 2000 |
Bielecki TR, Pliska SR, Sherris M. Risk sensitive asset allocation Journal of Economic Dynamics and Control. 24: 1145-1177. DOI: 10.1016/S0165-1889(99)00017-2 |
0.433 |
|
| 2000 |
Bielecki TR, Pliska SR. Risk sensitive asset management with transaction costs Finance and Stochastics. 4: 1-33. DOI: 10.1007/S007800050001 |
0.391 |
|
| 1999 |
Bielecki TR, Pliska SR. Risk-Sensitive Dynamic Asset Management Applied Mathematics and Optimization. 39: 337-360. DOI: 10.1007/S002459900110 |
0.42 |
|
| 1999 |
Bielecki TR, Hernández-Hernández D, Pliska SR. Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management Mathematical Methods of Operations Research. 50: 167-188. DOI: 10.1007/S001860050094 |
0.396 |
|
| 1998 |
Bielecki TR, Stettner L. Ergodic control of a singularly perturbed markov process in discrete time with general state and compact action spaces Applied Mathematics and Optimization. 38: 261-281. DOI: 10.1007/S002459900091 |
0.333 |
|
| 1997 |
Bielecki TR. Approximations of dynamic Nash games with general state and action spaces and ergodic costs for the players Applicationes Mathematicae. 24: 195-202. DOI: 10.4064/Am-24-2-195-202 |
0.329 |
|
| 1995 |
Bielecki TR. The Linear-Quadratic Control Problem Revisited Siam Journal On Control and Optimization. 33: 1425-1442. DOI: 10.1137/S0363012992233895 |
0.359 |
|
| 1993 |
Bielecki TR, Frei M. Identification and control in the partially known Merton portfolio selection model Journal of Optimization Theory and Applications. 77: 399-420. DOI: 10.1007/Bf00940720 |
0.334 |
|
| 1992 |
Abbad M, Filar JA, Bielecki TR. Algorithms for singularly perturbed limiting average markov control problems Ieee Transactions On Automatic Control. 37: 1421-1425. DOI: 10.1109/9.159585 |
0.329 |
|
| 1991 |
Bielecki TR, Filar JA. Singularly perturbed Markov control problem: Limiting average cost Annals of Operations Research. 28: 153-168. DOI: 10.1007/Bf02055579 |
0.363 |
|
| 1991 |
Bielecki TR. Adaptive control of continuous-time linear stochastic systems with discounted cost criterion Journal of Optimization Theory and Applications. 68: 379-383. DOI: 10.1007/Bf00941575 |
0.323 |
|
| 1989 |
Bielecki T, Stettner Ł. On limit control principle for singularly perturbed Markov processes Lecture Notes in Control and Information Sciences. 136: 274-283. DOI: 10.1007/Bfb0002688 |
0.308 |
|
| 1989 |
Bielecki T, Stettner Ł. On ergodic control problems for singularly perturbed Markov processes Applied Mathematics and Optimization. 20: 131-161. DOI: 10.1007/Bf01447652 |
0.344 |
|
| 1988 |
Bielecki T, Kumar PR. Optimality of zero-inventory policies for unreliable manufacturing systems Operations Research. 36: 532-541. DOI: 10.1287/Opre.36.4.532 |
0.305 |
|
| 1988 |
Bielecki T, Stettner E. On some problems arising in asymptotic analysis of Markov processes with singularly perturbed generators Stochastic Analysis and Applications. 6: 129-168. DOI: 10.1080/07362998808809140 |
0.393 |
|
| 1986 |
Bielecki T. Adaptive control of a Markov chain over a finite parameter set without continuity assumptions on the control laws Ieee Transactions On Automatic Control. 31: 985-987. DOI: 10.1109/Tac.1986.1104149 |
0.307 |
|
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