Cristin Buescu

Generating author description...

All published works

Action	Title	Year	Authors
+ PDF Chat	Optimal post-retirement investment under longevity risk in collective funds	2024	J. Armstrong Cristin Buescu James Dalby
+	Analytical valuation of vulnerable derivative contracts with bilateral cash flows under credit, funding and wrong-way risks	2023	Juan Jose Francisco Miguelez Cristin Buescu
+ PDF Chat	Portfolio optimization for cointelated pairs: SDEs vs Machine learning	2020	Babak Mahdavi-Damghani Konul Mustafayeva Cristin Buescu Stephen Roberts
+	Asymptotically Optimal Management of Heterogeneous Collectivised Investment Funds	2020	John Armstrong Cristin Buescu
+	Collectivised Pension Investment with Exponential Kihlstrom--Mirman Preferences	2019	John Armstrong Cristin Buescu
+	Collectivised Pension Investment	2019	John Armstrong Cristin Buescu
+	Collectivised Post-Retirement Investment	2019	John Armstrong Cristin Buescu
+	Collectivised Pension Investment with Homogeneous Epstein-Zin Preferences	2019	John Armstrong Cristin Buescu
+ PDF Chat	Portfolio Optimization for Cointelated Pairs: SDEs vs Machine Learning	2019	Babak Mahdavi-Damghani Konul Mustafayeva Cristin Buescu Stephen Roberts
+	Collectivised Pension Investment with Exponential Kihlstrom--Mirman Preferences	2019	John Armstrong Cristin Buescu
+	Collectivised Post-Retirement Investment	2019	John Armstrong Cristin Buescu
+	Portfolio Optimization for Cointelated Pairs: SDEs vs. Machine Learning	2018	Babak Mahdavi-Damghani Konul Mustafayeva Stephen Roberts Cristin Buescu
+	Risk-neutral valuation under differential funding costs, defaults and collateralization	2018	Damiano Brigo Cristin Buescu Marco Francischello Andrea Pallavicini Marek Rutkowski
+ PDF Chat	Risk-Neutral Valuation Under Differential Funding Costs, Defaults and Collateralization	2018	Damiano Brigo Cristin Buescu Marco Francischello Andrea Pallavicini Marek Rutkowski
+	Portfolio Optimization for Cointelated Pairs: SDEs vs. Machine Learning	2018	Babak Mahdavi-Damghani Konul Mustafayeva Stephen Roberts Cristin Buescu
+	Risk-neutral valuation under differential funding costs, defaults and collateralization	2018	Damiano Brigo Cristin Buescu Marco Francischello Andrea Pallavicini Marek Rutkowski
+	Funding, repo and credit inclusive valuation as modified option pricing	2017	Damiano Brigo Cristin Buescu Marek Rutkowski
+	Funding, repo and credit inclusive valuation as modified option pricing	2016	Damiano Brigo Cristin Buescu Marek Rutkowski
+	Funding, Repo and Credit Inclusion in Option Pricing via Dividends	2016	Damiano Brigo Cristin Buescu Marek Rutkowski
+	Funding, repo and credit inclusive valuation as modified option pricing	2016	Damiano Brigo Cristin Buescu Marek Rutkowski
+ PDF Chat	AN APPLICATION OF THE METHOD OF MOMENTS TO RANGE-BASED VOLATILITY ESTIMATION USING DAILY HIGH, LOW, OPENING, AND CLOSING (HLOC) PRICES	2013	Cristin Buescu Michael Taksar Fatoumata J. Koné
+ PDF Chat	Illustrating a Problem in the Self-Financing Condition in Two 2010-2011 Papers on Funding, Collateral and Discounting	2012	Damiano Brigo Cristin Buescu Andrea Pallavicini Qing Liu
+	Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting	2012	Damiano Brigo Cristin Buescu Andrea Pallavicini Qing Liu
+	An application of the method of moments to volatility estimation using daily high, low, opening and closing prices	2011	Cristin Buescu Michael Taksar Fatoumata J. Koné
+	Impact of the first to default time on Bilateral CVA	2011	Damiano Brigo Cristin Buescu Massimo Morini
+ PDF Chat	Impact of the First to Default Time on Bilateral CVA	2011	Damiano Brigo Cristin Buescu Massimo Morini
+	An application of the method of moments to volatility estimation using daily high, low, opening and closing prices	2011	Cristin Buescu Michael Taksar
+	Impact of the first to default time on Bilateral CVA	2011	Damiano Brigo Cristin Buescu Massimo Morini

Common Coauthors

Coauthor	Papers Together
Damiano Brigo	12
John Armstrong	7
Marek Rutkowski	6
Andrea Pallavicini	5
Konul Mustafayeva	4
Babak Mahdavi-Damghani	4
Massimo Morini	3
Marco Francischello	3
Stephen Roberts	3
Michael Taksar	3
Fatoumata J. Koné	2
James Dalby	1
Juan Jose Francisco Miguelez	1
Qing Liu	1
Marek Rutkowski	1
Qing Liu	1
J. Armstrong	1
Stephen Roberts	1

Commonly Cited References

Action	Title	Year	Authors	# of times referenced
+ PDF Chat	Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting	2011	Damiano Brigo Agostino Capponi Andrea Pallavicini Vasileios Papatheodorou	4
+	Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks	2014	Damiano Brigo Andrea Pallavicini	4
+ PDF Chat	Valuation and Hedging of Contracts with Funding Costs and Collateralization	2015	Tomasz R. Bielecki Marek Rutkowski	4
+ PDF Chat	The Asymptotic Distribution of the Range of Sums of Independent Random Variables	1951	William Feller	3
+ PDF Chat	Convergence of Probability Measures	1999	Patrick Billingsley	3
+	Collectivised Pension Investment with Exponential Kihlstrom--Mirman Preferences	2019	John Armstrong Cristin Buescu	3
+	Classifying Markets up to Isomorphism	2018	John Armstrong	3
+ PDF Chat	COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS	2013	Tomasz R. Bielecki Igor Cialenco Ismail Iyigunler	3
+	Collectivised Pension Investment with Homogeneous Epstein-Zin Preferences	2019	John Armstrong Cristin Buescu	3
+ PDF Chat	Funding Valuation Adjustment: A Consistent Framework Including CVA, DVA, Collateral, Netting Rules and Re-Hypothecation	2011	Andrea Pallavicini Daniele Perini Damiano Brigo	3
+ PDF Chat	Estimating correlation from high, low, opening and closing prices	2008	L. C. G. Rogers Fanyin Zhou	2
+ PDF Chat	A BSDE approach to fair bilateral pricing under endogenous collateralization	2016	Tianyang Nie Marek Rutkowski	2
+	Inference procedures for a bivariate exponential model of Gumbel based on life test of component and system	1991	Jye‐Chyi Lu G. K. Bhattacharyya	2
+	A Multivariate Exponential Distribution	1967	Albert W. Marshall Ingram Olkin	2
+ PDF Chat	Funding, Collateral and Hedging: Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustments	2012	Andrea Pallavicini Daniele Perini Damiano Brigo	2
+ PDF Chat	On the maximum drawdown of a Brownian motion	2004	Malik Magdon‐Ismail Amir F. Atiya Amrit Pratap Yaser S. Abu‐Mostafa	2
+ PDF Chat	Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-Hypothecation, WWR, Basel, Funding, CCDS and Margin Lending	2012	Damiano Brigo	2
+	Continuous Multivariate Distributions	2014	N. Balakrishnan	2
+	Bivariate Exponential Distributions	1960	E. J. Gumbel	2
+	FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION	2015	Tianyang Nie Marek Rutkowski	2
+	Funding, repo and credit inclusive valuation as modified option pricing	2017	Damiano Brigo Cristin Buescu Marek Rutkowski	2
+	An indifference approach to the cost of capital constraints: KVA and beyond	2017	Damiano Brigo Marco Francischello Andrea Pallavicini	2
+	DGM: A deep learning algorithm for solving partial differential equations	2018	Justin Sirignano Konstantinos Spiliopoulos	2
+	Epstein-Zin Utility Maximization on a Random Horizon	2019	Joshua Aurand Yu‐Jui Huang	2
+	Collectivised Pension Investment	2019	John Armstrong Cristin Buescu	2
+	Collectivised Post-Retirement Investment	2019	John Armstrong Cristin Buescu	2
+	Classifying Financial Markets up to Isomorphism	2018	John Armstrong	2
+	Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions	2010	Damiano Brigo Massimo Morini	2
+ PDF Chat	An Indifference Approach to the Cost of Capital Constraints: KVA and Beyond	2017	Damiano Brigo Marco Francischello Andrea Pallavicini	2
+ PDF Chat	Consumption–investment optimization with Epstein–Zin utility in incomplete markets	2016	Hao Xing	2
+	Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation	2011	Andrea Pallavicini Daniele Perini Damiano Brigo	2
+	Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models	2017	Tomasz R. Bielecki Igor Cialenco Marek Rutkowski	1
+ PDF Chat	Invariance, Existence and Uniqueness of Solutions of Nonlinear Valuation PDEs and FBSDEs Inclusive of Credit Risk, Collateral and Funding Costs	2015	Damiano Brigo Marco Francischello Andrea Pallavicini	1
+ PDF Chat	Rates of Weak Convergence and Asymptotic Expansions for Classical Central Limit Theorems	1971	Ritwik Bhattacharya	1
+ PDF Chat	A Generalization of the Glivenko-Cantelli Theorem	1959	Howard G. Tucker	1
+	Asymptotically Optimal Management of Heterogeneous Collectivised Investment Funds	2020	John Armstrong Cristin Buescu	1
+ PDF Chat	Arbitrage-free SVI volatility surfaces	2013	Jim Gatheral Antoine Jacquier	1
+ PDF Chat	COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA	2013	Stéphane Crépey Rémi Gerboud Zorana Grbac Nathalie Ngor	1
+	Continuous Multivariate Distributions	2009	Kotz	1
+	Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps	2009	Damiano Brigo Agostino Capponi	1
+ PDF Chat	Arbitrage‐free XVA	2017	Maxim Bichuch Agostino Capponi Stephan Sturm	1
+	Continuous Multivariate Distributions	2000	Samuel Kotz N. Balakrishnan Norman L. Johnson	1
+ PDF Chat	Arbitrage-free pricing of derivatives in nonlinear market models	2018	Tomasz R. Bielecki Igor Cialenco Marek Rutkowski	1
+ PDF Chat	Dangers of Bilateral Counterparty Risk: The Fundamental Impact of Closeout Conventions	2010	Damiano Brigo Massimo Morini	1
+	A Multivariate Exponential Distribution	1967	Albert W. Marshall Ingram Olkin	1
+	Convergence of Probability Measures	1969	J. F. C. Kingmán P. Billingsley	1
+	Inferring agent objectives at different scales of a complex adaptive system	2017	Dieter Hendricks Adam D. Cobb Richard Everett Jonathan Downing Stephen Roberts	1
+	Risk-neutral valuation under differential funding costs, defaults and collateralization	2018	Damiano Brigo Cristin Buescu Marco Francischello Andrea Pallavicini Marek Rutkowski	1
+ PDF Chat	Bilateral Counterparty Risk Valuation for Interest-Rate Products: Impact of Volatilities and Correlations	2009	Damiano Brigo Andrea Pallavicini Vasileios Papatheodorou	1
+	Solving Nonlinear and High-Dimensional Partial Differential Equations via Deep Learning	2018	Ali Al-Aradi Adolfo Correia Danilo Naiff Gabriel Jardim Yuri F. Saporito	1