Details about Marcin Dec

Access statistics for papers by Marcin Dec.

Last updated 2021-10-05. Update your information in the RePEc Author Service.

Short-id: pde1169

Working Papers

2021

1. Parsimonious yield curve modeling in less liquid markets
   GRAPE Working Papers, GRAPE Group for Research in Applied Economics
2. Welfare measurements with heterogeneous agents
   GRAPE Working Papers, GRAPE Group for Research in Applied Economics

2019

3. From point through density valuation to individual risk assessment in the discounted cash flows method
   GRAPE Working Papers, GRAPE Group for Research in Applied Economics

2018

4. Markovian and multi-curve friendly parametrisation of HJM model used in valuation adjustment of interest rate derivatives
   KAE Working Papers, Warsaw School of Economics, Collegium of Economic Analysis
   See also Journal Article Markovian and multi-curve friendly parametrisation of a HJM model used in valuation adjustment of interest rate derivatives, Bank i Kredyt, Narodowy Bank Polski (2019) (2019)
5. On the trade-offs in money market benchmarks' stabilisation
   KAE Working Papers, Warsaw School of Economics, Collegium of Economic Analysis

Journal Articles

2019

1. Markovian and multi-curve friendly parametrisation of a HJM model used in valuation adjustment of interest rate derivatives
   Bank i Kredyt, 2019, 50, (2), 107-148
   See also Working Paper Markovian and multi-curve friendly parametrisation of HJM model used in valuation adjustment of interest rate derivatives, KAE Working Papers (2018) (2018)