| | 
Tomasz R. Bielecki4th Most Prolific Credit Author in DefaultRisk.com
Illinois Institute of Technology -- Applied Mathematics
10 W. 32nd Street
Engineering 1 Room 204
Chicago, IL 60616
USA - Warsaw School of Economics, Ph. D.
- Mathematical finance, stochastic control, stochastic analysis, probability and random processes, quantitative methods for risk management in finance and insurance.
| Contact: | | Email address secured by Enkoder. | | Phone | +1 (312) 567-3165 | | Fax | +1 (312) 567-3135 | | e-mail |
|
Publications: that are posted on DefaultRisk.com Credit Pricing Defaultable Game Options in a Hazard Process Model
by Tom R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry Val d'Essonne
Monique Jeanblanc of the Université d'Évry Val d'Essonne & Europlace Institute of Finance, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(747K PDF) -- 33 pages -- July 2009 Indifference Pricing and Hedging of Defaultable Claims
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of Warsaw University of Technology
(271K PDF) -- 27 pages -- May 1, 2004 Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches
by Tomasz R. Bielecki of the Illinois Institute of Technology, and
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the Warsaw University of Technology
(299K PDF) -- 25 pages -- October 18, 2003 Credit Modeling A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries
by Tomasz R. Bielecki of Illinois Institute of Technology,
Areski Cousin of Université Lyon 1, LSAF,
Stéphane Crépey of Université d'Evry Val d'Essonne, and
Alexander Herbertsson of University of Gothenburg
(935K PDF) -- 26 pages -- August 26, 2013 Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model
by Tomasz R. Bielecki of Illinois Institute of Technology,
Areski Cousin of Université Lyon 1, LSAF,
Stéphane Crépey of Université d'Évry Val d'Essonne, and
Alexander Herbertsson of University of Gothenburg
(808K PDF) -- 45 pages -- October 8, 2012 A Markov Copula Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries
by Tomasz R. Bielecki of Illinois Institute of Technology,
Areski Cousin of Université Lyon 1, LSAF,
Stéphane Crépey of Université d'Évry Val d'Essonne, and
Alexander Herbertsson of University of Gothenburg
(808K PDF) -- 45 pages -- October 4, 2012 CVA Computation for Counterparty Risk Assessment in Credit Portfolios
by Samson Assefa of the Université d'Evry Val d'Essonne,
Tomasz R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry Val d'Essonne, and
Monique Jeanblanc of the Université d'Evry Val d'Essonne & Europlace Institute of Finance
(945K PDF) -- 41 pages -- December 5, 2009 Markov Chain Models of Portfolio Credit Risk
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry Val d'Essonne, and
Alexander Herbertsson of the University of Gothenburg
(1,184K PDF) -- 44 pages -- November 23, 2009 Up and Down Credit Risk
by Tom Bielecki of Illinois Institute of Technology,
Stéphane Crépey of the Université d' Évry Val d'Essonne, and
Monique Jeanblanc of the Université d' Évry Val d'Essonne & Europlace Institute of Finance
(1,305K PDF) -- 22 pages -- October 1, 2009 Convertible Bonds in a Defaultable Diffusion Model
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry Val d'Essonne,
Monique Jeanblanc of the Université d'Évry Val d'Essonne & Institut Europlace de Finance, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(457K PDF) -- 35 pages -- February 16, 2009 Defaultable Options in a Markovian Intensity Model of Credit Risk
by Tom Bielecki of Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry,
Monique Jeanblanc of the Université d'Évry,and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(371K PDF) -- 23 page -- December 23, 2007 Completeness of a Reduced-Form Credit Risk Model with Discontinuous Asset Prices
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(232K PDF) -- 19 pages -- August 20, 2005 Replication of Defaultable Claims within the Reduced-Form Framework
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales
(380K PDF) -- 47 pages -- April 13, 2004 Probabilistic Aspects of Default Risk Modeling
by Tomasz Bielecki of Northeastern Illinois University, and
Marek Rutkowski of the Technical University of Warsaw
(386K PDF) -- 24 pages -- 1998 Credit Derivatives Collateralized CVA Valuation with Rating Triggers and Credit Migrations
by Tomasz R. Bielecki of Illinois Institute of Technology,
Igor Cialenco of Illinois Institute of Technology, and
Ismail Iyigunler of Illinois Institute of Technology
(310K PDF) -- 30 pages -- March 2013 Valuation and Hedging of CDS Counterparty Exposure in a Markov Copula Model
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry Val d'Essonne,
Monique Jeanblanc of the Université d'Évry Val d'Essonne & Europlace Institute of Finance, and
Behnaz Zargari of the Université d'Évry Val d'Essonne & Sharif University of Technology
(950K PDF) -- 38 pages -- February 18, 2011 Hedging of Credit Default Swaptions in a Hazard Process Model
by Tomasz Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne & Institut Europlace de Finance, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(292K PDF) -- 28 pages -- December 14, 2008 Pricing and Trading Credit Default Swaps in a Hazard Process Model
by Tomasz Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of Évry University, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(378K PDF) -- 37 pages -- January 2008 Hedging of Credit Derivatives in Models with Totally Unexpected Default
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of Warsaw University of Technology
(395K PDF) -- 50 pages -- October 7, 2005 PDE Approach to Valuation and Hedging of Credit Derivatives
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(231K PDF) -- 14 pages -- June 2005 Collateralized Debt Obligations Markov Copulae Approach to Pricing and Hedging of Credit Index Derivatives and Ratings Triggered Step-Up Bonds
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Andrea Vidozzi of the Illinois Institute of Technology, and
Luca Vidozzi of the Illinois Institute of Technology
(399K PDF) -- 22 pages -- April 2007 An Efficient Approach to Valuation of Credit Basket Products and Ratings Triggered Step-up Bonds
by Tomasz Bielecki of the Illinois Institute of Technology,
Andrea Vidozzi of the Illinois Institute of Technology, and
Luca Vidozzi of the Illinois Institute of Technology
(286K PDF) -- 25 pages -- May 2, 2006 Valuation of Basket Credit Derivatives in the Credit Migrations Environment
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry Val d'Essonne,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(362K PDF) -- 28 pages -- January 2006 Hedging of Basket Credit Derivatives in Credit Default Swap Market
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(325K PDF) -- 29 pages -- December 27, 2006 Credit Correlation Study of Dependence for Some Stochastic Processes
by Tomasz Bielecki of the Illinois Institute of Technology,
Jacek Jakubowski of the University of Warsaw,
Andrea Vidozzi of the Illinois Institute of Technology, and
Luca Vidozzi of the Illinois Institute of Technology
(254K PDF) -- 16 pages -- August 14, 2007 Dependent Defaults and Credit Migrations
by Tomasz R. Bielecki of The Northeastern Illinois University, and
Marek Rutkowski of the Warsaw University of Technology
(296K PDF) -- 25 pages -- March 11, 2003 Other Credit Valuation and Hedging of OTC Contracts with Funding Costs, Collateralization and Counterparty Credit Risk: Part 1
by Tomasz Bielecki of Illinois Institute of Technology, and
Marek Rutkowski of University of Sydney
June 21, 2013 Portfolio Optimization with a Defaultable Security
by Tomasz R. Bielecki of the Illinois Institute of Technology, and
Inwon Jang of Merrimack College
(246K PDF) -- 21 pages -- February 27, 2007 Arbitrage Pricing of Defaultable Game Options with Applications to Convertible Bonds
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry Val d'Essonne,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(282K PDF) -- 22 pages -- November 28, 2006 Mean- Variance Hedging of Defaultable Claims
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(300K PDF) -- 31 pages -- May 1, 2004 Books:  | Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity
Tomasz Bielecki, Damiano Brigo, Frederic Patras
Bloomberg Press, (February 8, 2011), Hardcover, 754 pages |  | Credit Risk Modeling: CSFI lecture note series
by Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski
Osaka University Press, (November 27, 2009), Hardcover, 284 pages |  | Paris-Princeton Lectures on Mathematical Finance 2003
by Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski, Tomas Björk, José Scheinkman, Wei Xiong
Springer, (December 3, 2004), Softcover, 250 pages |  | Credit Risk: Modelling Valuation and Hedging
by Tomasz R. Bielecki and Marek Rutkowski Springer Finance, (March 5, 2004 Second--corrected printing ), Hardcover, 540 pages |
[Home] [Credit Researchers] [Top Ten Most Prolific] [Top Ten Most Popular]
|
