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Marek Rutkowski9th Most Prolific Credit Author in DefaultRisk.com
University of New South Wales -- School of Mathematics
Sydney, NSW 2052
Australia - PhD-Mathematics (1981) and DSc-Financial Mathematics (1998)
- Marek Rutkowski is Professor of Mathematical Finance at the Warsaw University of Technology (Poland). He is currently with both the Warsaw University of Technology and the Institute of Mathematics of the Polish Academy of Sciences.
- His recent fields of interest include the modelling of defaultable term structure, the valuation of credit derivatives, and the modelling of stochastic volatility. His joint monograph, with Tom Bielecki, entitled Credit Risk: Modeling, Valuation and Hedging was recently published by Springer-Verlag.
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 Valuation of Credit Default Swaptions and Credit Default Index Swaptions
by Marek Rutkowski of the University of New South Wales, and
Anthony Armstrong of the University of New South Wales
(259K PDF) -- 21 pages -- July 5, 2008 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 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 On the Brody-Hughston-Macrina Approach to Modeling of Defaultable Term Structure
by Nannan Yu of the University of New South, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(263K PDF) -- 27 pages -- December 5, 2005 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 Default Risk and Hazard Process
by Monique Jeanblanc of Université d'Évry Val d'Essonne, and
Marek Rutkowski of the Warsaw University of Technology
(416K PDF) -- 32 pages -- December 2001 Modelling of Default Risk: Mathematicals Tools
by Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the Warsaw University of Technology
(864K PDF) -- 67 pages -- March 30, 2000 Modelling of Default Risk: an Overview
by Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the Warsaw University of Technology
(724K PDF) -- 58 pages -- October 27, 1999 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 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 PDE Approach to the Valuation and Hedging of Basket Credit Derivatives
by Marek Rutkowski of the University of New South Wales, and
Khan Yousiph of the University of New South Wales
(229K PDF - 22 pages -- July 10, 2006 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 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 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 Credit Correlation 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 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 & Book Chapters: | 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 |  | Contemporary Quantitative Finance
Eds. Carl Chiarella, Alexander Novikov
Springer, August 18, 2010, Hardcover, 440 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 |  | Martingale Methods in Financial Modelling, 2nd Edition
by Marek Musiela, Marek Rutkowski
Springer, November 1, 2008, Hardcover, 636 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 |  | 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 |
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