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Publications
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Tomasz R. Bielecki
Professor
Department of Applied Mathematics
Illinois Institute of Technology
Director of Professional
Master in Mathematical Finance at IIT
Mailing address:
Dep. of Applied Math, IIT
10 West 32nd Str, Bld E1, Room 125A
Chicago, IL 60616-3793
Office: Bld. E1. Room 125A
Phone: (312) 567-3165
Fax: (312) 567-3135
E-mail: tbielecki [at] iit [dot] edu
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Research Interests and Professional Activities
- Stochastic Analysis, Stochastic Processes, Mathematical Finance
- Credit Risk, Counterparty Risk
- Performance Measures, Risk Measures
- Stochastic Control, Semigroup Theory, Functional Analysis
Associate Editor:
Consulting:
- Bank One
- Quantitative Risk Management Co.
- Merrill Lynch
- AVM Ltd.
- Bloomberg
- Bank of America
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Collaborators
Igor Cialenco
Ruoting Gong
Tao Chen
Areski Cousin
Stephane Crepey
Samuel Drapeau
Alexander Herbertsson
Jacek Jakubowski
Monique Jeanblanc
Mariusz Nieweglowski
Macin Pitera
Devin Sezer
Marek Rutkowski
Thorsten Schmidt
Andrzej Ruszczynski
Lukasz Stettner
Jerzy Filar
Jiongmin Yong
Xunyu Zhou
Stanley R. Pliska
Daniel Hernandez-Hernandez
Shuenn-Jyi Sheu
Agnes Sulem
Jean-Philippe Chancelier
Beniamin Goldys
P.R. Kumar
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Books
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Structured Dependence between Stochastic Processes (Encyclopedia of Mathematics and its Applications, Series Number 175)
Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Nieweglowski
Cambridge University Press, 2020 |
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Counterparty Risk and Funding: A Tale of Two Puzzles
Stephane Crepey, Tomasz R. Bielecki, Damiano Brigo
Chapman and Hall/CRC , 2014 |
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Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity
Tomasz R. Bielecki, Damiano Brigo, Frederic Patras
Bloomberg Press, 2011 |
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Credit Risk: Modelling Valuation and Hedging
Tomasz R. Bielecki, Marek Rutkowski
Springer Finance, 2004 |
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Credit Risk Modeling: CSFI lecture note series
Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski
Osaka University Press, 2009 |
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Paris-Princeton Lectures on Mathematical Finance
Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski, Tomas Bjork, Jose Scheinkman, Wei Xiong
Springer, 2004 |
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