Tomasz R. Bielecki   

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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
If you have any questions about the program please visit the official web-site or email me.


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: bielecki [at] iit [dot] edu
Tomasz R Bielecki
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
Collaborators

Igor Cialenco
Areski Cousin
Stephane Crepey
Samuel Drapeau
Alexander Herbertsson
Jacek Jakubowski
Monique Jeanblanc
Mariusz Nieweglowski
Marek Rutkowski

PhD Students

Ismail Iyigunler (2012, Quantitative Analyst, InterContinentalExchange, Inc.)
Rodrigo Rodriguez (Quantitative Associate at Wells Fargo (NYC))
Andrea Vidozzi (2009, Quant Analyst at Quantifi)
Luca Vidozzi (2009, VP at Merrill Lynch)
Zhao Zhang (2011, Quant Trader at Transmarket Group)

Books

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity
Tomasz R. Bielecki, Damiano Brigo, Frederic Patras
Bloomberg Press, 2011

Credit Risk- Modelling Valuation and Hedging
Credit Risk: Modelling Valuation and Hedging
Tomasz R. Bielecki, Marek Rutkowski
Springer Finance, 2004

Credit Risk Modeling: CSFI lecture note series
Credit Risk Modeling: CSFI lecture note series
Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski
Osaka University Press, 2009

Paris-Princeton Lectures on Mathematical Finance
Paris-Princeton Lectures on Mathematical Finance
Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski, Tomas Bjork, Jose Scheinkman, Wei Xiong
Springer, 2004