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

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
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
  • Bank of America
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

Books

Structured Dependence between Stochastic Processes (Encyclopedia of Mathematics and its Applications, Series Number 175) 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
Counterparty Risk and Funding: A Tale of Two Puzzles
Stephane Crepey, Tomasz R. Bielecki, Damiano Brigo
Chapman and Hall/CRC , 2014
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