Tomasz Bielecki, Ph.D.
Associate Professor
Applied Mathematics
Office: Engineering 1, Room 204
10 W. 32nd Street
Chicago, IL 60616
Office Hours:
Phone: 312.567.3165
Fax: 312.567.3135
Email:
bielecki_AT_iit_DOT_edu
Web:
http://www.iit.edu/%7Ebielecki/
Expertise
- Mathematical finance, stochastic control, stochastic analysis, probability and random processes, quantitative methods for risk management in finance and insurance.
Education
- Ph.D. - Warsaw School of Economics
Curriculum Vitae
Research & Major Accomplishments
Current Projects
Awards/Honors
Patents
Books
Selected Publications
- Credit Risk: Modeling, Valuation and Hedging, with Marek Rutkowski, Springer Finance, Springer-Verlag (2002). Second, corrected printing - January 2004.
- Modelling and Valuation of Credit Risk, with Monique Jeanblanc and Marek Rutkowski, in Stochastic Methods in Finance, M. Frittelli and W. Runggalgier, eds., Springer 2004, 27-126.
- Mean-Variance Portfolio Selection with Bankruptcy Prohibition, with J.Hanqing, S.R. Pliska and X.Y.Zhou, Mathematical Finance, in press.
- Hedging of Defaultable Claims, with Monique Jeanblanc and Marek Rutkowski, in Paris-Princeton Lectures on Mathematical Finance 2003, R.A. Carmona, E.Cinlar, I. Ekeland, E.Jouini, J.A. Scheinkman, N. Touzi, Springer 2004, 1-132.
- Risk Sensitive Portfolio Optimization with Transaction Costs and Related Quasi-Variational Inequalities, with A. Sulem, J.Ph. Chancelier and S.R. Pliska, J. of Computational Finance, in press.