|
CONTACTS
Phone: (+48 22) 660 7057
Fax: (+48 22) 660 7056
Postal address:
Faculty of Mathematics and Information Science
Warsaw University of Technology
00-661 Warszawa, Poland
e-mail: markrut@alpha.mini.pw.edu.pl »
Currently at:
School of Mathematics
University of New South Wales
Sydney,NSW 2052, Australia
e-mail: marekr@maths.unsw.edu.au »
RESEARCH INTERESTS
Financial Mathematics
- term structure modelling,
- credit risk,
- incomplete markets,
- stochastic volatility.
Theory of Stochastic Processes
- stochastic differential equations,
- local times of semimartingales.
ASSOCIATE EDITOR
Finance and Stochastics »
Mathematical Finance »
Opuscula Mathematica »
BOOKS LINKS
Marek Musiela and Marek Rutkowski:
Martingale Methods in Financial Modelling.
Springer-Verlag, Berlin Heidelberg NewYork.
First edition, 1997, 518pages.
|
springer »
amazon » |
TomaszR. Bielecki and Marek Rutkowski:
Credit Risk: Modeling, Valuation and Hedging.
Springer-Verlag, Berlin Heidelberg New York.
2002, 501 pages.
|
springer »
amazon » |
Jacek Jakubowski, Andrzej Palczewski, Marek Rutkowski
and Lukasz Stettner:
Financial Mathematics: Valuation ofDerivatives.
WNT, Warsaw, 2003, 305 pages (inPolish).
|
WNT » |
Marek Musiela and Marek Rutkowski:
Martingale Methods in Financial Modelling.
Springer-Verlag, Berlin Heidelberg New York.
Second edition, 2005, 636 pages.
|
springer »
amazon » |
WORKING PAPERS
1. Rutkowski, M.: Arbitrage pricing theory. Parts I-III. University of New South Wales, 1993.
| |
2. Ouknine, Y. and Rutkowski, M.: Local times of continuous semimartingales. University of New South Wales, 1993.
| |
3. Musiela, M. and Rutkowski, M.: Continuous-time term structure modelling. Rheinische Friedrich-Wilhelms-Universitat, Bonn, 1995.
|
pdf »
|
4. Rutkowski, M.: Models of forward LIBOR and swap rates. University of New South Wales, 1997.
|
pdf » |
5. Rutkowski, M.: Spot, forward, and futures Libor rates. University of New South Wales, 1997.
|
pdf » |
6. Rutkowski, M.: Trading strategies for sliding, rolling-horizon, and consol bonds. University of New South Wales, 1997.
|
pdf » |
7. Bielecki, T.R. and Rutkowski, M.: Probabilistic aspects of default risk modelling. University of New South Wales, 1998.
|
pdf » |
8. Bielecki, T.R. and Rutkowski, M.: Modelling of the defaultable term structure: Conditionally Markov approach. Northeastern Illinois University and Warsaw University of Technology,1999.
|
pdf » |
9. Rutkowski, M. and Szatzschneider, W.: On the paper "Is Ito calculus oversold?" by A. Izmailov and B. Shay. Warsaw University of Technology and Universidad Anahuac, 1999.
|
pdf » |
10. Rutkowski, M.: "On models of default risk" by R. Elliott, M. Jeanblanc and M. Yor. Warsaw University of Technology, 1999.
|
pdf » |
11. Jeanblanc, M. and Rutkowski, M.: Modelling of default risk: Mathematical tools. Universite d'Evry and Warsaw University of Technology, 2000.
|
pdf » |
12. Bielecki, T.R., Jeanblanc, M. and Rutkowski, M.: Replication of defaultable claims within the reduced-form framework. Universite d'Evry, Illinois Institute of Technology and Warsaw University of Technology, 2004.
|
pdf » |
13. Bielecki, T.R., Jeanblanc, M. and Rutkowski, M.: Mean-variance hedging of defaultable claims. Universite d'Evry, Illinois Institute of Technology and Warsaw University of Technology, 2004.
|
pdf » |
14. Bielecki, T.R., Jeanblanc, M. and Rutkowski, M.: Indifference pricing and hedging of defaultable claims. Universite d'Evry, Illinois Institute of Technology and Warsaw University of Technology, 2004.
|
pdf » |
15. Bielecki, T.R., Jeanblanc, M. and Rutkowski, M.: Completeness of a reduced-form credit risk model with discontinuous asset prices. Universite d'Evry, Illinois Institute of Technology and UNSW, 2004.
|
pdf » |
16. Bielecki, T.R., Jeanblanc, M. and Rutkowski, M.: Completeness of a general semimartingale market under constrained trading. Universite d'Evry, Illinois Institute of Technology and UNSW, 2004.
|
pdf » |
17. Bielecki, T.R., Jeanblanc, M. and Rutkowski, M.: PDE approach to valuation and hedging of credit derivatives. Universite d'Evry, Illinois Institute of Technology and UNSW, 2005.
|
pdf » |
18. Bielecki, T.R., Jeanblanc, M., Rutkowski, M. and Crepey, S.: Valuation of basket credit derivatives in the credit migrations environment. Universite d'Evry, Illinois Institute of Technology and UNSW, 2005.
|
pdf » |
19. Bielecki, T.R., Jeanblanc, M. and Rutkowski, M.: Hedging of credit derivatives in models with totally unexpected default. Universite d'Evry, Illinois Institute of Technology and UNSW, 2005.
|
pdf » |
20. Bielecki, T.R., Jeanblanc, M. and Rutkowski, M.: Valuation and trading credit default swaps. Universite d'Evry, Illinois Institute of Technology and UNSW,2005.
|
pdf » |
PUBLICATIONS (since 1990) - Financial Mathematics
1. Rutkowski, M.: The early exercise premium representation of foreign market American options. Mathematical Finance 4 (1994), 313-326.
| |
2. Rutkowski, M.: On continuous-time models of term structure of interest rates. In: Stochastic Processes and Related Topics.
|
Term Structure Modelling »
Credit Risk Modelling »
|
|
