Tomasz Bielecki, Ph.D.
Mathematical finance, stochastic control, stochastic analysis, probability and random processes, quantitative methods for risk management in finance and insurance.
"Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity" co-authored with D. Brigo and F. Patras; Wiley (2011).
“Credit Risk: Modeling, Valuation and Hedging ,” co-authored with M. Rutkowski; Springer Finance, Springer-Verlag (2002). Second, corrected printing -- January 2004.
“Credit Risk Modeling ,” co-authored with M. Jeanblanc and M. Rutkowski; Osaka University Press (2009).
Markov Chain Models of Portfolio Credit Risk, with Stephane Crepey and Alexander Herbertsson, Oxford Handbook of Credit Derivatives edited by Andrew Rennie and Alexander Lipton, forthcoming.
Hedging of Credit Default Swaptions in a Hazard Process Model, with Monique Jeanblanc and Marek Rutkowski, Finance and Stochastics, forthcoming.
Study of Dependence for Some Stochastic Processes; Part II: Symbolic Markov Copulae, with J. Jakubowski and M. Nieweglowski, Stochastic Analysis and Applications, submitted.
CVA computation for counter party risk assessment in credit portfolios, with S. Assefa, S. Cr?pey and M. Jeanblanc, to appear in the special invited volume "Recent Advancements in the Theory and Practice of Credit Derivatives," to be published by Bloomberg Press in 2010.
Dynamic Modeling of Dependence in Finance via Copulae Between Stochastic Processes, with J. Jakubowski and M. Nieweglowski, to appear in the special invited Volume "Copula Theory and Applications," to be published by Springer-Verlag in 2010.