Marek Rutkowski

4^th Most Prolific Credit Author in DefaultRisk.com
10^th Most Popular Author in DefaultRisk.com

University of New South Wales -- School of Mathematics
Sydney, NSW 2052
Australia

• PhD-Mathematics (1981) and DSc-Financial Mathematics (1998)
• Marek Rutkowski is Professor of Mathematical Finance at the Warsaw University of Technology (Poland). He is currently with both the Warsaw University of Technology and the Institute of Mathematics of the Polish Academy of Sciences.  Plus, (I think) he's currently a visiting professor at the University of New South Wales.
• His recent fields of interest include the modelling of defaultable term structure, the valuation of credit derivatives, and the modelling of stochastic volatility. His joint monograph, with Tom Bielecki, entitled Credit Risk: Modeling, Valuation and Hedging was recently published by Springer-Verlag.

Publications: that are posted on DefaultRisk.com

Credit Pricing

Valuation and Hedging of Defaultable Game Options in a Hazard Process Model
by Tom Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry
Monique Jeanblanc of the Université d'Évry, and
Marek Rutkowski of the University of New South Wales
(410K PDF) -- 30 pages -- December 23, 2007

Indifference Pricing and Hedging of Defaultable Claims
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of Warsaw University of Technology
(271K PDF) –- 27 pages -- May 1, 2004

Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches
by Tomasz R. Bielecki of the Illinois Institute of Technology, and
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the Wareaw University of Technology
(306K PDF) -- 25 pages -- October 18, 2003

Credit Modeling

Convertible Bonds in a Defaultable Diffusion Model
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry Val d'Essonne,
Monique Jeanblanc of the Université d'Évry Val d'Essonne & Institut Europlace de Finance, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(407K PDF) -- 266 pages -- December 23, 2007

Defaultable Options in a Markovian Intensity Model of Credit Risk
by Tom Bielecki of Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry,
Monique Jeanblanc of the Université d'Évry,and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(371K PDF) -– 23 page -- December 23, 2007

On the Brody-Hughston-Macrina Approach to Modeling of Defaultable Term Structure
by Nannan Yu of the University of New South, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(263K PDF) -– 27 pages -- December 5, 2005

Completeness of a Reduced-Form Credit Risk Model with Discontinuous Asset Prices
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales and Warsaw University of Technology
(232K PDF) -- 19 pages -- August 20, 2005

Replication of Defaultable Claims within the Reduced-Form Framework
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales
(380K PDF) -- 47 pages -- April 13, 2004

Default Risk and Hazard Process
by Monique Jeanblanc of Université d'Évry Val d'Essonne, and
Marek Rutkowski of the Warsaw University of Technology
(416K PDF) -- 32 pages -- December 2001

Modelling of Default Risk: Mathematicals Tools
by Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the Warsaw University of Technology
(864K PDF) -- 67 pages -- March 30, 2000

Modelling of Default Risk: an Overview
by Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the Warsaw University of Technology
(724K PDF) -- 58 pages -- October 27, 1999

Probabilistic Aspects of Default Risk Modeling
by Tomasz Bielecki of Northeastern Illinois University, and
Marek Rutkowski of the Technical University of Warsaw
(386K PDF) -- 24 pages -- 1998

Credit Derivatives

Pricing and Trading Credit Default Swaps in a Hazard Process Model
by Tomasz Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of Évry University, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(284K PDF) -- 26 pages -- July 23, 2007

PDE Approach to the Valuation and Hedging of Basket Credit Derivatives
by Marek Rutkowski of the University of New South Wales, and
Khan Yousiph of the University of New South Wales
(229K PDF – 22 pages -- July 10, 2006

Hedging of Credit Derivatives in Models with Totally Unexpected Default
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of Warsaw University of Technology
(395K PDF) -- 50 pages -- October 7, 2005

PDE Approach to Valuation and Hedging of Credit Derivatives
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(231K PDF) –- 14 pages -- June 2005

Collateralized Debt Obligations

Hedging of Basket Credit Derivatives in Credit Default Swap Market
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(325K PDF) -- 29 pages -- December 27, 2006

Valuation of Basket Credit Derivatives in the Credit Migrations Environment
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry Val d'Essonne,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(362K PDF) –- 28 pages -- January 2006

Credit Correlation

Dependent Defaults and Credit Migrations
by Tomasz R. Bielecki of The Northeastern Illinois University, and
Marek Rutkowski of the Warsaw University of Technology
(296K PDF) -- 25 pages -- March 11, 2003

Other

Arbitrage Pricing of Defaultable Game Options with Applications to Convertible Bonds
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry Val d'Essonne,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(285K PDF) –- 22 pages -- November 9, 2006

Mean- Variance Hedging of Defaultable Claims
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales and Warsaw University of Technology
(300K PDF) -- 31 pages -- May 1, 2004

Books:

	Credit Risk: Modelling Valuation and Hedging by Tomasz R. Bielecki and Marek Rutkowski Springer Finance, (March 5, 2004 Second--corrected printing), Hardcover, 540 pages
	Paris-Princeton Lectures on Mathematical Finance 2003 by Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski, Tomas Björk, José Scheinkman, Wei Xiong Springer, (December 3, 2004), Softcover, 250 pages
	Martingale Methods in Financial Modelling (Stochastic Modelling and Applied Probability) by Marek Musiela and Marek Rutkowski Springer, (December 22, 2004), Hardcover, 636 pages

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