| | |  | | | Marek Rutkowski | | | | Associate Professor | | | | Office | Room
1030 ,
The Red Centre | | Phone | 9385 7020 | | Fax | 9385 7123 | | Email | m.rutkowski@unsw.edu.au |
| | RESEARCH INTERESTS | | | | My background is in probability theory, stochastic analysis and their applications to financial mathematics. My current research interests include valuation and hedging of derivative securities, modelling of term structure of interest rates, credit risk modelling and valuation and hedging of defaultable securities.
My recent papers focus on the study of convertible securities with credit risk (e.g., convertible bonds) and multi-asset credit derivatives (e.g., credit default index swaps and related options).
| | | | TEACHING DUTIES | | | - MATH5816 Continuous Time Financial Modelling (Semester 2, 2009).
- MATH5985 Term Structure Modelling (Semester 2, 2009).
| | | | EXTERNAL | | | - Finance and Stochastics, Associate Editor.
- International Journal of Theoretical and Applied Finance, Managing Editor.
- Mathematical Finance, Associate Editor.
| | | | RECENT GRANTS | | | - Doubly reflected backward stochastic differential equations and Dynkin games. Faculty Research Grant, 2007.
- Hedging of multi-name credit derivatives. Faculty Research Grant, 2005.
- Stochastic methods for dynamic risk management. ARC Grant, 2008-2010.
| | | | SELECTED PUBLICATIONS | | | - M. Musiela and M. Rutkowski: Martingale Methods in Financial Modelling. 2nd edition. Springer, Berlin, 2005.
- T.R. Bielecki and M. Rutkowski: Credit Risk: Modelling, Valuation and Hedging. Springer, Berlin, 2002.
- T.R. Bielecki, M. Jeanblanc and M. Rutkowski:
Completeness of a general semimartingale market under constrained trading. In: Stochastic Finance, Springer, 2006, 83-106.
- T.R. Bielecki, M. Jeanblanc and M. Rutkowski:
Hedging of credit derivatives in models with totally unexpected default. In: Stochastic Processes and Applications to Mathematical
Finance, World Scientific, Singapore, 2006, 35-100.
- T.R. Bielecki, M. Jeanblanc and M. Rutkowski:
PDE approach to valuation and hedging of credit derivatives. Quantitative Finance 5 (2005), 257-270.
- T.R. Bielecki, M. Jeanblanc and M. Rutkowski:
Hedging of defaultable claims. In: Paris-Princeton Lectures on Mathematical Finance 2003, Springer, 2004, 1-132.
- T.R. Bielecki and M. Rutkowski: Modelling of the defaultable term structure: conditionally Markov approach. IEEE Transactions on Automatic Control 49 (2004), 361-373.
- T.R. Bielecki, M. Jeanblanc and M. Rutkowski:
Modelling and valuation of credit risk. In: Stochastic Methods in Finance, Springer, 2004, 27-126.
- T.R. Bielecki, M. Jeanblanc and M. Rutkowski:
Replication of contingent claims in a reduced-form credit risk model with discontinuous asset prices. Stochastic Models 22 (2006), 661-687.
- T.R. Bielecki, M. Jeanblanc and M. Rutkowski:
Hedging of basket credit derivatives in credit default swap market. Journal of Credit Risk 3 (2007), 91-132.
- M. Rutkowski and N. Yu:
An extension of the Brody-Hughston-Macrina approach to modeling of defaultable bonds.
International Journal of Theoretical and Applied Finance 10 (2007), 557-589.
- T.R. Bielecki, S. Crepey, M. Jeanblanc and M. Rutkowski: Arbitrage pricing of defaultable game options with applications to convertible bonds. Quantitative Finance 8 (2008) 795-810.
- T.R. Bielecki, M. Jeanblanc and M. Rutkowski:
Pricing and trading credit default swaps in a hazard process model. Annals of Applied Probability 18 (2008), 2495-2529.
- T.R. Bielecki, S. Crepey, M. Jeanblanc and M. Rutkowski: Defaultable options in a Markovian intensity model of credit risk. Mathematical Finance 18 (2008), 493-518.
- M. Rutkowski and K. Yousiph: PDE approach to the valuation and hedging of basket credit
derivatives. International Journal of Theoretical and Applied Finance 10 (2007), 1261-1285.
| | | | FURTHER INFORMATION | | | |
More information on
Marek Rutkowski
can be obtained by contacting
him
directly.
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