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Tomasz R. Bielecki
Also published under:T. Bielecki, T. R. Bielecki, Tomasz Bielecki
Affiliation
Department of Applied Mathematics, Illinois Institute of Technology, Chicago, IL, USA
Topic
Asset Pricing,Credit Risk,Price Process,Risky Assets,Trading Strategies,Appreciable Rate,Arbitration,Asset Management,Asset Returns,Asymptotic Distribution,Brownian Motion,Capital Asset Pricing Model,Cash Flow,Continuous-time Process,Convenience Of The Reader,Corporate Bonds,Correlation Structure,Credit Default Swap,Credit Rating,Dividend,Downside Risk,Dynamic Approach,Economic Factors,Finite Variance,General Motors,Geometric Brownian Motion,Growth Rate,Hazard Rate,Hedge Funds,Incomplete Model,Instantaneous Rate,Interest Rate,Low Volatility,Markov Chain,Migration Process,Natural Interpretation,Optimal Management,Optimal Portfolio,Optimal Proportion,Optimization Criteria,Option Pricing,Physical Measures,Planning Horizon,Portfolio Management,Primary Market,Probability Space,Quadratic Function,Random Time,Random Variables,Recovery Rate,
Biography
Tomasz R. Bielecki received the Ph.D. degree in economics in 1987 from the Warsaw School of Economics, Warsaw, Poland.
He is an Associate Professor of Applied Mathematics in the Department of Applied Mathematics, the Illinois Institute of Technology, Chicago. He is an author of numerous research papers in the areas of stochastic analysis, stochastic control, manufacturing systems, operations research, and mathematical finance. He is a coauthor, with M. Rutkowski, of the monograph Credit Risk: Modeling, Valuation and Hedging (New York, Springer-Verlag, 2002). The areas of his current research interests include modeling of defaultable term structures, valuation of credit derivatives, and dynamic hedging of risks, as well as applications of stochastic control to optimal portfolio selection. He has previously held academic positions with the Warsaw School of Economics, the University of Kansas, Lawrence, University of Illinois at Chicago, and Northeastern Illinois University, Chicago. He has also held several visiting positions at numerous universities and research insitutions worldwide. He currently serves as an Associate Editor of Mathematical Finance.
He is an Associate Professor of Applied Mathematics in the Department of Applied Mathematics, the Illinois Institute of Technology, Chicago. He is an author of numerous research papers in the areas of stochastic analysis, stochastic control, manufacturing systems, operations research, and mathematical finance. He is a coauthor, with M. Rutkowski, of the monograph Credit Risk: Modeling, Valuation and Hedging (New York, Springer-Verlag, 2002). The areas of his current research interests include modeling of defaultable term structures, valuation of credit derivatives, and dynamic hedging of risks, as well as applications of stochastic control to optimal portfolio selection. He has previously held academic positions with the Warsaw School of Economics, the University of Kansas, Lawrence, University of Illinois at Chicago, and Northeastern Illinois University, Chicago. He has also held several visiting positions at numerous universities and research insitutions worldwide. He currently serves as an Associate Editor of Mathematical Finance.