Tomasz R. Bielecki

Illinois Institute of Technology

Department of Applied Mathematics

10 W. 32nd Street

Chicago, IL 60616

United States

SCHOLARLY PAPERS

10

DOWNLOADS

501

SSRN CITATIONS
Rank 14,584

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Top 14,584

in Total Papers Citations

15

CROSSREF CITATIONS

62

Scholarly Papers (10)

1.

A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries

Number of pages: 24 Posted: 15 Oct 2012 Last Revised: 07 Apr 2013
Illinois Institute of Technology, Université Lyon 1 - ISFA, Université d'Évry - Equipe d'Analyse et Probabilites and University of Gothenburg - Department of Economics/Centre for Finance
Downloads 190 (188,887)
Citation 4

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Portfolio Credit Risk, Markov Copula Model, Common Shocks, Stochastic Spreads, Random Recoveries

2.

A Bottom-Up Dynamic Model of Portfolio Credit Risk; Part I: Markov Copula Perspective

Number of pages: 22 Posted: 18 May 2011 Last Revised: 07 Apr 2013
Illinois Institute of Technology, Université Lyon 1 - ISFA, Université d'Évry - Equipe d'Analyse et Probabilites and University of Gothenburg - Department of Economics/Centre for Finance
Downloads 169 (209,278)
Citation 9

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Portfolio Credit Risk, Credit Derivatives, Markov Copula Model, Common Shocks, Dynamic Hedging

3.

A Bottom-Up Dynamic Model of Portfolio Credit Risk: Part II: Common-Shock Interpretation, Calibration and Hedging Issues

Number of pages: 20 Posted: 06 Apr 2013
Illinois Institute of Technology, Université Lyon 1 - ISFA, Université d'Évry - Equipe d'Analyse et Probabilites and University of Gothenburg - Department of Economics/Centre for Finance
Downloads 124 (268,365)
Citation 3

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Portfolio credit risk, Basket credit derivatives, Markov copula model, Common shocks, Pricing, Calibration, Min-variance hedging

4.

Continuous-Time Mean-Variance Portfolio Selection with Bankruptcy Prohibition

Number of pages: 32 Posted: 23 Mar 2005
Tomasz R. Bielecki, Hanqing Jin, Stanley R. Pliska and Xun Yu Zhou
Illinois Institute of Technology, Chinese University of Hong Kong, University of Illinois at Chicago - Department of Finance and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 17 (629,401)
Citation 9
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5.

Defaultable Options in a Markovian Intensity Model of Credit Risk

Mathematical Finance, Vol. 18, Issue 4, pp. 493-518, October 2008
Number of pages: 26 Posted: 19 Sep 2008
Illinois Institute of Technology, Université d'Évry - Equipe d'Analyse et Probabilites, Université d'Évry - Departement de Mathematiques and Politechnika Warszawska
Downloads 1 (755,644)
Citation 4
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6.

No‐Arbitrage Pricing for Dividend‐Paying Securities in Discrete‐Time Markets with Transaction Costs

Mathematical Finance, Vol. 25, Issue 4, pp. 673-701, 2015
Number of pages: 29 Posted: 14 Sep 2015
Tomasz R. Bielecki, Igor Cialenco and Rodrigo Rodriguez
Illinois Institute of Technology, Illinois Institute of Technology and Illinois Institute of Technology
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arbitrage, fundamental theorem of asset pricing, transaction costs, consistent pricing system, liquidity, dividends, credit default swaps, interest rate swaps

7.

Dynamic Coherent Acceptability Indices and Their Applications to Finance

Mathematical Finance, Vol. 24, Issue 3, pp. 411-441, 2014
Number of pages: 31 Posted: 11 Jun 2014
Tomasz R. Bielecki, Igor Cialenco and Zhao Zhang
Illinois Institute of Technology, Illinois Institute of Technology and Illinois Institute of Technology
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Citation 3
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dynamic coherent acceptability index, dynamic measures of performance, dynamic coherent risk measures, dynamically consistent sequence of sets of probability measures, time consistency, dynamic GLR, dynamic RAROC

8.

Risk Sensitive Icapm, with Application to Fixed Income Management

IEEE Transactions on Automatic Control, Vol. 49, No. 3, pp. 420-432, March 2004
Posted: 02 May 2005
Tomasz R. Bielecki and Stanley R. Pliska
Illinois Institute of Technology and University of Illinois at Chicago - Department of Finance

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risk sensitive control, optimal portfolios, fixed income management,

9.

Multiple Ratings Model of Defaultable Term Structure

Posted: 04 Feb 2001
Tomasz R. Bielecki and Marek Rutkowski
Illinois Institute of Technology and Politechnika Warszawska

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10.

Risk Sensitive Asset Management with Transaction Costs

Posted: 23 Feb 2000
Tomasz R. Bielecki and Stanley R. Pliska
Illinois Institute of Technology and University of Illinois at Chicago - Department of Finance

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