Professor Marek Rutkowski

F07 - Carslaw Building
The University of Sydney

Telephone 9351 1923
Fax 9351 4534

Research interests

Marek Rutkowski is a member of the Applied Mathematics Research Group, working in the area of Financial Mathematics. Modern Financial Mathematics is based on Stochastic Analysis and is concerned with modelling financial markets, pricing derivatives contracts and understanding risk. These studies directly impact on investment banks, hedge funds and other financial institutions worldwide.

His specific research areas include: exotic options, interest rate derivatives, credit derivatives, stochastic volatility modelling, foreign exchange derivatives, multi-person game options, hedging of financial derivatives under funding costs, counterparty risk, credit value adjustment and problems related to enlargements of filtrations.

Co-author of the following monographs:

Co-editor:

Member of editorial boards for:

Teaching and supervision

Supervision of postgraduate students:

  • Libo Li: Random Times and Enlargements of Filtrations (PhD thesis completed in 2012).
  • Ivan Guo: Competitive Multi-Player Stochastic Games with Applications to Multi-Person Financial Contracts (PhD thesis completed in 2013).
  • Silvio Tarca (in progress).
  • Desmond Ng (in progress).
  • Tal Morgenstern (in progress).

Timetable

Selected grants

2012

  • Multi-person stochastic games with idiosyncratic information flows; Rutkowski M; Australian Research Council (ARC)/Discovery Projects (DP).

2010

  • Stochastic methods for dynamic risk management; Rutkowski M; Australian Research Council (ARC)/Discovery Projects (DP).

Selected publications

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Books

  • Bielecki, T., Jeanblanc, M., Rutkowski, M. (2009). Credit Risk Modeling. Osaka, Japan: Osaka University Press.
  • Musiela, M., Rutkowski, M. (2009). Martingale Methods in Financial Modelling. Germany: Springer.

Book Chapters

  • Guo, I., Rutkowski, M. (2014). Discrete-Time Multi-Player Stopping and Quitting Games with Redistribution of Payoffs. In Caroline Hillairet, Monique Jeanblanc, Ying Jiao (Eds.), Arbitrage, Credit and Informational Risks, (pp. 171-206). Singapore: World Scientific Publishing.
  • Ahlip, R., Rutkowski, M. (2014). Forward Start Foreign Exchange Options Under Heston's Volatility and the CIR Interest Rates. In Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou (Eds.), Inspired by Finance: The Musiela Festschrift, (pp. 1-27). Cham: Springer.
  • Rutkowski, M. (2011). Options on Credit Default Swaps and Credit Default Indexes. In Tomasz R Bielecki, Damiano Brigo, Frederic Patras (Eds.), Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity, (pp. 219-279). New Jersey, USA: John Wiley & Sons.
  • Bielecki, T., Crepey, S., Jeanblanc, M., Rutkowski, M. (2010). Chapter 11 Valuation of Basket Credit Derivatives in the Credit Migrations Environment. In Henderson, S; Nelson, B (Eds.), Handbooks in Operations Research and Management Science: Simulation, 13, (pp. 471-507). North Holland: Elsevier.
  • Gapeev, P., Jeanblanc, M., Li, L., Rutkowski, M. (2010). Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives. In Carl Chiarella and Alexander Novikov (Eds.), Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen, (pp. 255-280). Germany: Springer.
  • Bielecki, T., Jeanblanc, M., Rutkowski, M. (2009). Alternative approaches to credit risk modelling. In Hermann (Eds.), Modèles aléatoires en finance mathématiques, (pp. 1-159). France: CIMPA.
  • Bielecki, T., Jeanblanc, M., Rutkowski, M. (2006). Completeness of a general semimartingale market under constrained trading. In Shiryaev, A.N.; Grossinho, M.d.R.; Oliveira, P.E.; Esquível, M.L (Eds.), Stochastic Finance, (pp. 83-106). USA: Springer.
  • Bielecki, T., Jeanblanc, M., Rutkowski, M. (2006). Hedging of credit derivatives in models with totally unexpected default. In J Akahori et al (Eds.), Stochastic Processes and Applications to Mathematical Finance. Proceedings of the 5th Ritsumeikan International Symposium, (pp. 35-100). Singapore: World Scientific Publishing.

Journals

  • Nie, T., Rutkowski, M. (2014). Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection. Stochastic Processes and their Applications, 124(8), 2672-2698. [More Information]
  • Li, L., Rutkowski, M. (2014). Progressive Enlargements of Filtrations with Pseudo-Honest Times. Annals of Applied Probability, 24(4), 1509-1533. [More Information]
  • Durand, C., Rutkowski, M. (2013). CVA under alternative settlement conventions and with systemic risk. International Journal of Theoretical and Applied Finance, 16(7), 1-40. [More Information]
  • Ahlip, R., Rutkowski, M. (2013). Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates. Quantitative Finance, 13(6), 955-966. [More Information]
  • Guo, I., Rutkowski, M. (2012). A zero-sum competitive multi-player game. Demonstratio Mathematica, 45(2), 415-433.
  • Li, L., Rutkowski, M. (2012). Random times and multiplicative systems. Stochastic Processes and their Applications, 122(5), 2053-2077. [More Information]
  • Bielecki, T., Crepey, S., Jeanblanc, M., Rutkowski, M. (2011). Convertible Bonds in a Defaultable Diffusion Model. Progress in Probability, 65, 255-298.
  • Bielecki, T., Jeanblanc, M., Rutkowski, M. (2011). Hedging of a credit default swaption in the CIR default intensity model. Finance and Stochastics, 15(3), 541-572. [More Information]
  • Li, L., Rutkowski, M. (2011). Market Models of Forward CDS Spreads. Progress in Probability, 65, 361-411.
  • Baldeaux, J., Rutkowski, M. (2010). Static Replication of Forward-Start Claims and Realized Variance Swaps. Applied Mathematical Finance, 17(2), 99-131.
  • Bielecki, T., Crepey, S., Jeanblanc, M., Rutkowski, M. (2009). Defaultable Game Options in a Hazard Process Model. Journal of Applied Mathematics and Stochastic Analysis, 2009, Article ID 695798-33 pages. [More Information]
  • Ahlip, R., Rutkowski, M. (2009). Forward start options under stochastic volatility and stochastic interest rates. International Journal of Theoretical and Applied Finance, 12(2), 209-225.
  • Roper, M., Rutkowski, M. (2009). On the relationship between the call price surface and the implied volatility surface close to expiry. International Journal of Theoretical and Applied Finance, 12(4), 427-441.
  • Bielecki, T., Crepey, S., Jeanblanc, M., Rutkowski, M. (2009). Valuation and hedging of defaultable options in a hazard process model. Journal of Applied Mathematics and Stochastic Analysis, 2009, 1-33. [More Information]
  • Rutkowski, M., Armstrong, A. (2009). Valuation of credit default swaptions and credit default index swaptions. International Journal of Theoretical and Applied Finance, 12(7), 1027-1053.
  • Bielecki, T., Crepey, S., Jeanblanc, M., Rutkowski, M. (2008). Arbitrage pricing of defaultable game options with applications to convertible bonds. Quantitative Finance, 8(8), 795-810. [More Information]
  • Bielecki, T., Crepey, S., Jeanblanc, M., Rutkowski, M. (2008). Defaultable options in a markovian intensity model of credit risk. Mathematical Finance, 18(4), 493-518.
  • Bielecki, T., Jeanblanc, M., Rutkowski, M. (2008). Pricing and trading credit default swaps in a hazard process model. Annals of Applied Probability, 18(6), 2495-2529.
  • Rutkowski, M., Yu, N. (2007). AN EXTENSION OF THE BRODY–HUGHSTON–MACRINA APPROACH TO MODELING OF DEFAULTABLE BONDS. International Journal of Theoretical and Applied Finance, 10(3), 557-589.
  • Bielecki, T., Jeanblanc, M., Rutkowski, M. (2007). Hedging of basket credit derivatives in credit default swap market. Journal of Credit Risk, 344(1), 91-132.
  • Rutkowski, M., Yousiph, K. (2007). Pde approach to the valuation and hedging of basket credit derivatives. International Journal of Theoretical and Applied Finance.
  • Bielecki, T., Jeanblanc, M., Rutkowski, M. (2006). Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices. Stochastic Models, 22(4), 667-687. [More Information]
  • Bielecki, T., Jeanblanc, M., Rutkowski, M. (2005). PDE approach to valuation and hedging of credit derivatives. Quantitative Finance, 5(3), 257-270. [More Information]
  • Bielecki, T., Rutkowski, M. (2004). Modeling of the defaultable term structure: conditionally Markov approach. IEEE Transactions on Automatic Control, 49(3), 361-373.

Conferences

  • Bielecki, T., Crepey, S., Jeanblanc, M., Rutkowski, M. (2006). Arbitrage pricing of convertible securities with credit risk. 45th IEEE Conference on Decision and Control 2006.

2014

  • Guo, I., Rutkowski, M. (2014). Discrete-Time Multi-Player Stopping and Quitting Games with Redistribution of Payoffs. In Caroline Hillairet, Monique Jeanblanc, Ying Jiao (Eds.), Arbitrage, Credit and Informational Risks, (pp. 171-206). Singapore: World Scientific Publishing.
  • Ahlip, R., Rutkowski, M. (2014). Forward Start Foreign Exchange Options Under Heston's Volatility and the CIR Interest Rates. In Yuri Kabanov, Marek Rutkowski, Thaleia Zariphopoulou (Eds.), Inspired by Finance: The Musiela Festschrift, (pp. 1-27). Cham: Springer.
  • Nie, T., Rutkowski, M. (2014). Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection. Stochastic Processes and their Applications, 124(8), 2672-2698. [More Information]
  • Li, L., Rutkowski, M. (2014). Progressive Enlargements of Filtrations with Pseudo-Honest Times. Annals of Applied Probability, 24(4), 1509-1533. [More Information]

2013

  • Durand, C., Rutkowski, M. (2013). CVA under alternative settlement conventions and with systemic risk. International Journal of Theoretical and Applied Finance, 16(7), 1-40. [More Information]
  • Ahlip, R., Rutkowski, M. (2013). Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates. Quantitative Finance, 13(6), 955-966. [More Information]

2012

  • Guo, I., Rutkowski, M. (2012). A zero-sum competitive multi-player game. Demonstratio Mathematica, 45(2), 415-433.
  • Li, L., Rutkowski, M. (2012). Random times and multiplicative systems. Stochastic Processes and their Applications, 122(5), 2053-2077. [More Information]

2011

  • Bielecki, T., Crepey, S., Jeanblanc, M., Rutkowski, M. (2011). Convertible Bonds in a Defaultable Diffusion Model. Progress in Probability, 65, 255-298.
  • Bielecki, T., Jeanblanc, M., Rutkowski, M. (2011). Hedging of a credit default swaption in the CIR default intensity model. Finance and Stochastics, 15(3), 541-572. [More Information]
  • Li, L., Rutkowski, M. (2011). Market Models of Forward CDS Spreads. Progress in Probability, 65, 361-411.
  • Rutkowski, M. (2011). Options on Credit Default Swaps and Credit Default Indexes. In Tomasz R Bielecki, Damiano Brigo, Frederic Patras (Eds.), Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity, (pp. 219-279). New Jersey, USA: John Wiley & Sons.

2010

  • Bielecki, T., Crepey, S., Jeanblanc, M., Rutkowski, M. (2010). Chapter 11 Valuation of Basket Credit Derivatives in the Credit Migrations Environment. In Henderson, S; Nelson, B (Eds.), Handbooks in Operations Research and Management Science: Simulation, 13, (pp. 471-507). North Holland: Elsevier.
  • Gapeev, P., Jeanblanc, M., Li, L., Rutkowski, M. (2010). Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives. In Carl Chiarella and Alexander Novikov (Eds.), Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen, (pp. 255-280). Germany: Springer.
  • Baldeaux, J., Rutkowski, M. (2010). Static Replication of Forward-Start Claims and Realized Variance Swaps. Applied Mathematical Finance, 17(2), 99-131.

2009

  • Bielecki, T., Jeanblanc, M., Rutkowski, M. (2009). Alternative approaches to credit risk modelling. In Hermann (Eds.), Modèles aléatoires en finance mathématiques, (pp. 1-159). France: CIMPA.
  • Bielecki, T., Jeanblanc, M., Rutkowski, M. (2009). Credit Risk Modeling. Osaka, Japan: Osaka University Press.
  • Bielecki, T., Crepey, S., Jeanblanc, M., Rutkowski, M. (2009). Defaultable Game Options in a Hazard Process Model. Journal of Applied Mathematics and Stochastic Analysis, 2009, Article ID 695798-33 pages. [More Information]
  • Ahlip, R., Rutkowski, M. (2009). Forward start options under stochastic volatility and stochastic interest rates. International Journal of Theoretical and Applied Finance, 12(2), 209-225.
  • Musiela, M., Rutkowski, M. (2009). Martingale Methods in Financial Modelling. Germany: Springer.
  • Roper, M., Rutkowski, M. (2009). On the relationship between the call price surface and the implied volatility surface close to expiry. International Journal of Theoretical and Applied Finance, 12(4), 427-441.
  • Bielecki, T., Crepey, S., Jeanblanc, M., Rutkowski, M. (2009). Valuation and hedging of defaultable options in a hazard process model. Journal of Applied Mathematics and Stochastic Analysis, 2009, 1-33. [More Information]
  • Rutkowski, M., Armstrong, A. (2009). Valuation of credit default swaptions and credit default index swaptions. International Journal of Theoretical and Applied Finance, 12(7), 1027-1053.

2008

  • Bielecki, T., Crepey, S., Jeanblanc, M., Rutkowski, M. (2008). Arbitrage pricing of defaultable game options with applications to convertible bonds. Quantitative Finance, 8(8), 795-810. [More Information]
  • Bielecki, T., Crepey, S., Jeanblanc, M., Rutkowski, M. (2008). Defaultable options in a markovian intensity model of credit risk. Mathematical Finance, 18(4), 493-518.
  • Bielecki, T., Jeanblanc, M., Rutkowski, M. (2008). Pricing and trading credit default swaps in a hazard process model. Annals of Applied Probability, 18(6), 2495-2529.

2007

  • Rutkowski, M., Yu, N. (2007). AN EXTENSION OF THE BRODY–HUGHSTON–MACRINA APPROACH TO MODELING OF DEFAULTABLE BONDS. International Journal of Theoretical and Applied Finance, 10(3), 557-589.
  • Bielecki, T., Jeanblanc, M., Rutkowski, M. (2007). Hedging of basket credit derivatives in credit default swap market. Journal of Credit Risk, 344(1), 91-132.
  • Rutkowski, M., Yousiph, K. (2007). Pde approach to the valuation and hedging of basket credit derivatives. International Journal of Theoretical and Applied Finance.

2006

  • Bielecki, T., Crepey, S., Jeanblanc, M., Rutkowski, M. (2006). Arbitrage pricing of convertible securities with credit risk. 45th IEEE Conference on Decision and Control 2006.
  • Bielecki, T., Jeanblanc, M., Rutkowski, M. (2006). Completeness of a general semimartingale market under constrained trading. In Shiryaev, A.N.; Grossinho, M.d.R.; Oliveira, P.E.; Esquível, M.L (Eds.), Stochastic Finance, (pp. 83-106). USA: Springer.
  • Bielecki, T., Jeanblanc, M., Rutkowski, M. (2006). Hedging of credit derivatives in models with totally unexpected default. In J Akahori et al (Eds.), Stochastic Processes and Applications to Mathematical Finance. Proceedings of the 5th Ritsumeikan International Symposium, (pp. 35-100). Singapore: World Scientific Publishing.
  • Bielecki, T., Jeanblanc, M., Rutkowski, M. (2006). Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices. Stochastic Models, 22(4), 667-687. [More Information]

2005

  • Bielecki, T., Jeanblanc, M., Rutkowski, M. (2005). PDE approach to valuation and hedging of credit derivatives. Quantitative Finance, 5(3), 257-270. [More Information]

2004

  • Bielecki, T., Rutkowski, M. (2004). Modeling of the defaultable term structure: conditionally Markov approach. IEEE Transactions on Automatic Control, 49(3), 361-373.

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