Marek Rutkowski

Finance · 2000–2013

A researcher in the Science corpus: 9 papers; trusts 15 researchers and is trusted by 58 researchers here, as inferred from the citation graph.

Subfields

• Finance — 32 citations into it; #562 of 10,518 by trust here, #893 by citations
• Economics and Econometrics — 18 citations into it; #17,156 of 23,481 by trust here, #15,581 by citations
• Management Science and Operations Research — 6 citations into it

Whom Marek Rutkowski trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Robert J. R. Elliott
2. Tomasz R. Bielecki
3. Monique Jeanblanc
4. Lech A. Grzelak
5. A. V. Haastrecht
6. Xun Yu Zhou
7. R. Lord
8. Cornelis W. Oosterlee
9. Marc Yor
10. R. Rouge

Who trusts Marek Rutkowski overall

1. St'ephane Cr'epey
2. Damiano Brigo
3. Tomasz R. Bielecki
4. Monique Jeanblanc
5. Robert A. Jarrow
6. Ernst Eberlein
7. Rüdiger Frey
8. Damir Filipovi'c
9. Antoon Pelsser
10. Lisa Borland

Papers from Marek Rutkowski's perspective

Ordered by how strongly the researchers Marek Rutkowski trusts endorse each paper. Same corpus, a different order for every researcher.

1. The Pricing of Options and Corporate Liabilities
2. Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework
3. Martingale Methods in Financial Modelling
4. Pricing Via Utility Maximization and Entropy
5. Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints (SIAM Journal of Control and Optimization)
6. Credit Risk: Modeling, Valuation And Hedging
7. On Models of Default Risk
8. Calibration and Implementation of Convertible Bond Models
9. Valuation of Convertible Bonds With Credit Risk
10. VECTOR STOCHASTIC INTEGRALS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING

Their papers

• Modeling and Valuation of Credit Risk (2004) — 52 citations
• Hedging of Defaultable Claims (2004) — 114 citations
• Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates (2013) — 47 citations
• Pricing and trading credit default swaps in a hazard process model (2008) — 68 citations
• Arbitrage pricing of defaultable game options with applications to convertible bonds (2008) — 57 citations
• Credit Risk: Modeling, Valuation And Hedging (2004) — 1,197 citations
• Martingale Methods in Financial Modelling (2002) — 1,255 citations
• Multiple Ratings Model of Defaultable Term Structure (2000) — 69 citations
• Modelling of Default Risk: An Overview (2000) — 94 citations