Tomasz R. Bielecki

Finance · 2000–2017

A researcher in the Science corpus: 13 papers; trusts 33 researchers and is trusted by 46 researchers here, as inferred from the citation graph.

Subfields

• Finance — 75 citations into it; #789 of 10,518 by trust here, #1,217 by citations
• Economics and Econometrics — 39 citations into it; #13,099 of 23,481 by trust here, #13,168 by citations
• Management Science and Operations Research — 14 citations into it; #6,481 of 11,946 by trust here, #5,316 by citations

Whom Tomasz R. Bielecki trusts overall

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

1. Monique Jeanblanc
2. Marek Rutkowski
3. Rüdiger Frey
4. Xun Yu Zhou
5. St'ephane Cr'epey
6. Robert J. R. Elliott
7. Damiano Brigo
8. David X. Li
9. R. Rouge
10. M. Arnsdorf

Who trusts Tomasz R. Bielecki overall

1. St'ephane Cr'epey
2. Damiano Brigo
3. Monique Jeanblanc
4. Rüdiger Frey
5. Peter A. Forsyth
6. Agostino Capponi
7. Ernst Eberlein
8. Umut Çetin
9. J. Backhaus
10. Jean-Pierre Fouque 3

Papers from Tomasz R. Bielecki's perspective

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

1. The Pricing of Options and Corporate Liabilities
2. Credit Risk: Modeling, Valuation And Hedging
3. On Default Correlation: A Copula Function Approach
4. On Models of Default Risk
5. The Mathematics of Arbitrage
6. Pricing Via Utility Maximization and Entropy
7. Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework
8. Mathematical Methods for Financial Markets
9. Portfolio Credit Risk Models with Interacting Default Intensities: a Markovian Approach
10. Basket Default Swaps, Cdos and Factor Copulas

Their papers

• Modeling and Valuation of Credit Risk (2004) — 52 citations
• CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005) — 361 citations
• Hedging of Defaultable Claims (2004) — 114 citations
• Risk sensitive asset allocation (2000) — 65 citations
• Conditional Markov chains: Properties, construction and structured dependence (2017) — 60 citations
• Counterparty Risk and Funding: A Tale of Two Puzzles (2014) — 82 citations
• Up and down credit risk (2010) — 53 citations
• Study of Dependence for Some Stochastic Processes (2008) — 62 citations
• A Markov copulae approach to pricing and hedging of credit index derivatives and ratings triggered step-up bonds (2008) — 63 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
• Multiple Ratings Model of Defaultable Term Structure (2000) — 69 citations