Tomasz Bielecki's Books

Counterparty Risk and Funding

A Tale of Two Puzzles

By: Stéphane Crépey,Tomasz R. Bielecki,Damiano Brigo

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Counterparty Risk and Funding

A Tale of Two Puzzles

By: Stéphane Crépey,Tomasz R. Bielecki,Damiano Brigo

Solve the DVA/FVA Overlap Issue and Effectively Manage Portfolio Credit Risk Counterparty Risk and Funding: A Tale of Two Puzzles explains how to study risk embedded in financial transactions between the bank and its counterparty. The authors provide an analytical basis for the quantitative methodology of dynamic valuation, mitigation, and hedging of bilateral counterparty risk on over-the-counter (OTC) derivative contracts under funding constraints. They explore credit, debt, funding, liquidity, and rating valuation adjustment (CVA, DVA, FVA, LVA, and RVA) as well as replacement cost (RC), wrong-way risk, multiple funding curves, and collateral. The first part of the book assesses today’s financial landscape, including the current multi-curve reality of financial markets. In mathematical but model-free terms, the second part describes all the basic elements of the pricing and hedging framework. Taking a more practical slant, the third part introduces a reduced-form modeling approach in which the risk of default of the two parties only shows up through their default intensities. The fourth part addresses counterparty risk on credit derivatives through dynamic copula models. In the fifth part, the authors present a credit migrations model that allows you to account for rating-dependent credit support annex (CSA) clauses. They also touch on nonlinear FVA computations in credit portfolio models. The final part covers classical tools from stochastic analysis and gives a brief introduction to the theory of Markov copulas. The credit crisis and ongoing European sovereign debt crisis have shown the importance of the proper assessment and management of counterparty risk. This book focuses on the interaction and possible overlap between DVA and FVA terms. It also explores the particularly challenging issue of counterparty risk in portfolio credit modeling. Primarily for researchers and graduate students in financial mathematics, the book is also suitable for financial quants, managers in banks, CVA desks, and members of supervisory bodies.

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Page Count

380

Publisher

CRC Press

Published Date

ISBN 10

1466516461

ISBN 13

9781466516465

Paris-Princeton Lectures on Mathematical Finance 2003

By: Tomasz R. Bielecki,Tomas Björk,Monique Jeanblanc,Marek Rutkowski,Jose A. Scheinkman,Wei Xiong

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Paris-Princeton Lectures on Mathematical Finance 2003

By: Tomasz R. Bielecki,Tomas Björk,Monique Jeanblanc,Marek Rutkowski,Jose A. Scheinkman,Wei Xiong

The Paris-Princeton Lectures in Financial Mathematics, of which this is the second volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding - established or upcoming! - specialists. The aim is to produce a series of articles that can serve as an introductory reference for research in the field. It arises as a result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. This volume presents the following articles: "Hedging of Defaultable Claims" by T. Bielecki, M. Jeanblanc, and M. Rutkowski; "On the Geometry of Interest Rate Models" by T. Björk; "Heterogeneous Beliefs, Speculation and Trading in Financial Markets" by J.A. Scheinkman, and W. Xiong.

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259

Publisher

Springer

Published Date

ISBN 10

3540444688

ISBN 13

9783540444688

Credit Risk: Modeling, Valuation and Hedging

By: Tomasz R. Bielecki,Marek Rutkowski

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Credit Risk: Modeling, Valuation and Hedging

By: Tomasz R. Bielecki,Marek Rutkowski

The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.

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517

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Springer Science & Business Media

Published Date

ISBN 10

3662048213

ISBN 13

9783662048214

Fundamentals of the Theory of Structured Dependence between Stochastic Processes

By: Tomasz R. Bielecki,Jacek Jakubowski,Mariusz Niewȩgłowski

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Fundamentals of the Theory of Structured Dependence between Stochastic Processes

By: Tomasz R. Bielecki,Jacek Jakubowski,Mariusz Niewȩgłowski

Comprehensive presentation of the technical aspects and applications of the theory of structured dependence between random processes.

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279

Publisher

Cambridge University Press

Published Date

ISBN 10

1107154251

ISBN 13

9781107154254

Costing Nature in a Transition Economy

Case Studies in Poland

By: Tomasz Zylicz

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Costing Nature in a Transition Economy

Case Studies in Poland

By: Tomasz Zylicz

The book studies examples of natural capital in Poland, identifies the beneficiaries of these natural assets, and discusses ways to reimburse those who own, steward or live within these assets (such as the national parks). With its focus firmly on environmental assets, rather than disruption and crises in the Central and Eastern European environment, the author reports on a number of nature protection studies including economic valuation surveys, species reintroduction projects, and the financing of national park services. Regional and international contexts of the local natural heritage are highlighted. Tomasz Zylicz uses the example of Poland to frame wider theories and conclusions on how to preserve and enhance the natural capital in transition economies." "Political, environmental and natural resource economists and environmental scientists, as well as NGOs and policymakers will find this book illuminating reading."--BOOK JACKET.

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Page Count

208

Publisher

Edward Elgar Publishing

Published Date

ISBN 10

1782541128

ISBN 13

9781782541127

Vibration-Based Condition Monitoring of Wind Turbines

By: Tomasz Barszcz

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Vibration-Based Condition Monitoring of Wind Turbines

By: Tomasz Barszcz

This book describes in detail different types of vibration signals and the signal processing methods, including signal resampling and signal envelope, used for condition monitoring of drivetrains. A special emphasis is placed on wind turbines and on the fact that they work in highly varying operational conditions. The core of the book is devoted to cutting-edge methods used to validate and process vibration data in these conditions. Key case studies, where advanced signal processing methods are used to detect failures of gearboxes and bearings of wind turbines, are described and discussed in detail. Vibration sensors, SCADA (Supervisory Control and Data Acquisition), portable data analyzers and online condition monitoring systems, are also covered. This book offers a timely guide to both researchers and professionals working with wind turbines (but also other machines), and to graduate students willing to extend their knowledge in the field of vibration analysis.

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233

Publisher

Springer

Published Date

ISBN 10

3030059715

ISBN 13

9783030059712

Unemployment in Transition

Restructuring and Labour Markets in Central Europe

By: Janice Bell,Tomasz Mickiewicz

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Unemployment in Transition

Restructuring and Labour Markets in Central Europe

By: Janice Bell,Tomasz Mickiewicz

The emergence of open unemployment is an unavoidable consequence of postcommunist transition. Some countries-notably in the former Soviet Union-initially slowed economic contraction. But in the longer run slower reformers have generally sustained deeper and more prolonged recessions than faster reforming central European countries. Moreover, the initially low unemployment rates in the former Soviet Union are now rising, and may stabilise at higher post-transition equilibrium rates than in Central Europe.

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Page Count

238

Publisher

Routledge

Published Date

ISBN 10

1134436262

ISBN 13

9781134436262

Potential Analysis of Stable Processes and its Extensions

By: Krzysztof Bogdan,Tomasz Byczkowski,Tadeusz Kulczycki,Michal Ryznar,Renming Song,Zoran Vondracek

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Potential Analysis of Stable Processes and its Extensions

By: Krzysztof Bogdan,Tomasz Byczkowski,Tadeusz Kulczycki,Michal Ryznar,Renming Song,Zoran Vondracek

Stable Lévy processes and related stochastic processes play an important role in stochastic modelling in applied sciences, in particular in financial mathematics. This book is about the potential theory of stable stochastic processes. It also deals with related topics, such as the subordinate Brownian motions (including the relativistic process) and Feynman–Kac semigroups generated by certain Schrödinger operators. The authors focus on classes of stable and related processes that contain the Brownian motion as a special case. This is the first book devoted to the probabilistic potential theory of stable stochastic processes, and, from the analytical point of view, of the fractional Laplacian. The introduction is accessible to non-specialists and provides a general presentation of the fundamental objects of the theory. Besides recent and deep scientific results the book also provides a didactic approach to its topic, as all chapters have been tested on a wide audience, including young mathematicians at a CNRS/HARP Workshop, Angers 2006. The reader will gain insight into the modern theory of stable and related processes and their potential analysis with a theoretical motivation for the study of their fine properties.

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Page Count

200

Publisher

Springer Science & Business Media

Published Date

ISBN 10

3642021417

ISBN 13

9783642021411

The Polish Elite and Language Sciences

A Perspective of Global Historical Sociology

By: Tomasz Zarycki

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The Polish Elite and Language Sciences

A Perspective of Global Historical Sociology

By: Tomasz Zarycki

This book revisits the modern history of Poland, from the perspective of its social sciences. The book makes this case study a model for the application of Bourdieu’s approach to the historical analysis of non-core Western societies. The book is, in other words, a reflexive study of the application of Bourdieu’s social theory. At the same time, it also critically studies the application of Western social theory in Poland, which is largely seen as a peripheral country. The study of Polish social sciences, with particular emphasis on linguistics and literary studies, points to the peculiar dynamics of peripheral intellectual and academic fields and their external dependencies. These insights offer a critical extension of Bourdieu’s theory of state and social elites beyond the Western core focusing on how the theories can be used in the reinterpretation and expansion of post-colonial theory, global history and comparative studies of post-communism. The book will be suitable for scholars and students of all those interested in the social theory of Pierre Bourdieu, global historical sociology, societies in Central and Eastern , socio-linguistics, literary studies and political sociology.

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Page Count

520

Publisher

Springer Nature

Published Date

ISBN 10

3031073452

ISBN 13

9783031073458

The Chernobyl Effect

Antinuclear Protests and the Molding of Polish Democracy, 1986–1990

By: Tomasz Borewicz,Kacper Szulecki,Janusz Waluszko

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The Chernobyl Effect

Antinuclear Protests and the Molding of Polish Democracy, 1986–1990

By: Tomasz Borewicz,Kacper Szulecki,Janusz Waluszko

The 1986 Chernobyl catastrophe was not only a human and ecological disaster, but also a political-ideological one, severely discrediting Soviet governance and galvanizing dissidents in the Eastern Bloc. In the case of Poland, what began as isolated protests against the Soviet nuclear site grew to encompass domestic nuclear projects in general, and in the process spread across the country and attracted new segments of society. This innovative study, combining scholarly analysis with oral histories and other accounts from participants, traces the growth and development of the Polish anti-nuclear movement, showing how it exemplified the broader generational and cultural changes in the nation’s opposition movements during the waning days of the state socialist era.

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Page Count

227

Publisher

Berghahn Books

Published Date

ISBN 10

1800736207

ISBN 13

9781800736207

Public Health

The Social and Ecological Dimension

By: Jacek Czepiel,Alicja Domagała,Mariusz Duplaga,Tomasz Grodzicki,Janusz Hałuszka,Grażyna Jasieńska,Justyna Klingemann,Iwona Kowalska-Bobko,Andrzej Ryś,Monika Ścibor,Marzena Tambor,Beata Tobiasz-Adamczyk,Piotr Tyszko

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Public Health

The Social and Ecological Dimension

In Poland, for almost three decades, education in the field of public health has been provided in medical universities with the aim of creating an expert workforce to ensure appropriate action in this area. The book draws on the experience and knowledge of teachers associated with the School of Public Health of the Jagiellonian University – undoubtedly a leading institution in the country in this area – but experts from other centres also were invited in order to provide content of an appropriately high quality. (...) The textbook on public health, edited by professor Stanisława Golinowska, is highly recommended not only to medical university students, but also to all persons involved in health protection activities in Poland. For all interested in public health, this is must-read. Prof. Zbigniew Gaciong, MD, Medical University of Warsaw This textbook perfectly addresses the health challenges of the contemporary stage of civilization development in which public health is becoming an extremely complex and at the same time, dynamically evolving field. The scope of the textbook is clearly defined and its division into chapters and within them, into sections dedicated to specific issues, facilitates the search for the required content. The textbook also provides a wholesome understanding of public health, which covers the theoretical foundations, an overview of problems and challenges, as well as a description of the tools used both in research and in public policy at multiple levels: global, European, national and local. Prof. Andrzej M. Fal, Wrocław Medical University, President of the Polish Society of Public Health

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Page Count

966

Publisher

Wydawnictwo Naukowe Scholar

Published Date

ISBN 10

8367450655

ISBN 13

9788367450652

Poland

By: Tomasz Torbus

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Poland

By: Tomasz Torbus

Annotation. Fully colour-illustrated travel guides packed with information on the history and culture of a destination.

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260

Publisher

Hunter Publishing, Inc

Published Date

ISBN 10

3886180883

ISBN 13

9783886180882

Michell Structures

By: Tomasz Lewiński,Tomasz Sokół,Cezary Graczykowski

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Michell Structures

By: Tomasz Lewiński,Tomasz Sokół,Cezary Graczykowski

The book covers the theory of Michell structures being the lightest and fully stressed systems of bars, designed within a given domain, possibly within the whole space, transmitting a given load towards a given support. Discovered already in 1904 by A.G.M. Michell, the structures named after him have attracted constant attention due to their peculiar feature of disclosing the optimal streams of stresses equilibrating a given load and thus determining the optimal layout of bars. The optimal layouts emerge from among all possible structural topologies, thus constituting unique designs being simultaneously light and stiff. The optimal structures turn out to be embedded in optimal vector fields covering the whole feasible domain. Key features include: a variationally consistent theory of bar systems, thin plates in bending and membrane shells; recapitulation of the theory of optimum design of trusses of minimum weight or of minimal compliance; the basis of 2D Michell theory for a single load case; kinematic and static approaches; 2D benchmark constructions including Hemp’s structures and optimal cantilevers; L-shape domain problems, three forces problem in 2D, bridge problems; revisiting the old - and delivering new - 3D benchmark solutions; extension to multiple load conditions; Prager-Rozvany grillages; the theory of funiculars and archgrids; the methods of optimum design of shape and material inspired by the theory of Michell structures, industrial applications. The book can be useful for graduate students, professional engineers and researchers specializing in the Optimum Design and in Topology Optimization in general.

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582

Publisher

Springer

Published Date

ISBN 10

3319951807

ISBN 13

9783319951805

The Euro-Atlantic System in a Multipolar World

A Forecast

By: Jósef M. Fiszer,Jakub Wódka,Pawel Olszewski,Tomasz Paszewski,Agnieszka Cianciara,Agnieszka Orzelska-Staczek

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The Euro-Atlantic System in a Multipolar World

A Forecast

By: Jósef M. Fiszer,Jakub Wódka,Pawel Olszewski,Tomasz Paszewski,Agnieszka Cianciara,Agnieszka Orzelska-Staczek

Euro-Atlantic system, and especially the relationship between the US and the European Union and NATO cooperation with the EU, despite the difficulties, are and will be one of the most important elements in the process of building a new global multipolar order. However, the United States and the European Union should pursue a more correlated international policy, based on a realistic and idealistic vision of the world. The world needs the Euro-Atlantic community, as there is no and there won't be in the near future such integrated community of values and interests in the new emerging global order. The above problems are describe in this monograph, which was written in the framework of the research project called: "The role of the Euro-Atlantic system in a multipolar world in the context of the emerging new global order.

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168

Publisher

Logos Verlag Berlin GmbH

Published Date

ISBN 10

3832538771

ISBN 13

9783832538774

Credit Risk

By: Marek Capiński,Tomasz Zastawniak

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Credit Risk

By: Marek Capiński,Tomasz Zastawniak

This master's-level introduction to mainstream credit risk modelling balances rigorous theory with real-world, post-credit crisis examples.

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203

Publisher

Cambridge University Press

Published Date

ISBN 10

1107002761

ISBN 13

9781107002760

Credit Risk Frontiers

Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

By: Tomasz Bielecki,Damiano Brigo,Frederic Patras

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Credit Risk Frontiers

Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity

By: Tomasz Bielecki,Damiano Brigo,Frederic Patras

A timely guide to understanding and implementing credit derivatives Credit derivatives are here to stay and will continue to play a role in finance in the future. But what will that role be? What issues and challenges should be addressed? And what lessons can be learned from the credit mess? Credit Risk Frontiers offers answers to these and other questions by presenting the latest research in this field and addressing important issues exposed by the financial crisis. It covers this subject from a real world perspective, tackling issues such as liquidity, poor data, and credit spreads, as well as the latest innovations in portfolio products and hedging and risk management techniques. Provides a coherent presentation of recent advances in the theory and practice of credit derivatives Takes into account the new products and risk requirements of a post financial crisis world Contains information regarding various aspects of the credit derivative market as well as cutting edge research regarding those aspects If you want to gain a better understanding of how credit derivatives can help your trading or investing endeavors, then Credit Risk Frontiers is a book you need to read.

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Page Count

770

Publisher

John Wiley & Sons

Published Date

ISBN 10

1118003837

ISBN 13

9781118003831

Credit Risk: Modeling, Valuation and Hedging

By: Tomasz R. Bielecki,Marek Rutkowski

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Credit Risk: Modeling, Valuation and Hedging

By: Tomasz R. Bielecki,Marek Rutkowski

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517

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Springer Science & Business Media

Published Date

ISBN 10

3662048213

ISBN 13

9783662048214

Counterparty Risk and Funding

A Tale of Two Puzzles

By: Stéphane Crépey,Tomasz R. Bielecki,Damiano Brigo

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Counterparty Risk and Funding

A Tale of Two Puzzles

By: Stéphane Crépey,Tomasz R. Bielecki,Damiano Brigo

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Page Count

390

Publisher

CRC Press

Published Date

ISBN 10

1466516453

ISBN 13

9781466516458

Fundamentals of the Theory of Structured Dependence between Stochastic Processes

By: Tomasz R. Bielecki,Jacek Jakubowski,Mariusz Niewȩgłowski

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Fundamentals of the Theory of Structured Dependence between Stochastic Processes

By: Tomasz R. Bielecki,Jacek Jakubowski,Mariusz Niewȩgłowski

Comprehensive presentation of the technical aspects and applications of the theory of structured dependence between random processes.

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Page Count

279

Publisher

Cambridge University Press

Published Date

ISBN 10

1107154251

ISBN 13

9781107154254

Counterparty Risk and Funding

A Tale of Two Puzzles

By: Stéphane Crépey,Tomasz R. Bielecki,Damiano Brigo

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Counterparty Risk and Funding

A Tale of Two Puzzles

By: Stéphane Crépey,Tomasz R. Bielecki,Damiano Brigo

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Page Count

388

Publisher

Chapman and Hall/CRC

Published Date

ISBN 10

1498700977

ISBN 13

9781498700979

Paris-Princeton Lectures on Mathematical Finance 2003

By: Tomasz R. Bielecki,Tomas Björk,Monique Jeanblanc,Marek Rutkowski,Jose A. Scheinkman,Wei Xiong

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Paris-Princeton Lectures on Mathematical Finance 2003

By: Tomasz R. Bielecki,Tomas Björk,Monique Jeanblanc,Marek Rutkowski,Jose A. Scheinkman,Wei Xiong

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Page Count

259

Publisher

Springer

Published Date

ISBN 10

3540444688

ISBN 13

9783540444688

Stochastic Methods in Finance

Lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6-12, 2003

By: Kerry Back,Tomasz R. Bielecki,Christian Hipp,Shige Peng,Walter Schachermayer

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Stochastic Methods in Finance

Lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6-12, 2003

By: Kerry Back,Tomasz R. Bielecki,Christian Hipp,Shige Peng,Walter Schachermayer

This volume includes the five lecture courses given at the CIME-EMS School on "Stochastic Methods in Finance" held in Bressanone/Brixen, Italy 2003. It deals with innovative methods, mainly from stochastic analysis, that play a fundamental role in the mathematical modelling of finance and insurance: the theory of stochastic processes, optimal and stochastic control, stochastic differential equations, convex analysis and duality theory. Five topics are treated in detail: Utility maximization in incomplete markets; the theory of nonlinear expectations and its relationship with the theory of risk measures in a dynamic setting; credit risk modelling; the interplay between finance and insurance; incomplete information in the context of economic equilibrium and insider trading.

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Page Count

312

Publisher

Springer

Published Date

ISBN 10

3662179520

ISBN 13

9783662179529

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