Tomasz R. Bielecki's Books

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

317

Publisher

Springer

Published Date

ISBN 10

3540446443

ISBN 13

9783540446446

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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Page Count

264

Publisher

Springer Science & Business Media

Published Date

ISBN 10

3540222669

ISBN 13

9783540222668

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

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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Page Count

517

Publisher

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

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

390

Publisher

CRC Press

Published Date

ISBN 10

1498785700

ISBN 13

9781498785709

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

Structured Dependence between Stochastic Processes

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

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Structured Dependence between Stochastic Processes

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

The relatively young theory of structured dependence between stochastic processes has many real-life applications in areas including finance, insurance, seismology, neuroscience, and genetics. With this monograph, the first to be devoted to the modeling of structured dependence between random processes, the authors not only meet the demand for a solid theoretical account but also develop a stochastic processes counterpart of the classical copula theory that exists for finite-dimensional random variables. Presenting both the technical aspects and the applications of the theory, this is a valuable reference for researchers and practitioners in the field, as well as for graduate students in pure and applied mathematics programs. Numerous theoretical examples are included, alongside examples of both current and potential applications, aimed at helping those who need to model structured dependence between dynamic random phenomena.

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Page Count

280

Publisher

Cambridge University Press

Published Date

ISBN 10

1108895379

ISBN 13

9781108895378

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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Solve jigsaw puzzle

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Page Count

517

Publisher

Springer Science & Business Media

Published Date

ISBN 10

3662048213

ISBN 13

9783662048214

Book's by Tomasz R. Bielecki

Stochastic Methods in Finance

Stochastic Methods in Finance

Paris-Princeton Lectures on Mathematical Finance 2003

Paris-Princeton Lectures on Mathematical Finance 2003

Fundamentals of the Theory of Structured Dependence between Stochastic Processes

Fundamentals of the Theory of Structured Dependence between Stochastic Processes

Credit Risk: Modeling, Valuation and Hedging

Credit Risk: Modeling, Valuation and Hedging

Counterparty Risk and Funding

Counterparty Risk and Funding

Credit Risk Frontiers

Credit Risk Frontiers

Structured Dependence between Stochastic Processes

Structured Dependence between Stochastic Processes

Credit Risk: Modeling, Valuation and Hedging

Credit Risk: Modeling, Valuation and Hedging

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