Faculty

Institution

Unit

Venue

Tomasz Bielecki

Professor of Applied Mathematics Affiliate Professor Stuart School of Business

Illinois Institute of Technology

Affiliations

College of Computing

Applied Mathematics

Stuart School of Business

Tomasz Bielecki is currently serving as an Applied Mathematics Professor of Applied Mathematics Affiliate Professor Stuart School of Business at Illinois Institute of Technology.

Honors

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Experiences

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Education

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Tomasz Bielecki

Illinois Institute of Technology

Professor of Applied Mathematics Affiliate Professor Stuart School of Business

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finance empirical finance risk management mathematical finance applied mathematics financial economics statistics asset pricing probability theory credit risk valuation international finance mathematics portfolio credit risk social science research discrete time conditional markov chains asset management portfolio management derivative pricing option pricing markov copula model investment management portfolio optimization financial modeling index system counterparty risk defaultable game options dynamic hedging hazard process model dynamic modeling bottom-up dynamic model transaction costs defaultable claims basket credit derivatives mathematical optimization automatic control control optimization theoretical economics numerical simulations financial mathematics term structure model risk sensitive control credit risk frontiers statistical methodology general systems symptom management medical history clinical investigation internal medicine integrative medicine disaster risk reduction natural hazards economic modelling dynamic optimization trading model bond markets asset allocation dependency analysis liquidity credit markets portfolio allocation robust control control science probabilistic analysis dynamic pricing applied algebra bibliometrics filtration stochastic calculus general internal medicine evidence-based medicine clinical disease clinical populations reaction hazard model theory financial risk management stochastic control financial stability quantitative management stochastic process

Notable Scholarly Works

Notable Federal Grants

Collaborators

PREFACE: Special Issue in Honour of Memory of Thomas Robert Hurd (1956–2022). International Journal of Theoretical and Applied Finance (2024)

Tomasz R. BieleckiMatheus R. GrasselliLane P. Hughston

financial economicsglobal financefinancial lawfinancial analysisfinance researchmathematical financeinternational financial crisisinternational financial marketsfinancial econometricsfinancial integrationfinancequantitative analysis (finance)international financial architecturefinancializationinternational financetheoretical economics

Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures Generated by Distortion Functions. Stochastic Models (2024)

Tomasz R. BieleckiIgor CialencoHao Liu

dynamic risk measuresstochastic calculusrisk managementtime consistencystochastic processdistortion functionsapplied mathematicsdynamic performance measures

Risk Filtering and Risk-Averse Control of Markovian Systems Subject to Model Uncertainty. Mathematical Methods of Operations Research (2023)

Tomasz R. BieleckiIgor CialencoAndrzej Ruszczyński

risk-averse controlmarkovian systemsrisk filteringapplied mathematicsoperations research

Construction and Simulation of Generalized Multivariate Hawkes Processes. Methodology And Computing In Applied Probability (2022)

Tomasz R. BieleckiJacek JakubowskiMariusz Niewęgłowski

applied probabilityapplied statisticsmodeling and simulationstatisticsstochastic processstatistical methodologydata scienceapplied mathematicsnumerical simulationsprobability theory

Multivariate Hawkes Processes With Simultaneous Occurrence of Excitation Events Coming From Different Sources. Stochastic Models (2022)

Tomasz R. BieleckiJacek JakubowskiMariusz Niewęgłowski

excitation eventsmultivariate hawkesdifferent sourcesstatisticsstochastic process

On Function of Evolution of Distribution for Time Homogeneous Markov Processes. Research Square (Research Square) (2022)

Tomasz R. BieleckiJacek JakubowskiMaciej Wi±niewolski

statisticsdistribution (marketing)evolutionary biology

Risk-Sensitive Markov Decision Problems Under Model Uncertainty: Finite Time Horizon Case. Springer eBooks (2022)

Tomasz R. BieleckiTao ChenIgor Cialenco

mathematical financemodel uncertaintyapplied mathematics

Wiener–Hopf Factorization for Arithmetic Brownian Motion With Time-Dependent Drift and Volatility. Stochastic Processes and their Applications (2022)

Tomasz R. BieleckiZiteng ChengRuoting Gong

time-dependent driftarithmetic brownian motionwiener-hopf factorizationapplied mathematics

Credit Risk Modeling. Encyclopedia of Systems and Control (2021)

Tomasz R. Bielecki

mathematical financecredit riskempirical financefinance

Further Reading. Cambridge University Press eBooks (2021)

Joshua Miller

world literaturehumanitiesarchival researchcomparative literatureget access linkliterature

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Tomasz Bielecki

Professor of Applied Mathematics Affiliate Professor Stuart School of Business

Illinois Institute of Technology

Affiliations

College of Computing

Applied Mathematics

Stuart School of Business

Tomasz Bielecki is currently serving as an Applied Mathematics Professor of Applied Mathematics Affiliate Professor Stuart School of Business at Illinois Institute of Technology.

Honors

Create free account to unlock more features

Experiences

Create free account to unlock more features

Education

Create free account to unlock more features

Tomasz Bielecki

Illinois Institute of Technology

Professor of Applied Mathematics Affiliate Professor Stuart School of Business

You can click a keyword to filter the displayed items

Notable Scholarly Works

Notable Federal Grants

Collaborators

PREFACE: Special Issue in Honour of Memory of Thomas Robert Hurd (1956–2022). International Journal of Theoretical and Applied Finance (2024)

Tomasz R. BieleckiMatheus R. GrasselliLane P. Hughston

Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures Generated by Distortion Functions. Stochastic Models (2024)

Tomasz R. BieleckiIgor CialencoHao Liu

dynamic risk measuresstochastic calculusrisk managementtime consistencystochastic processdistortion functionsapplied mathematicsdynamic performance measures

Risk Filtering and Risk-Averse Control of Markovian Systems Subject to Model Uncertainty. Mathematical Methods of Operations Research (2023)

Tomasz R. BieleckiIgor CialencoAndrzej Ruszczyński

risk-averse controlmarkovian systemsrisk filteringapplied mathematicsoperations research

Construction and Simulation of Generalized Multivariate Hawkes Processes. Methodology And Computing In Applied Probability (2022)

Tomasz R. BieleckiJacek JakubowskiMariusz Niewęgłowski

applied probabilityapplied statisticsmodeling and simulationstatisticsstochastic processstatistical methodologydata scienceapplied mathematicsnumerical simulationsprobability theory

Multivariate Hawkes Processes With Simultaneous Occurrence of Excitation Events Coming From Different Sources. Stochastic Models (2022)

Tomasz R. BieleckiJacek JakubowskiMariusz Niewęgłowski

excitation eventsmultivariate hawkesdifferent sourcesstatisticsstochastic process

On Function of Evolution of Distribution for Time Homogeneous Markov Processes. Research Square (Research Square) (2022)

Tomasz R. BieleckiJacek JakubowskiMaciej Wi±niewolski

statisticsdistribution (marketing)evolutionary biology

Risk-Sensitive Markov Decision Problems Under Model Uncertainty: Finite Time Horizon Case. Springer eBooks (2022)

Tomasz R. BieleckiTao ChenIgor Cialenco

mathematical financemodel uncertaintyapplied mathematics

Wiener–Hopf Factorization for Arithmetic Brownian Motion With Time-Dependent Drift and Volatility. Stochastic Processes and their Applications (2022)

Tomasz R. BieleckiZiteng ChengRuoting Gong

time-dependent driftarithmetic brownian motionwiener-hopf factorizationapplied mathematics

Credit Risk Modeling. Encyclopedia of Systems and Control (2021)

Tomasz R. Bielecki

mathematical financecredit riskempirical financefinance

Further Reading. Cambridge University Press eBooks (2021)

Joshua Miller

world literaturehumanitiesarchival researchcomparative literatureget access linkliterature

1
2
3
4
5
15
10 / page

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