Marek Rutkowski is a member of the Applied Mathematics Research Group, working in the area of Financial Mathematics. Modern Financial Mathematics is based on Stochastic Analysis and is concerned with modelling financial markets, pricing derivatives contracts and understanding risk. These studies directly impact on investment banks, hedge funds and other financial institutions worldwide.

His specific research areas include: exotic options, interest rate derivatives, credit derivatives, stochastic volatility modelling, foreign exchange derivatives, multi-person game options, hedging of financial derivatives under funding costs and the counterparty credit risk, credit and funding valuation adjustment and problems related to enlargements of filtrations. His current research is devoted to the nonlinear arbitrage pricing theory and nonlinear optimal stopping problems with applications to valuation of American and game options in financial markets with frictions.

Co-author of the following monographs:

T. R. Bielecki, M. Jeanblanc and M. Rutkowski: Credit Risk Modeling. Osaka University Press, 2009.
M. Musiela and M. Rutkowski: Martingale Methods in Financial Modelling. 2nd edition. Springer, Berlin, 2005.
T. R. Bielecki and M. Rutkowski: Credit Risk: Modelling, Valuation and Hedging. Springer, Berlin, 2002.
M. Musiela and M. Rutkowski: Martingale Methods in Financial Modelling. Springer, Berlin, 1997.

Co-editor:

Inspired by Finance. The Musiela Festschrift. Y. Kabanov, M. Rutkowski and T. Zariphopoulou, editors, Springer, Berlin, 2014.

Member of editorial boards for:

Finance and Stochastics (1997-2017).
Mathematical Finance (since 2002).
International Journal of Theoretical and Applied Finance (since 2007).
International Journal of Portfolio Analysis and Management (since 2011).
Probability, Uncertainty and Quantitative Risk (since 2016).

Marek's research aligns with the Faculty of Science Research Strengths - Understanding the Universe, Fundamental Laws of Nature, Complex Systems, Data and Decisions, National Security .

ProfessorMarek Rutkowski

SCHOOL

FIELDS OF RESEARCH (2020)