ProfessorMarek Rutkowski
Professor
Faculty of Science
Research projects & supervision summary
Supervision of postgraduate students:
- Libo Li: Random Times and Enlargements of Filtrations (PhD degree awarded in 2012)
- Ivan Guo: Competitive Multi-Player Stochastic Games with Applications to Multi-Person Financial Contracts (PhD degree awarded in 2013)
- Silvio Tarca: Regulatory Capital Modelling for Credit Risk (PhD degree awarded in 2015)
- Desmond Ng: Nonlinear Pricing in Discrete-time under Default and Optimal Endogenous Collateralization (PhD degree awarded in 2018)
- Edward Kim: Arbitrage-Free Valuation in Nonlinear Financial Models (PhD degree awarded in 2021)
- Tal Morgenstern: Incorporating Valuation Adjustment to Derivatives Pricing (PhD degree awarded in 2022)
- Huansang Xu: Topics in Investment Insurance for Account-Based Pension (PhD awarded in 2025)
- Yining Ding: Financial Derivatives for Backward-Looking Interest Rates (since 2024)
RESEARCH PROJECTS & ACTIVITIES
- RESEARCH-BASED DEGREE SUPERVISIONA General Framework for Pricing and Hedging Collateralized Interest Rate Derivatives
- RESEARCH-BASED DEGREE SUPERVISIONA Mean Field Game Analysis of Sponsored Search Auctions
- RESEARCH-BASED DEGREE SUPERVISIONArbitrage-free valuation in nonlinear financial models
- RESEARCH-BASED DEGREE SUPERVISIONDecision Making on Model Uncertainty
- RESEARCH-BASED DEGREE SUPERVISIONIterative approximations and hard bounds for stochastic process with jumps
- RESEARCH-BASED DEGREE SUPERVISIONMonte Carlo Variance Reduction Methods with Applications in Structural Reliability Analysis
- RESEARCH-BASED DEGREE SUPERVISIONOptimal Equilibrium for Optimal Stopping Problems with Constraints under Time-inconsistent Conditions
- RESEARCH-BASED DEGREE SUPERVISIONOptimal Stopping and Representation Problems in Mathematical Finance
- RESEARCH-BASED DEGREE SUPERVISIONSemidefinite relaxations for a linear programming approach to exit-time stochastic control
- RESEARCH-BASED DEGREE SUPERVISIONSingle-Agent and Mean-Field Time-Inconsistent Stopping Problems in Discrete Time
- RESEARCH-BASED DEGREE SUPERVISIONSingular Perturbation of Stochastic Control and Differential Games
- RESEARCH-BASED DEGREE SUPERVISIONStochastic processes with applications in physics and insurance
- RESEARCH-BASED DEGREE SUPERVISIONSuper-replication of American Options in an Uncertain Volatility Model
- RESEARCH-BASED DEGREE SUPERVISIONTopics in investment insurance for account-based pension