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Tomasz R. Bielecki Professor Department of Applied Mathematics Illinois Institute of Technology Mailing address: Dep. of Applied Math, IIT 10 West 32nd Str, Bld E1, Room 125A Chicago, IL 60616-3793 Office: Bld. E1. Room 125A Phone: (312) 567-3131 Fax: (312) 567-3135 E-mail: bielecki [at] iit [dot] edu Research Interests and Professional Activities Stochastic Analysis, Stochastic Processes, Mathematical Finance Credit Risk, Counterparty Risk Performance Measures, Risk Measures Stochastic Control, Semigroup Theory, Functional Analysis Associate Editor of Mathematical Finance Associate Editor of SIAM Journal on Control and Optimization (SICON) Associate Editor of International Journal of Portfolio Analysis and Management (IJPAM) Current Teaching - Spring 2012 Math 582, Mathematical Finance II Class Time: TR, 5:00 - 6:15 pm Class Room: E1 119 Office Hours: TR 6:30 - 7:30 pm, or by appointment All course materials are on the Blackboard Collaborators Igor Cialenco Areski Cousin Stephane Crepey Samuel Drapeau Alexander Herbertsson Jacek Jakubowski Monique Jeanblanc Mariusz Nieweglowski Marek Rutkowski PhD Students Ismail Iyigunler Rodrigo Rodriguez Andrea Vidozzi (2009, Quant Analyst at Quantifi) Luca Vidozzi (2009, VP at Merrill Lynch) Zhao Zhang (2011, Quant Trader at Transmarket Group) Books Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity Tomasz R. Bielecki, Damiano Brigo, Frederic Patras Bloomberg Press, 2011 Credit Risk: Modelling Valuation and Hedging Tomasz R. Bielecki, Marek Rutkowski Springer Finance, 2004 Credit Risk Modeling: CSFI lecture note series Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski Osaka University Press, 2009 Paris-Princeton Lectures on Mathematical Finance Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski, Tomas Björk, José Scheinkman, Wei Xiong Springer, 2004 Professional Master in Mathematical Finance at IIT If you have any questions about the program please visit the official web-site or email me.