Marek Rutkowski

Professor Marek Rutkowski is a distinguished academic at The University of Sydney, Faculty of Science, Department of Applied Mathematics. He serves as a Professor specializing in Financial Mathematics, with a research focus on Stochastic Analysis and its applications to financial markets. His work directly impacts investment banks, hedge funds, and other financial institutions worldwide through modeling financial markets, pricing derivatives contracts, and understanding risk.

Professor Rutkowski is a member of the Applied Mathematics Research Group with specific research areas including exotic options, interest rate derivatives, credit derivatives, stochastic volatility modeling, foreign exchange derivatives, multi-person game options, hedging of financial derivatives under funding costs, counterparty credit risk, credit and funding valuation adjustment, and problems related to enlargements of filtrations. His current research is devoted to nonlinear arbitrage pricing theory and nonlinear optimal stopping problems with applications to valuation of American and game options in financial markets with frictions. His research aligns with the Faculty of Science Research Strengths in Understanding the Universe, Fundamental Laws of Nature, Complex Systems, Data and Decisions, and National Security.

Professor Rutkowski has co-authored several influential monographs including 'Credit Risk Modeling' (Osaka University Press, 2009), 'Martingale Methods in Financial Modelling' (2nd edition, Springer, 2005), 'Credit Risk: Modelling, Valuation and Hedging' (Springer, 2002), and the first edition of 'Martingale Methods in Financial Modelling' (Springer, 1997). He also co-edited 'Inspired by Finance. The Musiela Festschrift' (Springer, 2014).

His editorial contributions include:

• Finance and Stochastics (1997-2017)
• Mathematical Finance (since 2000)
• International Journal of Theoretical and Applied Finance (2007-2022)
• International Journal of Portfolio Analysis and Management (since 2011)
• Probability, Uncertainty and Quantitative Risk (since 2016)

Professor Rutkowski has supervised numerous PhD students including Libo Li, Ivan Guo, Silvio Tarca, Desmond Ng, Edward Kim, Tal Morgenstern, Huansang Xu, and Yining Ding. His research has been supported by multiple Australian Research Council Discovery Projects including 'Can green investors drive the transition to a low emissions economy?' (2022), 'Fair pricing of superannuation guaranteed benefits with downturn risk' (2020), and 'Non-Linear Arbitrage Pricing of Multi-Agent Financial Games' (2015).

Professor Rutkowski maintains strong international collaborations with researchers in China (Shandong University), France (Universite Paris-Saclay), United Kingdom (Imperial College and King's College London), and the United States (Illinois Institute of Technology).