Rate My Professor Marek Rutkowski

Professor Marek Rutkowski is a Professor of Financial Mathematics in the School of Mathematics and Statistics within the Faculty of Science at the University of Sydney. He holds a PhD in Mathematics awarded in 1981 and a DSc in Financial Mathematics awarded in 1998. His academic career includes a long-standing affiliation with the Warsaw University of Technology, Faculty of Mathematics and Information Science, dating back to April 1979. At the University of Sydney, he serves as the Honours Coordinator for Financial Mathematics and Statistics and is a member of the Applied Mathematics Research Group. Rutkowski's research specializations encompass mathematical finance, stochastic processes, probability theory, econometrics, financial modeling, asset pricing, risk management, credit risk, valuation and hedging of derivatives, funding costs, collateralization, and nonlinear market models. He has supervised multiple PhD students, including theses on random times, enlargements of filtrations, and multi-player competitive games.

Rutkowski has made significant contributions to the field through key publications, including the seminal book 'Martingale Methods in Financial Modelling' co-authored with Marek Musiela (Springer, 2005), a standard reference in stochastic finance. Other notable works include 'Problems and Solutions in Mathematical Finance: Stochastic Calculus' (Wiley, 2014), numerous papers in leading journals such as 'Valuation and Hedging of Contracts with Funding Costs and Collateralization' (SIAM Journal on Financial Mathematics, 2015, with Tomasz Bielecki), 'Nonlinear Valuation with XVAs: Two Converging Approaches' (Mathematics, 2022), 'Vulnerable European and American Options in a Hazard-Process Model' (Finance and Stochastics, 2026), and 'Pricing and Hedging of SOFR Derivatives' (2025). He has secured funding from the Australian Research Council Discovery Projects scheme for research on financial mathematics topics like BSDEs and models with funding costs. Rutkowski serves on the editorial boards of Mathematical Finance (Wiley) and the International Journal of Theoretical and Applied Finance. His scholarship is evidenced by over 5,100 citations and 187 publications listed on ResearchGate, underscoring his influence in advancing arbitrage-free pricing, credit risk modeling, and nonlinear valuation frameworks in quantitative finance.