Zakład Matematyki Finansowej - lista publikacji
Nadjednostka:
1-166 z 166.
2024
166.
165.
Damian Jelito, Marcin Pitera, Piotr Jaworski
164.
Szymon Peszat, Ben Goldys
On linear stochastic flows, Transactions of the American Mathematical Society vol. 377 (2024), 753-774
163.
2023
162.
Anna Pajor, Justyna Wróblewska, Łukasz Kwiatkowski, Jacek Osiewalski
161.
Discrete-time risk sensitive portfolio optimization with proportional transaction costs, Mathematical Finance vol. 33 (4) (2023), 1287-1313
160.
Contrastive Hierarchical Clustering, European Conference on Machine Learning and Principles and Practice of Knowledge Discovery in Database [ECML PKDD] vol. Lecture Notes in Computer Science(), vol 14169. Springer, Cham. (2023), 627–643
159.
Szymon Peszat, Ben Goldys
Linear parabolic equation with Dirichlet white noise boundary conditions, Journal of Differential Equations vol. 362 (2023), 382-437
158.
Anna Pajor, Jacek Osiewalski, Justyna Wróblewska, Łukasz Kwiatkowski
Bayesian ex Post Evaluation of Recursive Multi-Step-Ahead Density Prediction, Bayesian Analysis vol. Advance Publication (2023), 1-33
157.
Szymon Peszat, Enrico Priola, Alexei M. Kulik
156.
Katarzyna Maraj-Zygmąt, Grzegorz Sikora, Marcin Pitera, Agnieszka Wyłomańska
2022
155.
154.
Zdzisław Brzeźniak, Tomasz Komorowski, Szymon Peszat
Ergodicity for stochastic equation of Navier-Stokes type, Electronic Communications in Probability vol. 27 (2022), 10 pp.
153.
Marcin Pitera, Thorsten Schmidt
Estimating and backtesting risk under heavy tails, Insurance: Mathematics and Economics vol. 104 (2022), 1-15
152.
Aleksei Chechkin, Marcin Pitera, Agnieszka Wyłomańska
2021
151.
The investor problem based on the HJM model, Annales Polonici Mathematici vol. 127 (2021), 241-269
150.
Szymon Peszat, Krystyna Twardowska, Jerzy Zabczyk
Ergodicity of Burgers' system , Journal of Stochastic Analysis vol. 2 (2021), Article number 10, 16 pp.
149.
Łukasz Kwiatkowski, Łukasz Lenart, Anna Pajor
148.
New Estimators of the Bayes Factor for Models with High-Dimensional Parameter and/or Latent Variable Spaces, Entropy vol. 23(4) (2021), Article number: 399, 20 pages
147.
Risk sensitive optimal stopping, Stochastic Processes and their Applications vol. 136 (2021), 125-144
146.
145.
Long-Run Risk Sensitive Dyadic Impulse Control, Applied Mathematics and Optimization vol. 84(1) (2021), 19-47
2020
144.
Inverted gamma vs. log normal innovations in MSF-SBEKK models in the forecasting of selected Polish exchange rate, Śląski Przegląd Statystyczny (silesian Statistical Review) vol. 18(24) (2020), 197-218
143.
On the parabolic equation for portfolio problems, Banach Center Publications vol. 122 (2020), 287-302
142.
MCMC Method for the IG-MSF-SBEKK Model, (2020), "Quantitative methods in the contemporary issues of economics", edu-Libri s.c.
141.
Long-Run Risk-Sensitive Impulse Control, SIAM Journal on Control and Optimization vol. 58(4) (2020), 2446–2468
140.
Justyna Hebda-Sobkowicz, Marcin Pitera, Agnieszka Wyłomańska, Radosław Zimroz
139.
Piotr Jaworski, Marcin Pitera
138.
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera, Thorsten Schmidt
Fair estimation of capital risk allocation, Statistics & Risk Modeling vol. 37 (1-2) (2020), 1-24
2019
137.
Barbara Kawa, Anna Pajor
Considerations on the validity and applicability of the UEK method, Journal of Agribusiness and Rural Development vol. 2(52) (2019), 173-177
136.
Jacek Osiewalski, Anna Pajor
On Sensitivity of Inference in Bayesian MSF-MGARCH Models, Central European Journal of Economic Modelling and Econometrics vol. vol. 11, issue 3 (2019), 173–197
135.
Felix Moldenhauer, Marcin Pitera
Backtesting expected shortfall: a simple recipe?, Journal of Risk vol. 22, Issue 1 (2019), 17-42
134.
Anna Pajor, Justyna Wróblewska
133.
2018
132.
Jacek Osiewalski, Anna Pajor
A hybrid MSV-MGARCH generalisation of the t-MGARCH model, Socio-economic Modelling and Forecasting vol. No 1 (2018), 345-354
131.
130.
Maciej Klimek, Marcin Pitera
The least squares method for option pricing revisited, Applicationes Mathematicae vol. 45, Issue 1 (2018), 5-29
129.
Marcin Pitera, Thorsten Schmidt
Unbiased estimation of risk, Journal of Banking and Finance vol. 91 (2018), 133-145
128.
127.
Sylwia Dudek, Stanisław Migórski
126.
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera
2017
125.
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera
124.
Marek Karaś, Anna Serwatka
Discrete-time market models from the small investor point of view and the first fundamental-type theorem, Annales Universitatis Paedagogicae Cracoviensis Studia Mathematica Xvi vol. 16 (2017), 17-40
123.
A note on the UEK Method, Barometr Regionalny. Analizy i Prognozy vol. 15(3) (2017), 7-10
122.
121.
Piotr Jaworski, Marcin Pitera
A note on conditional covariance matrices for elliptical distributions, Statistics and Probability Letters vol. 129C (2017), 230-235
120.
Anna Pajor, Justyna Wróblewska
119.
Sylwia Dudek, Piotr Kalita, Stanisław Migórski
118.
ICA based on asymmetry, Pattern Recognition vol. 67 (2017), 230-244
117.
Estimating the Marginal Likelihood Using the Arithmetic Mean Identity, Bayesian Analysis vol. 12(1) (2017), 261-287
116.
Sylwia Dudek, Piotr Kalita, Stanisław Migórski
2016
115.
Discrete-time stochastic volatility process in option pricing: a generalisation of the Amin-Ng and the Black-Scholes models, International Journal of Financial Markets and Derivatives vol. Vol. 5, No. 2/3/4 (2016), 189-211
114.
Justyna Mokrzycka, Anna Pajor
Formalne porównanie modeli Copula-AR(1)-t-GARCH(1,1) dla subindeksów indeksu WIG, PrzeglĄd Statystyczny vol. 63(2) (2016), 123-148
113.
Long run risk sensitive portfolio with general factors, Mathematical Methods of Operations Research vol. 83, Issue 2 (2016), 265-293
112.
Piotr Jaworski, Marcin Pitera
The 20-60-20 Rule, Discrete and Continuous Dynamical Systems - Series B vol. 21, Issue 4 (2016), 1149-1166
111.
Zhao Dong , Szymon Peszat, Lihu Xu
110.
Ben Goldys, Szymon Peszat, Jerzy Zabczyk
Gauss-Markov processes on Hilbert spaces, Transactions of the American Mathematical Society vol. 368 (2016), 89-108
2015
109.
Arbitrage in markets with bid-ask spreads, Annals of Finance vol. 11 (2015), 453-475
108.
Stochastic partial differential equations with Levy noise (a few aspects) vol. Progress in Probability Vol. 68 (2015), "Stochastic Analysis: A Series of Lectures ( Robert C. Dalang, Marco Dozzi and Francesco Russo, eds.) ", Birkhäuser
107.
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera
Dynamic Limit Growth Indices in Discrete Time, Stochastic Models vol. 31, Issue 3 (2015), 494-523
106.
Peak point for domains in C^n, Annales Polonici Mathematici vol. 114 (2015), 1-12
105.
104.
Zdzisław Brzeźniak, Ben Goldys, Szymon Peszat, Francesco Russo
103.
Dan Crisan, Yoshiki Otobe, Szymon Peszat
Inverse problems for stochastic transport equations, Inverse Problems vol. 31 (2015), 22 pp.
102.
Robust Consumption-Investment Problem on Infinite Horizon, Applied Mathematics and Optimization vol. 72 (2015), 469-491
2014
101.
Jerzy Zabczyk, Szymon Peszat
100.
Piotr Jaworski, Marcin Pitera
On spatial contagion and multivariate GARCH models, Applied Stochastic Models in Business and Industry vol. 30, Issue 3 (2014), 303-327
99.
2013
98.
Sebastian Baran, Zbigniew Palmowski
Problem optymalizacji oczekiwanej użyteczności wypłat dywidend w modelu Cramera-Lundberga, Roczniki Kolegium Analiz Ekonomicznych vol. Zeszyt 31/2013. Zagadnienia aktuarialne - teoria i praktyka (2013), 27-43
97.
Tomasz Komorowski, Szymon Peszat, Tomasz Szarek
Passive tracer in a flow corresponding to two-dimensional stochastic Navier-Stokes equations, Nonlinearity vol. 26 (2013), 1999-2026
96.
Jerzy Zabczyk, Szymon Peszat
95.
Eric Edo, T. Kanehira, Marek Karaś, Shigeru Kuroda
Separability of wild automorphisms of a polynomial ring, Transformation Groups vol. 18 (2013), 81–96
94.
Piotr Jaworski, Marcin Krzywda
Coupling of Wiener processes by using copulas, Statistics and Probability Letters vol. 83(9) (2013), 2027-2033
93.
92.
Balanced domains and convexity, Archiv der Mathematik vol. 101 (2013), 373-379
91.
The Lempert Theorem and the Tetrablock, Journal of Geometric Analysis vol. 23(4) (2013), 1818–1831
90.
Armen Edigarian, Piotr Kościelniak, Mariusz Trojak
Analiza zróżnicowaniarozwoju ekonomicznegowojewództw i powiatówoparta na łańcuchach Markowa, (2013), "Statystyczna analiza przestrzennego zróżnicowania rozwoju ekonomicznego i społecznego Polski", Wydawnictwo Uniwersytetu Jagiellońskiego
89.
Prognozy na rynku surowcowym. Analiza metod prognozowania cen towarów na przykładzie aluminium., Kapitałowy vol. kwiecień 2013 (2013), 36-38
2012
88.
Sylwia Dudek
Existence result for differential inclusion with p(x)-Laplacian, Schedae Informaticae vol. 21 (2012), 41-55
87.
Sylwia Dudek
Existence result for hemivariational inequality involving p(x)-Laplacian, Opuscula Mathematica vol. 32 (2012), 439-454
86.
85.
84.
2011
83.
Lévy-Ornstein-Uhlenbeck transition semigroup as second quantized operator, Journal of Functional Analysis vol. 260 (2011), 3457-3475
82.
There is no tame automorphism of C^3 with multidegree (3,4,5), Proceedings of the American Mathematical Society vol. 139, no. 3 (2011), 769-775
81.
80.
79.
On the product property for the transfinite diameter, Annales Polonici Mathematici vol. 101 (2011), 209-214
78.
Armen Edigarian, Piotr Kościelniak, Tomasz Tokarski, Mariusz Trojak
Taksonomiczne wskaźniki rozwoju ekonomicznego powiatów, (2011), "Capability to social progress in Poland`s regions/Zdolności rozwojowe społeczności w regionach Polski", Wydawnictwa Uniwersytetu Warszawskiego
77.
Paweł Dykas, Armen Edigarian, Tomasz Tokarski
75.
74.
Równowaga w modelu Nonnemana-Vanhoudta z funkcją produkcji CES, Gospodarka Narodowa vol. 11-12 (2011), 47-59
2010
73.
Zdzisław Brzeźniak, Szymon Peszat
Hyperbolic equations with random boundary conditions vol. Interdiscip. Math. Sci., 8 (2010), "Recent development in stochastic dynamics and stochastic analysis", World Scientific Publishing
72.
Tomasz Komorowski, Szymon Peszat, Tomasz Szarek
On ergodicity of some Markov processes, Annals of Probability vol. 38 (2010), 1401-1443
71.
Zdzisław Brzeźniak, Ben Goldys, Peter Imkeller, Szymon Peszat, Enrico Priola, Jerzy Zabczyk
Time irregularity of generalized Ornstein-Uhlenbeck processes, Comptes Rendus Mathematique vol. 348 (2010), 273-276
70.
Szymon Peszat, Anna Talarczyk
Functional central limit theorem for additive functionals of α-stable processes, Potential Analysis vol. 33 (2010), 199-209
69.
Szymon Peszat, Samy Tindel
Stochastic heat and wave equations on a Lie group, Stochastic Analysis and Applications vol. 28 (2010), 662-695
68.
Armen Edigarian, Ragnar Sigurdsson
67.
Armen Edigarian, Jan Wiegerinck
66.
Armen Edigarian, SAID EL MARZGUIOUI, Jan Wiegerinck
65.
64.
Anna Sulima, Tomasz Tokarski, T.Misiak, A. Sulima.T.Tokarski
Czy w polskich powiatach występuje efekt konwergencji realnej?, (2010), "W. Kwiatkowska, E. Kwiatkowski Wzrost gospodarczy i polityka makroekonomiczna", Wydawnictwo Uniwersytetu Łódzkiego
63.
Robust portfolio selection under exponential preferences, Applicationes Mathematicae vol. 37 (2010), 215-230
2009
62.
Almost Properness of Extremal Mappings, Bulletin of the Polish Academy of Sciences. Mathematics vol. 57 (2) (2009), 129-133
61.
60.
Schwarz lemma for the tetrablock, Bulletin of the London Mathematical Society vol. 41(3) (2009), 506-514
2008
59.
Marek Karaś, KaraśM.
A note on triangular automorphisms, UNIV. IAGEL. ACTA MATH. 46 (2008) 71-74.
58.
Marek Karaś, KaraśM.,ZielińskiA.P.
Boundary-value recovery by the Trefftz approach in structural inverse problem, COMM. NUMER. METHODS ENGRG. 24 (2008) 605-625.
57.
Marek Karaś, KaraśM.
A note on geometric degree of finite extensions of mappings from a smooth variety, BULL. POLISH ACAD. SCI. MATH. 56 no. 2 (2008), 105 - 108
56.
Geometric degree of finite extensions of mappings from a smooth variety, J. PURE APPL. ALGEBRA 212 (2008), 1145-1148
55.
Anna Sulima, P.Dykas,T.Tokarski
Złote reguły akumulacji w N- kapitałowym modelu wzrostu gospodarczego, Gospodarka Narodowa vol. 11-12 (2008), 47-75
2007
54.
An elementary proof of the Dalang-Morton-Willinger theorem, Applicationes Mathematicae vol. 34 (4) (2007), 383-388
53.
Extension of polynomial mapping with a given Lojasiewicz exponent, UNIV. IAGEL. ACTA MATH. 47 (2007), 77-79
2006
52.
Bounded holomorphic functions with multiple sheeted pluripolar hulls, Studia Mathematica vol. 175(3) (2006), 233-247
2005
51.
The Pluripolar Hull and the Fine Topology, Bulletin of the Polish Academy of Sciences. Mathematics vol. 53 (3) (2005), 285-290
50.
Graphs of multifunctions, Mathematische Zeitschrift vol. 250 (2005), 145-147
49.
Leszek Pieniążek, B.Wójtowicz
A discrete dynamical system as a model of a neural network with generalized Hebbian synapses, J. MATH. ANAL. APPL. 308 (2005), 79-91
48.
Geometry of the symmetrized polydisc, Archiv der Mathematik vol. 84 (2005), 364-374
2004
47.
Armen Edigarian, Jan Wiegerinck
Determination of the pluripolar hull of graphs of certain holomorphic functions, Annales de l'Institut Fourier vol. 54 (6) (2004), 2085-2104
46.
A note on Costara's paper, Annales Polonici Mathematici vol. 83 (2004), 189-191
45.
Proper holomorphic self-mappings of the symmetrized bidisc, Annales Polonici Mathematici vol. 84 (2) (2004), 181-184
44.
Locally Nilpotent Monomial Derivations, BULL. POLISH ACAD. SCI. MATH. VOL. 52, no. 2, (2004) ,119--120
2003
43.
A note on Larusson-Sigurdsson's paper, Mathematica Scandinavica vol. 92 (2003), 309-319
42.
A note on Rosay's paper, Annales Polonici Mathematici vol. 80 (2003), 125-132
41.
Armen Edigarian, Jan Wiegerinck
Graphs that are not complete pluripolar, Proceedings of the American Mathematical Society vol. 131 (2003), 2459-2465
40.
Armen Edigarian, Jan Wiegerinck
The pluripolar hull of the graph of a holomorphic function with polar singularities, Indiana University Mathematics Journal vol. 52 (6) (2003), 1663-1680
39.
Marek Karaś, B.Szybiński,A.P.Zielinski
Folded-plate structures with openings – analysis and optimization,, COMP. ASS. MECH. ENGNG SC., 8 (2003), 479-493
38.
Isolating chains and chaotic dynamics in planar nonautonomous ODE's, NONLINEAR ANAL. 54 (2003), 187--204
37.
On Detecting of Chaotic Dynamics via Isolating Chains, TOPOL. METHODS NONLINEAR ANAL. 22 (1) (2003), 115--138
36.
Complicated dynamics in nonautonomous ODE's, UNIV. IAGEL. ACTA MATH. 41 (2003), 163--179
2002
35.
Pluripolar hulls and holomorphic coverings, Israel Journal of Mathematics vol. 130 (2002), 77-92
34.
Analytic discs method in complex analysis, DISSERTATIONES MATH. (ROZPRAWY MAT.) 402 (2002), 56 pp.
33.
Marek Karaś, B.Szybiński,A.P.Zielinski
D plate structures: optimization using special T-elements,, Proc. of the V Word Congress on Computational Mechanics, Vienna, Austria (2002).
32.
Marek Karaś, KaraśM.,ZielińskiA.P.
Hybrid Trefftz least square element for plane elasticity, STROJ. CAS. (J. MECH. ENGNG.) 53 no.1 (2002), 24-35.
31.
Finite extensions of mappings of finite sets, BULL. POLISH ACAD. SCI. MATH. 50 (2002), no. 2, 237--239
30.
The set of points at which a morphism of affine schemes is not finite, COLLOQ. MATH. 92 (2002), no. 1, 59--66
2001
29.
28.
Marek Karaś, ZielińskiA.P.,SaneckiH.,KaraśM.
Effectiveness of the Trefftz method in different engineering optimization procedures, COMP. ASS. MECH. ENGNG SC., 8 (2001), 479-493
27.
Geometric degree of generically finite extensions, EFFECTIVE METHODS IN ALGEBRAIC AND ANALYTIC GEOMETRY, 2000 (Kraków). Univ. Iagel. Acta Math. No. 39 (2001), 147--151
2000
26.
Local homeomorphisms in R2, UNIV. IAGEL. ACTA MATH. no. 38 (2000), 195--197
25.
Finite extensions of mappings from a smooth variety, ANN. POLON. MATH. 75 (2000), no. 1, 79--86
24.
Marek Karaś, KaraśM.,ZielińskiA.P.
Parametric structural shape optimization using global Trefftz approach, J. THEORET. APPL. MECH. 38 no.2 (2000), 285-296
23.
Marek Karaś, KaraśM.
Elementary proof of finitely generateness of a subring of k[t], PROC. XXI CONFERENCE OF COMPLEX ALGEBRAIC AND ANALYTIC GEOMETRY, ŁÓDŻ, POLAND (2000), 13-16.
22.
Birational finite extensions, J. PURE APPL. ALGEBRA 148 (2000), no. 3, 251--253
1999
21.
Remarks on the pluricomplex Green function, Univ. Iagel. Acta Math. vol. 37 (1999), 159-164
20.
Proper holomorphic mappings in some class of unbounded domains, KODAI MATH. J. 22 (1999), no. 3, 305--312
19.
Geometric degree of finite extensions of projections, EFFECTIVE METHODS IN ALGEBRAIC AND ANALYTIC GEOMETRY (BIELSKO-BIA3A, 1997). Univ. Iagel. Acta Math. No. 37 (1999), 109--119
18.
Marek Karaś, SaneckiH.,ZielińskiA.P.,KaraśM.
Engineering optimization with different object functions - Trefftz approach, PROC. XIV PCCMM '99, RZESZÓW, POLAND (1999), 315-316.
1998
17.
On a symmetric pluricomplex Green function, NEW ZEALAND J. MATH. 27 (1998), no. 1, 35--40
16.
Invariance of the pluricomplex Green function under proper mappings with applications, COMPLEX VARIABLES THEORY APPL. 35 (1998), no. 4, 367--380
15.
Marek Karaś, KaraśM.,ZielińskiA.P.
Shape optimization of helical spring cross-section by Trefftz approach, PROC. VII INT. CONF. “NUMERICAL METHODS IN CONTINUUM MECH.”, STARA LEŚNA, SLOVAK REPUBLIC (1998), 29-34.
14.
Marek Karaś, KaraśM.,ZielińskiA.P.
Application of Trefftz complete functional system to stress analysis in helical spring with an arbitrary wire cross-section, STROJ. CAS. (J. MECH. ENGNG.) 49 no. 6 (1998), 426-437
13.
The Conley index and retarded functional-differential equations, PROCEEDINGS OF THE CONFERENCE "TOPOLOGICAL METHODS IN DIFFERENTIAL EQUATIONS AND DYNAMICAL SYSTEMS" (KRAKÓW-PRZEGORZAŁY, 1996). Univ. Iagel. Acta Math. No. 36 (1998), 143--148
1997
12.
Armen Edigarian, E.A.Poletsky
Product property of the relative extremal function, BULL. POLISH ACAD. SCI. MATH. 45 (1997), no. 4, 331--335
11.
Extremal mappings in convex domains, UNIV. IAGEL. ACTA MATH. no. 35 (1997), 151--156
10.
On definitions of the pluricomplex Green function, ANN. POLON. MATH. 67 (1997), no. 3, 233--246
9.
8.
An estimate of the geometric degree of an extension of some polynomial proper mappings, UNIV. IAGEL. ACTA MATH. no. 35 (1997), 131--135
1995
7.
On extremal mappings in complex ellipsoids, Annales Polonici Mathematici vol. 62 (1995), 83-96
6.
1991
5.
On approximation of analytic functions and generalized orders, PROCEEDINGS OF THE TENTH CONFERENCE ON ANALYTIC FUNCTIONS (SZCZYRK, 1990). Ann. Polon. Math. 55 (1991), 163--167
1985
4.
On the growth of entire functions of n complex variables, ANN. POLON. MATH. 46 (1985), 81--84
1984
3.
A characterization of the growth of analytic functions by means of polynomial approximation, UNIV. IAGEL. ACTA MATH. no. 24 (1984), 295--319
2.
On approximation of entire functions and generalized orders, UNIV. IAGEL. ACTA MATH. no. 24 (1984), 321--326
1981
1.
On approximation and interpolation of entire functions, ZESZYTY NAUK. UNIW. JAGIELLOŃ. PRACE MAT. no. 22 (1981), 173--188