Zakład Matematyki Finansowej - lista publikacji
Nadjednostka:
1-144 z 144.
2020
144.
MCMC Method for the IG-MSF-SBEKK Model, (2020), "Quantitative methods in the contemporary issues of economics", edu-Libri s.c.
143.
Long-Run Risk-Sensitive Impulse Control, SIAM J CONTROL OPTIM vol. 58(4) (2020), 2446–2468
142.
Justyna Hebda-Sobkowicz, Marcin Pitera, Agnieszka Wyłomańska, Radosław Zimroz
141.
140.
Piotr Jaworski, Marcin Pitera
A note on conditional variance and characterization of probability distributions, STAT PROBABIL LETT vol. 163 (2020), 108800
139.
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
138.
2019
137.
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
136.
135.
Felix Moldenhauer, Marcin Pitera
Backtesting expected shortfall: a simple recipe?, J 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, J BANK FINANC vol. 91 (2018), 133-145
128.
127.
Sylwia Dudek, Stanisław Migórski
126.
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera
A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time, MATH OPER RES vol. 43, Issue 1 (2018), 204-221
2017
125.
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera
124.
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, STAT PROBABIL LETT vol. 129C (2017), 230-235
120.
Anna Pajor, Justyna Wróblewska
VEC-MSF models in Bayesian analysis of short- and long-run relationships, STUD NONLINEAR DYN E vol. 21(3) (2017), 1-22
119.
Sylwia Dudek, Piotr Kalita, Stanisław Migórski
118.
ICA based on asymmetry, PATTERN RECOGN vol. 67 (2017), 230-244
117.
Estimating the Marginal Likelihood Using the Arithmetic Mean Identity, BAYESIAN ANAL 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, MATH METHOD OPER RES vol. 83, Issue 2 (2016), 265-293
112.
Piotr Jaworski, Marcin Pitera
The 20-60-20 Rule, DISCRETE CONT DYN-B vol. 21, Issue 4 (2016), 1149-1166
111.
Zhao Dong , Szymon Peszat, Lihu Xu
On some smoothening effects of the transition semigroup of a Levy process, J MATH ANAL APPL vol. 434 (2016), 1566-1580
110.
Jerzy Zabczyk, Ben Goldys, Szymon Peszat
Gauss-Markov processes on Hilbert spaces, T AM MATH SOC 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, STOCH MODELS vol. 31, Issue 3 (2015), 494-523
106.
Peak point for domains in C^n, ANN POL MATH vol. 114 (2015), 1-12
105.
104.
Zdzisław Brzeźniak, Ben Goldys, Szymon Peszat, Francesco Russo
Second order PDEs with Dirichlet white noise boundary conditions, J EVOL EQU vol. 15 (2015), 1-26
103.
Dan Crisan, Yoshiki Otobe, Szymon Peszat
Inverse problems for stochastic transport equations, INVERSE PROBL vol. 31 (2015), 22 pp.
102.
Robust Consumption-Investment Problem on Infinite Horizon, APPL MATH OPT vol. 72 (2015), 469-491
2014
101.
Jerzy Zabczyk, Szymon Peszat
Time regularity for stochastic Volterra equations by the dilation theorem, J MATH ANAL APPL vol. 409 (2014), 676-683
100.
Piotr Jaworski, Marcin Pitera
On spatial contagion and multivariate GARCH models, APPL STOCH MODEL BUS 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
Time regularity of solutions to linear equations with Lévy noise in infinite dimensions, STOCH PROC APPL vol. 123 (2013), 719-751
95.
Eric Edo, T. Kanehira, Marek Karaś, Shigeru Kuroda
Separability of wild automorphisms of a polynomial ring, TRANSFORM GROUPS vol. 18 (2013), 81–96
94.
Piotr Jaworski, Marcin Krzywda
Coupling of Wiener processes by using copulas, STAT PROBABIL LETT vol. 83(9) (2013), 2027-2033
93.
92.
Balanced domains and convexity, ARCH MATH vol. 101 (2013), 373-379
91.
The Lempert Theorem and the Tetrablock, J GEOM ANAL 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.
Polynomial hulls and proper analytic disks, ARK MAT (2012), 59-67
2011
83.
Lévy-Ornstein-Uhlenbeck transition semigroup as second quantized operator, J FUNCT ANAL vol. 260 (2011), 3457-3475
82.
There is no tame automorphism of C^3 with multidegree (3,4,5), P AM MATH SOC vol. 139, no. 3 (2011), 769-775
81.
80.
79.
On the product property for the transfinite diameter, ANN POL MATH 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
76.
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, ANN PROBAB 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, CR MATH vol. 348 (2010), 273-276
70.
Szymon Peszat, Anna Talarczyk
Functional central limit theorem for additive functionals of α-stable processes, POTENTIAL ANAL vol. 33 (2010), 199-209
69.
Szymon Peszat, Samy Tindel
Stochastic heat and wave equations on a Lie group, STOCH ANAL APPL vol. 28 (2010), 662-695
68.
Armen Edigarian, Ragnar Sigurdsson
67.
Armen Edigarian, Jan Wiegerinck
Shcherbina's theorem for finely holomorphic functions, MATH Z (2010), 393-398
66.
Armen Edigarian, SAID EL MARZGUIOUI, Jan Wiegerinck
The image of a finely holomorphic map is pluripolar, ANN POL MATH (2010), 137-149
65.
64.
63.
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
2009
62.
Schwarz lemma for the tetrablock, B LOND MATH SOC vol. 41(3) (2009), 506-514
61.
Almost Properness of Extremal Mappings, BULLETIN OF THE POLISH ACADEMY OF SCIENCES. MATHEMATICS vol. 57 (2) (2009), 129-133
60.
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, STUD MATH 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.
Geometry of the symmetrized polydisc, ARCH MATH vol. 84 (2005), 364-374
49.
Graphs of multifunctions, MATH Z vol. 250 (2005), 145-147
48.
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
2004
47.
Armen Edigarian, Jan Wiegerinck
Determination of the pluripolar hull of graphs of certain holomorphic functions, ANN I FOURIER vol. 54 (6) (2004), 2085-2104
46.
A note on Costara's paper, ANN POL MATH vol. 83 (2004), 189-191
45.
Proper holomorphic self-mappings of the symmetrized bidisc, ANN POL MATH 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, MATH SCAND vol. 92 (2003), 309-319
42.
A note on Rosay's paper, ANN POL MATH vol. 80 (2003), 125-132
41.
Armen Edigarian, Jan Wiegerinck
Graphs that are not complete pluripolar, P AM MATH SOC vol. 131 (2003), 2459-2465
40.
Armen Edigarian, Jan Wiegerinck
The pluripolar hull of the graph of a holomorphic function with polar singularities, INDIANA U MATH J 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, ISR J MATH 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.
On the product property of the pluricomplex Green function, P AM MATH SOC vol. 125 (1997), 2855-2858
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, ANN POL MATH 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