Zakład Matematyki Finansowej - lista publikacji
Nadjednostka:
1-6 z 6.
2016
6.
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
5.
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
4.
Long run risk sensitive portfolio with general factors, Mathematical Methods of Operations Research vol. 83, Issue 2 (2016), 265-293
3.
Piotr Jaworski, Marcin Pitera
The 20-60-20 Rule, Discrete and Continuous Dynamical Systems - Series B vol. 21, Issue 4 (2016), 1149-1166
2.
Zhao Dong , Szymon Peszat, Lihu Xu
1.
Ben Goldys, Szymon Peszat, Jerzy Zabczyk
Gauss-Markov processes on Hilbert spaces, Transactions of the American Mathematical Society vol. 368 (2016), 89-108