dr Marcin Pitera

Jednostki:

  • Wydział Matematyki i Informatyki UJ
  • Instytut Matematyki
  • Zakład Matematyki Finansowej

Doktorat  Otwarcie: 2013-06-27, Zamknięcie: 2015-06-25

Publikacje:

28.
Damian Jelito, Marcin Pitera, Agnieszka Wyłomańska, Jakub Woźny, Piotr Jaworski
Gaussian dependence structure pairwise goodness-of-fit testing based on conditional covariance and the 20/60/20 rule, Journal of Multivariate Analysis vol. 206 (2025), 20 stron
27.
Nicole Bäuerle, Marcin Pitera, Łukasz Stettner
Blackwell optimality and policy stability for long-run risk-sensitive stochastic control, SIAM Journal on Control and Optimization vol. 62 (2024), 3172-3194
26.
Marcin Pitera, Łukasz Stettner
Existence of bounded solutions to multiplicative Poisson equations under mixing property, ESAIM - Control, Optimisation and Calculus of Variations vol. 30 (2024), 49
25.
Damian Jelito, Kewin Pączek, Marcin Pitera, Agnieszka Wyłomańska
Goodness-of-fit tests for the one-sided Lévy distribution based on quantile conditional moments, Journal of Applied Statistics vol. 51 (2024), 3154-3177
24.
Marcin Pitera, Miklos Rasonyi
Short Communication: Utility-Based Acceptability Indices, SIAM Journal on Financial Mathematics vol. 15 (2) (2024), SC28-SC40
23.
Damian Jelito, Marcin Pitera, Piotr Jaworski
A note on the equivalence between the conditional uncorrelation and the independence of random variables, Electronic Journal of Statistics vol. 18 (2024), 653-673
22.
Kewin Pączek, Damian Jelito, Marcin Pitera, Agnieszka Wyłomańska
Estimation of stability index for symmetric α-stable distribution using quantile conditional variance ratios, Test vol. 33 (2024), 297-334
21.
Marcin Pitera, Łukasz Stettner
Discrete-time risk sensitive portfolio optimization with proportional transaction costs, Mathematical Finance vol. 33 (4) (2023), 1287-1313
20.
Katarzyna Maraj-Zygmąt, Grzegorz Sikora, Marcin Pitera, Agnieszka Wyłomańska
Goodness-of-fit test for stochastic processes using even empirical moments statistic, Chaos vol. 33 (2023), 20
19.
Marcin Pitera, Thorsten Schmidt
Estimating and backtesting risk under heavy tails, Insurance: Mathematics and Economics vol. 104 (2022), 1-15
18.
Aleksei Chechkin, Marcin Pitera, Agnieszka Wyłomańska
Goodness-of-fit test for alpha-stable distribution based on the quantile conditional variance statistics, Statistical Methods and Applications vol. 31 (2022), 387–424
17.
Damian Jelito, Marcin Pitera, Łukasz Stettner
Risk sensitive optimal stopping, Stochastic Processes and their Applications vol. 136 (2021), 125-144
16.
Damian Jelito, Marcin Pitera
New fat-tail normality test based on conditional second moments with applications to finance, Statistical Papers vol. 62 (2021), 2083-2108
15.
Marcin Pitera, Łukasz Stettner
Long-Run Risk Sensitive Dyadic Impulse Control, Applied Mathematics and Optimization vol. 84(1) (2021), 19-47
14.
Damian Jelito, Marcin Pitera, Łukasz Stettner
Long-Run Risk-Sensitive Impulse Control, SIAM Journal on Control and Optimization vol. 58(4) (2020), 2446–2468
13.
Justyna Hebda-Sobkowicz, Marcin Pitera, Agnieszka Wyłomańska, Radosław Zimroz
Informative frequency band selection in the presence of non- Gaussian noise – a novel approach based on the conditional variance statistic with application to bearing fault diagnosis, Mechanical Systems and Signal Processing vol. 145 (2020), 106971
12.
Piotr Jaworski, Marcin Pitera
A note on conditional variance and characterization of probability distributions, Statistics and Probability Letters vol. 163 (2020), 108800
11.
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
10.
Felix Moldenhauer, Marcin Pitera
Backtesting expected shortfall: a simple recipe?, Journal of Risk vol. 22, Issue 1 (2019), 17-42
9.
Maciej Klimek, Marcin Pitera
The least squares method for option pricing revisited, Applicationes Mathematicae vol. 45, Issue 1 (2018), 5-29
8.
Marcin Pitera, Thorsten Schmidt
Unbiased estimation of risk, Journal of Banking and Finance vol. 91 (2018), 133-145
7.
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera
A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time, Mathematics of Operations Research vol. 43, Issue 1 (2018), 204-221
6.
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera
A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective, Probability Uncertainty and Quantitative Risk vol. 2 (2017), 52
5.
Piotr Jaworski, Marcin Pitera
A note on conditional covariance matrices for elliptical distributions, Statistics and Probability Letters vol. 129C (2017), 230-235
4.
Marcin Pitera, Łukasz Stettner
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.
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera
Dynamic Limit Growth Indices in Discrete Time, Stochastic Models vol. 31, Issue 3 (2015), 494-523
1.
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

Konferencje:

34.
Marcin Pitera, Damian Jelito.
IFIP TC7 System Modeling and Optimization, Universität Hamburg, Hamburg, Niemcy, 2024-08-12 - 2024-08-16
33.
Marcin Pitera, Damian Jelito.
Spotkanie Zastosowań Matematyki, IMPAN, Będlewo, Polska, 2024-05-27 - 2024-05-29
32.
Marcin Pitera, Damian Jelito.
Workshop on Stochastic Models and Control, TU Graz, Graz, Austria, 2024-02-27 - 2024-03-01
31.
Marcin Pitera, Damian Jelito.
Research Workshop. Open mathematical problems in banking, IMPAN, Warszawa, Polska, 2023-11-20 - 2023-11-22
30.
Marcin Pitera, Damian Jelito, Jakub Ruszil.
LI Konferencja Zastosowań Matematyki, IM PAN, Kościelisko, Polska, 2023-09-11 - 2023-09-16
29.
Dariusz Zawisza, Marcin Pitera, Szymon Peszat, Damian Jelito.
Stochastic Modeling and Control, Centrum Banacha , Będlewo, Polska, 2023-05-08 - 2023-05-13
28.
Marcin Pitera, Damian Jelito.
L Konferencja Zastosowań Matematyki, IM PAN, Kościelisko, Polska, 2022-09-12 - 2022-09-17
27.
Marcin Pitera, Damian Jelito.
30th IFIP TC7 Conference on System Modelling and Optimization, Insytut Matematyczny PAN, Warszawa, Polska, 2022-07-04 - 2022-07-08
26.
Marcin Pitera.
IMSI Workshop on Applied Optimal Transport, IMSI, Chicago, USA, 2022-05-16 - 2022-05-20
25.
Marcin Pitera.
IMSI Workshop on Dynamic Assessment Indices, IMSI, Chicago, USA, 2022-05-09 - 2022-05-13
24.
Marcin Pitera.
29th IFIP TC7 Conference on System Modelling and Optimization, IFIP, Quito, Ecuador, 2021-08-30 - 2021-09-03
23.
Marcin Pitera, Damian Jelito.
10th General AMaMeF Conference, University of Padova, Padwa (online), Włochy, 2021-06-22 - 2021-06-25
22.
Dariusz Zawisza, Marcin Pitera, Dawid Tarłowski, Damian Jelito.
XVI Konferencja z Probabilistyki, IM PAN, On-line, Polska, 2021-04-26 - 2021-04-30
21.
Marcin Pitera.
Uncertainty & Risk Workshop, The Alan Turing Institute, -, Online, 2021-03-17 - 2021-03-19
20.
Marcin Pitera, Damian Jelito.
Selected Topics of Simons Semesters in Banach Center, IM PAN, Warszawa, Polska, 2019-12-17 - 2019-12-18
19.
Dominik Kwietniak, Marcin Pitera, Marcel Mroczek.
DEA - Dynamics, Equations, and Applications, AGH, Kraków, Polska, 2019-09-16 - 2019-09-20
18.
Klaudiusz Wójcik, Włodzimierz Zwonek, Wojciech Słomczyński, Dominik Kwietniak, Jerzy Szczepański, Leokadia Białas-Cież, Krzysztof Ciesielski, Anna Valette, Marta Kosek, Sławomir Dinew, Jakub Kozik, Mateusz Juda, Arkadiusz Lewandowski, Patryk Pagacz, Marcin Pitera, Michał Farnik, Martha Łącka, Bogdan Batko, Paweł Borówka, Paweł Pietrzycki, Piotr Miska, Mateusz Przybylski, Michał Lipiński, Bartosz Sobolewski, Daria Boratyn, Jakub Kośmider, Agnieszka Kowalczyk, Agnieszka Kozdęba, Michał Kozdęba, Marcin Sroka, Elżbieta Krawczyk, Łukasz Merta, Habibeh Pourmand, Błażej Żmija, Damian Jelito.
Jubileuszowy Zjazd Matematyków Polskich w Stulecie Polskiego Towarzystwa Matematycznego, Polskie Towarzystwo Matematyczne, Kraków, Polska, 2019-09-03 - 2019-09-07
17.
Marcin Pitera.
ICIAM 2019, ICIAM, Walencja, Hiszpania, 2019-07-15 - 2019-07-19
16.
Marcin Pitera.
9th General AMaMeF Conference, LPSM, LaMME, ENSIIE, Paryż, Francja, 2019-06-11 - 2019-06-14
15.
Marcin Pitera, Damian Jelito.
144th European Study Group with Industry, IMPAN, Warszawa, Polska, 2019-03-17 - 2019-03-22
14.
Marcin Pitera, Damian Jelito.
Graduate school on Industrial applications of stochastic modeling, IMPAN, Warszawa, Polska, 2019-03-11 - 2019-03-15
13.
Dariusz Zawisza, Marcin Pitera, Damian Jelito.
Conference on stochastic modeling (in finance and insurance), IMPAN, Będlewo, Poland, 2019-02-10 - 2019-02-15
12.
Dariusz Zawisza, Marcin Pitera, Damian Jelito.
Workshop on Recent problems of stochastic control theory, IMPAN, Warsaw, Poland, 2019-01-27 - 2019-02-02
11.
Piotr Kalita, Anna Ochal, Klaudiusz Wójcik, Włodzimierz Zwonek, Dominik Kwietniak, Leokadia Białas-Cież, Halszka Tutaj-Gasińska, Sławomir Dinew, Marcin Pitera, Żywomir Dinew, Paweł Borówka, Mateusz Przybylski.
UMI-SIMAI-PTM joint meeting, PTM, Wrocław, Polska, 2018-09-17 - 2018-09-20
10.
Marcin Pitera.
28th IFIP TC7 Conference on System Modelling and Optimization, IFIP, Essen, Niemcy, 2018-07-23 - 2018-07-27
9.
Dariusz Zawisza, Marcin Pitera, Dawid Tarłowski.
XV Konferencja z Probabilistyki, IM PAN, Będlewo, Polska, 2018-05-21 - 2018-05-25
8.
Marcin Pitera.
Mini-conference on Large-scale portfolio investments (Beyond the Markowitz portfolio theory), IMPAN, Warszawa, Polska, 2018-04-10 - 2018-04-12
7.
Marcin Pitera.
2nd International Conference on Computational Finance, ISEG, Cemapre, Lisbona, Portugalia, 2017-09-04 - 2017-09-08
6.
Marcin Pitera.
Stochastic analysis and its applications, IMPAN, Będlewo, Polska, 2017-05-28 - 2017-06-03
5.
Dariusz Zawisza, Marcin Pitera, Dawid Tarłowski.
XIV Konferencja z Probabilistyki, IMPAN, Będlewo, Polska, 2016-05-30 - 2016-06-03
4.
Dariusz Zawisza, Marcin Pitera.
XLIV KONFERENCJA ZASTOSOWAŃ MATEMATYKI , IM PAN, Zakopane-Kościelisko, Polska, 2015-09-15 - 2015-09-22
3.
Marcin Pitera.
Joint Meeting of the German Mathematical Society and the Polish Mathematical Society (DMV-PTM 2014), PTM, Poznań, Polska, 2014-09-17 - 2014-09-20
2.
Dariusz Zawisza, Marcin Pitera, Jarosław Duda.
CNRS-PAN Mathematics Summer Institute, IM UJ, IMPAN, Kraków, Polska, 2014-06-26 - 2014-07-04
1.
Dariusz Zawisza, Marcin Pitera, Dawid Tarłowski.
XIII Konferencja z Probabilistyki , IMPAN, Będlewo, Polska, 2014-05-19 - 2014-05-23

Konferencje organizowane:

Granty (realizowane po maju 2009 roku)