Zobrazeno 1 - 10
of 75
pro vyhledávání: '"Barski, Michał"'
Autor:
Barski, Michał, Łochowski, Rafał
The paper is devoted to the study of the short rate equation of the form $$ dR(t)=F(R(t)) dt +\sum_{i=1}^{d}G(R(t-))dZ_i(t)$$ with deterministic functions $F,G_1,...,G_d$ and a multivariate L\'evy process $Z=(Z_1,...,Z_d)$ with possibly dependent coo
Externí odkaz:
http://arxiv.org/abs/2407.21425
Autor:
Barski, Michał, Łochowski, Rafał
We characterize affine term structure models of non-negative short rate $R$ which may be obtained as solutions of autonomous SDEs driven by independent, one-dimensional L\'evy martingales, that is equations of the form $$ dR(r)=F(R(t))dt+\sum_{i=1}^{
Externí odkaz:
http://arxiv.org/abs/2402.07503
Autor:
Barski, Michał, Łochowski, Rafał
The paper is devoted to the study of the short rate equation of the form $$ dR(t)=F(R(t))dt+\sum_{i=1}^{d}G_i(R(t-))dZ_i(t), \quad R(0)=x\geq 0, \quad t>0, $$ with deterministic functions $F,G_1,...,G_d$ and independent L\'evy processes of infinite v
Externí odkaz:
http://arxiv.org/abs/2303.08477
Autor:
Barski, Michał, Łochowski, Rafał
The paper is devoted to the study of the short rate equation of the form $$ d R(t)=F(R(t)) dt+\sum_{i=1}^{d}G_i(R(t-)) dZ_i(t), \quad R(0)=x\geq 0,\quad t>0, $$ with deterministic functions $F,G_1,...,G_d$ and a multivariate L\'evy process $Z=(Z_1,..
Externí odkaz:
http://arxiv.org/abs/2204.07245
Autor:
Barski, Michal, Zabczyk, Jerzy
The paper is concerned with stochastic equations for the short rate process $R$ $$ dR(t)=F(R(t))dt+G(R(t-))dZ(t), $$ in the affine model of the bond prices. The equation is driven by a L\'evy martingale $Z$. It is shown that the discounted bond price
Externí odkaz:
http://arxiv.org/abs/1902.08976
Autor:
Barski, Michał S.
Bunyaviridae is one of the biggest known viral families, and includes many viruses of clinical and economic importance. The major virulence factor of most bunyaviruses is the non-structural protein (NSs). NSs is expressed early in infection and inhib
Externí odkaz:
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.680811
Autor:
Barski, Michał
Publikováno v:
Applicationes Mathematicae, 2003, 30, 193-208
In the paper a problem of risk measures on a discrete-time market model with transaction costs is studied. Strategy effectiveness and shortfall risk is introduced. This paper is a generalization of quantile hedging presented in [4].
Comment: 15
Comment: 15
Externí odkaz:
http://arxiv.org/abs/1601.03380
Autor:
Barski, Michał
Publikováno v:
Applicationes Mathematicae, 2004, 31, 243-257
The probability minimizing problem of large losses of portfolio in discrete and continuous time models is studied. This gives a generalization of quantile hedging presented in [3].
Comment: 13 pages
Comment: 13 pages
Externí odkaz:
http://arxiv.org/abs/1601.03388