Zobrazeno 1 - 10 of 11 pro vyhledávání: '"Dariusz Gątarek"'
3
On weak solutions of stochastic equations in Hilbert spaces
Autor: Beniamin Goldys, Dariusz Gątarek
Publikováno v: Stochastics and Stochastic Reports. 46:41-51
We consider nonlinear stochastic evolution equation in Hilbert space. A simple new proof of existence of weak solution is given provided C0-semigroup governing the linear part of this equation is compact. Cylindrical noise is allowed. This generalize
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::308c52323ff01e863b33272e589dc6fd
https://doi.org/10.1080/17442509408833868
Zobrazit plný text záznamu
5
Impulsive control of piecewise-deterministic processes with long run average cost
Autor: Dariusz Gątarek
Publikováno v: Stochastics and Stochastic Reports. 45:127-143
The paper deals with value functions for optimal stopping and impulsive control for piecewise-deterministic processes with long run average cost. The associated dynamic programming equations are variational and quasi-variation inequalities with integ
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::1a1e824fbbe05154848cff2d4aa3458d
https://doi.org/10.1080/17442509308833859
Zobrazit plný text záznamu
6
On first-order quasi-variational inequalities with integral terms
Autor: Dariusz Gątarek
Publikováno v: Applied Mathematics & Optimization. 24:85-98
This paper deals with first-order quasi-variational inequalities with integral terms associated with impulsive and switching control of piecewise-deterministic processes. Two formulations of quasi-variational inequalities are studied, characteristic
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::c0e5e458b5730d4c4804c4d22650aa6f
https://doi.org/10.1007/bf01447736
Zobrazit plný text záznamu
7
Managing Portfolio of Options
Autor: Dariusz Gątarek
Publikováno v: Soft Computing for Risk Evaluation and Management ISBN: 9783662003480
The aim of this note is to show that using sophisticate option pricing models is necessary not only for banks with big portfolios of exotic options. It is necessary also for portfolio management of plain vanilla options.
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::3e123688e272ef9b1d27d9b4c005e423
https://doi.org/10.1007/978-3-7908-1814-7_26
Zobrazit plný text záznamu
8
Elektronická kniha
The LIBOR Market Model in Practice
Autor: Dariusz Gatarek, Przemyslaw Bachert, Robert Maksymiuk
The LIBOR Market Model (LMM) is the first model of interest rates dynamics consistent with the market practice of pricing interest rate derivatives and therefore it is widely used by financial institution for valuation of interest rate derivatives. T
Zobrazit plný text záznamu
9
Akademický článek
Between Scylla and Charybdis: The Bermudan Swaptions Pricing Odyssey
Autor: Dariusz Gatarek, Juliusz Jabłecki
Publikováno v: Mathematics, Vol 9, Iss 2, p 112 (2021)
Bermudan swaptions are options on interest rate swaps which can be exercised on one or more dates before the final maturity of the swap. Because the exercise boundary between the continuation area and stopping area is inherently complex and multi-dim
Externí odkaz: https://doaj.org/article/a0df58011342436fad1039df57ed573e
Zobrazit plný text záznamu

Vyhledávací nástroje:

Upřesnit hledání

Omezení vyhledávání
Plný text Recenzováno Digitální knihovna AV ČR
Zdroje