You are not logged in | log in

Wydział Matematyki, Informatyki i Mechaniki Uniwersytetu Warszawskiego

Back to the list of the institutes

Publications

Michał Barski

2015

Michał Barski, On the shortfall risk control: A refinement of the quantile hedging method, Statistics & Risk Modeling 32 (2) 2015, p. 125–141.see in PBN
Michał Barski, Completeness of the bond market with Lévy noise under the physical measure, Banach Center Publications 104 2015, p. 61–84.see in PBN

2014

Michał Barski, Monotonicity of the collateralized debt obligations term structure model, Stochastics-an International Journal Of Probability And Stochastic Processes 86 (5) 2014, p. 835–864.see in PBN

2012

Michał Barski and Jerzy Zabczyk, Heath–Jarrow–Morton–Musiela equation with Lévy perturbation, Journal Of Differential Equations 253 (9) 2012, p. 2657–2697.see in PBN
Barski and Zabczyk, Forward rate models with linear volatilities, Finance And Stochastics 16 (3) 2012, p. 537–560.see in PBN
Michał Barski, Quantile hedging for basket derivatives, Applicationes Mathematicae 39 (1) 2012, p. 103–127.see in PBN
Michał Barski, Integral representations of risk functions for basket derivatives, Applicationes Mathematicae 2012.see in PBN

2011

Michał Barski, Jacek Jakubowski and Jerzy Zabczyk, On Incompleteness of bond markets with infinite number of random factors, Mathematical Finance 21 (3) 2011, p. 541–556.see in PBN

2010

Michał Barski, Completeness of bond market driven by Lévy processes, International Journal Of Theoretical And Applied Finance 13 (5) 2010, p. 635–656.see in PBN

2009

Michał Barski, Approximations for solutions of Levy-type stochastic differential equations, Stochastic Analysis And Applications 27 (5) 2009, p. 924–961.see in PBN
Michał Barski, Wycena opcji wielowymiarowych, Rocznik Naukowy Wydziału Zarządzania W Ciechanowie 3 2009, p. 83–99.see in PBN

2007

Michał Barski, Asymptotic pricing in large financial markets, Mathematical Methods Of Operations Research 66 2007, p. 1–20.see in PBN

2004

Michał Barski, Large losses - probability minimizing approach, Applicationes Mathematicae 31 2004, p. 243–257.see in PBN

2003

Michał Barski, Quantile hedging on markets with proportional transaction costs, Applicationes Mathematicae 30 2003, p. 193–208.see in PBN