Wydział Matematyki, Informatyki i Mechaniki Uniwersytetu Warszawskiego
Publications
Jacek Jakubowski
2018
- Jacek Jakubowski, Zofia Michalik and Maciej Wiśniewolski, Moments and Mellin transform of the asset price in Stein and Stein model and option pricing, Lithuanian Mathematical Journal 2018.see in PBN
- Maciej Wiśniewolski and Jacek Jakubowski, A simple proof of the martingale property in a semi-log-normal stochastic volatility model, Applicationes Mathematicae 2018.see in PBN
- Maciej Wiśniewolski and Jacek Jakubowski, Invariance formulas for stopping Times of squared Bessel process, Stochastic Analysis And Applications 2018.see in PBN
- Maciej Wiśniewolski, Jacek Jakubowski and TOMASZ BYCZKOWSKI, On functionals of excursions for Bessel processes with negative index, Studia Mathematica 2018.see in PBN
2017
- Tomasz R Bielecki, Jacek Jakubowski and Mariusz Niewęgłowski, A Note on Independence Copula for Conditional Markov Chains, in: Recent Progress and Modern Challenges in Applied Mathematics, Modeling and Computational Science, Springer, 2017, p. 303–321.see in PBN
- Tomasz R. Bielecki, Jacek Jakubowski and MARIUSZ NIEWĘGŁOWSKI, Conditional Markov chains: Properties, construction and structured dependence, Stochastic Processes And Their Applications 127 (4) 2017, p. 1125–1170.see in PBN
- Jacek Jakubowski and MARIUSZ NIEWĘGŁOWSKI, Feynman–Kac theorem in random environments and partial integro-differential equations, Journal Of Mathematical Analysis And Applications 450 2017, p. 1363–1387.see in PBN
2015
- Jacek Jakubowski and Maciej Wiśniewolski, On the distribution of Verhulst process, Lithuanian Mathematical Journal 55 (I) 2015, p. 91–101.see in PBN
- Jacek Jakubowski and Maciej Wiśniewolski, On matching diffusions, Laplace transforms and partial differential equations, Stochastic Processes And Their Applications Vol 125 (Issue 10) 2015, p. 3663–3690.see in PBN
- Tyrone Duncan, Jacek Jakubowski and Bozenna Pasik-Duncan, Stochastic volatility models with volatility driven by fractional Brownian motions, Communications In Information And Systems 15 (1) 2015, p. 47–55.see in PBN
- Tomasz Bielecki, Jacek Jakubowski and Mariusz Niewęgłowski, Conditional Markov chains -- construction and properties, in: Stochastic analysis. Special volume in honour of Jerzy Zabczyk, 2015, p. 33––42.see in PBN
2012
- Tomasz R. Bielecki, Jacek Jakubowski and Mariusz Niewęgłowski, Study of dependence for some stochastic processes: Symbolic Markov copulae, Stochastic Processes And Their Applications 122 (3) 2012, p. 930–951.see in PBN
- Jacek Jakubowski and Jędrzej Białkowski, Determinants of trading activity on the single-stock futures market: Evidence from the Eurex exchange, Journal Of Derivatives 19 (3) 2012, p. 29–47.see in PBN
- Jacek Jakubowski and Maciej Wiśniewolski, Conditional version of the Donati-Martin and Yor Formula and its applications, Demonstratio Mathematica 45 (2) 2012, p. 257–263.see in PBN
2010
- Jacek Jakubowski and Mariusz Niewęgłowski, Defaultable bonds with an infinite number of Levy factors, Applicationes Mathematicae 37 (3) 2010, p. 275–307.see in PBN
- Tomasz R. Bielecki, Jacek Jakubowski and Mariusz Niewęgłowski, Dynamic modeling of dependence in finance via copulae between stochastic processes, in: Copula theory and its applications, Springer, Heidelberg 2010.see in PBN
- Jacek Jakubowski and Mariusz Niewęgłowski, A class of F-doubly stochastic Markov chains, Electronic Journal Of Probability (15) 2010, p. 1743–1771.see in PBN
2008
- Jacek Jakubowski and M. Niewęgłowski, Pricing Bonds and CDS in the model with rating migration induced by Cox process, in: Advances of Mathematic of Finance, Banach Center Publications, Polska 2008.see in PBN
- J. Białkowski and Jacek Jakubowski, Stock index futures arbitrage in emerging markets: Polish evidence, International Review Of Financial Analysis 17 (2) 2008, p. 363–381.see in PBN
- T. Bielecki, Jacek Jakubowski, A. Vidozzi and L. Vidozzi, Study of dependence for some stochastic processes, Stochastic Analysis And Applications 26 2008, p. 903–924.see in PBN
2006
- Jacek Jakubowski, Andrzej Palczewski, M. Rutkowski and Ł Stettner, Matematyka finansowa, WNT, Warszawa 2006.see in PBN
- Jacek Jakubowski and Rafał Sztencel, Rachunek Prawdopodobieństwa dla (prawie) każdego s.1-366, wydanie II poprawione i rozszerzone., Script, Warszawa 2006.see in PBN
- T. Duncan, Jacek Jakubowski and B. Pasik-Duncan, Stochastic integration for fractional Brownian motion in a Hilbert space, Stochastics And Dynamics 6 (1) 2006, p. 53–75.see in PBN
- Jacek Jakubowski, Modelowanie Rynków Finansowych, Script, Warszawa, pp. 1-249 2006.see in PBN
2005
- Jędrzej Białkowski and Jacek Jakubowski, Statystyczne własności szeregu niedopasowania pomiędzy ceną futures a jej teoretyczną wartością dla kontraktów na akcje, Rynek Terminowy 29 (3) 2005, p. 64–68.see in PBN
- Jędrzej Białkowski and Jacek Jakubowski, Możliwości arbitrażu między rynkiem terminowym a kasowym dla kontraktów na WIG20, Rynek Terminowy 27 (1) 2005, p. 15–21.see in PBN
- Jacek Jakubowski, Martyngały a rynki finansowe, Matematyka, SpoŁeczeŃstwo, Nauczanie 34 2005, p. 13–20.see in PBN
2000
- Jacek Jakubowski, Existence of storng solutions to stochastic differential equations in the duals of nuclear spaces, in: 5th World Congress of the Bernoulli Society, Warsaw 2000.see in PBN
- Jacek Jakubowski, Existence of storng solutions to stochastic differential equations in the duals of nuclear spaces, Biuletyn Komitetu Przestrzennego Zagospodarowania Kraju Pan (48) 2000, p. 247–252.see in PBN
- Jacek Jakubowski, Existence of strong solutions to stochastic differential equations in the duals of nuclear spaces, in: Abstract of the 5th World Congress of the Bernoulli Society, Yuanto, Meksyk 2000.see in PBN
- J. Jakubowski, Existence of strong solutions to stochastic differential equations in conuclear spaces, Bulletin Of The Polish Academy Of Sciences. Mathematics Vol. 48, no 3 2000, p. 247–252.see in PBN
- Jacek Jakubowski and Rafał Sztencel, Wstęp do teorii prawdopodobienstwa, Warszawa 2000.see in PBN
You are not logged in | log in
