Publikacje

Michał Barski

Liczba publikacji: 17

2021

• Michał Barski , Jerzy Zabczyk, A note on generalized CIR equations, Communications in Information and Systems, 21 (2) 2021, s. 209-218. Zobacz w PBN

2020

• Michał Barski , Jerzy Zabczyk, Mathematics of the bond market, A Levy processes approach, 2020. Zobacz w PBN
• Michał Barski , Jerzy Zabczyk, On CiR equations with general factors, SIAM Journal on Financial Mathematics, 11 (1) 2020, s. 131-147. Zobacz w PBN

2015

• Michał Barski , Incompleteness of the bond market with Lévy noise under the physical measure, BANACH CENTER PUBLICATIONS, 2015. Zobacz w PBN
• Michał Barski , On the shortfall risk control: A refinement of the quantile hedging method, Statistics and Risk Modeling, 2015. Zobacz w PBN

2014

• Michał Barski , Monotonicity of the collateralized debt obligations term structure model, Stochastics, 2014. Zobacz w PBN

2012

• Michał Barski , Zabczyk, Forward rate models with linear volatilities, Finance and Stochastics, 2012. Zobacz w PBN
• Michał Barski , Jerzy Zabczyk, Heath–Jarrow–Morton–Musiela equation with Lévy perturbation, Journal of Differential Equations, 2012. Zobacz w PBN
• Michał Barski , Integral representations of risk functions for basket derivatives, Applicationes Mathematicae, 2012. Zobacz w PBN
• Michał Barski , Quantile hedging for basket derivatives, Applicationes Mathematicae, 2012. Zobacz w PBN

2011

• Michał Barski , Jacek Jakubowski , Jerzy Zabczyk, On Incompleteness of bond markets with infinite number of random factors, Mathematical Finance, 2011. Zobacz w PBN

2010

• Michał Barski , Completeness of bond market driven by Lévy processes, International Journal of Theoretical and Applied Finance, 2010. Zobacz w PBN

2009

• Michał Barski , Approximations for solutions of Levy-type stochastic differential equations, Stochastic Analysis and Applications, 2009. Zobacz w PBN
• Michał Barski , Wycena opcji wielowymiarowych, Rocznik Naukowy Wydziału Zarządzania w Ciechanowie, 2009. Zobacz w PBN

2007

• Michał Barski , Asymptotic pricing in large financial markets, Mathematical Methods of Operations Research, 2007. Zobacz w PBN

2004

• Michał Barski , Large losses - probability minimizing approach, Applicationes Mathematicae, 2004. Zobacz w PBN

2003

• Michał Barski , Quantile hedging on markets with proportional transaction costs, Applicationes Mathematicae, 2003. Zobacz w PBN