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Wydział Matematyki, Informatyki i Mechaniki Uniwersytetu Warszawskiego

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Publikacje

Michał Barski

2015

Michał Barski, On the shortfall risk control: A refinement of the quantile hedging method, Statistics & Risk Modeling 32 (2) 2015, s. 125–141.zobacz w PBN
Michał Barski, Completeness of the bond market with Lévy noise under the physical measure, Banach Center Publications 104 2015, s. 61–84.zobacz w 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, s. 835–864.zobacz w PBN

2012

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

2011

Michał Barski, Jacek Jakubowski i Jerzy Zabczyk, On Incompleteness of bond markets with infinite number of random factors, Mathematical Finance 21 (3) 2011, s. 541–556.zobacz w PBN

2010

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

2009

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

2007

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

2004

Michał Barski, Large losses - probability minimizing approach, Applicationes Mathematicae 31 2004, s. 243–257.zobacz w PBN

2003

Michał Barski, Quantile hedging on markets with proportional transaction costs, Applicationes Mathematicae 30 2003, s. 193–208.zobacz w PBN