Wydział Matematyki, Informatyki i Mechaniki Uniwersytetu Warszawskiego
Publikacje
Piotr Jaworski
2019
- Noppadon Kamnitui, Christian Genest, Piotr Jaworski i Wolfgang Trutschnig, On the size of the class of bivariate extreme-value copulas with a fixed value of Spearman’s rho or Kendall’s tau, Journal Of Mathematical Analysis And Applications 472 2019, s. 920–936.zobacz w PBN
- Piotr Jaworski, Aleksander Kowalski, Kamil Liberadzki i Marcin Liberadzki, Obligacje typu CoCo i bail-in jako instrumenty rekapitalizacji banków i zwiększenia stabilności finansowej, Materiały I Studia Nbp 335 2019, s. 1–149.zobacz w PBN
2018
- Mauro Bernardi, Fabrizio Durante, Piotr Jaworski, Lea Petrella i Gianfausto Salvadori, Conditional Risk based on multivariate Hazard Scenarios, Stochastic Environmental Research And Risk Assessment 32 2018, s. 203–211.zobacz w PBN
- Piotr Jaworski, Kamil Liberadzki i Marcin Liberadzki, Principles of the toll roads pricing, Archives Of Transport 45 (1) 2018, s. 53–62.zobacz w PBN
2017
- Mauro Bernardi, Fabrizio Durante i Piotr Jaworski, CoVaR of families of copulas, Statistics & Probability Letters 120 2017, s. 8–17.zobacz w PBN
- Piotr Jaworski, Kamil Liberadzki i Marcin Liberadzki, How does issuing contingent convertible bonds improve bank's solvency? A Value-at-Risk and Expected Shortfall approach., Economic Modelling 60 2017, s. 162–168.zobacz w PBN
- F. Marta Di Lascio, Fabrizio Durante i Piotr Jaworski, A test for truncation invariant dependence, w: Soft Methods for Data Science, Springer, 2017, s. 173–180.zobacz w PBN
- Piotr Jaworski, On Conditional Value at Risk (CoVaR) for tail-dependent copulas, Dependence Modeling 5 2017, s. 1–19.zobacz w PBN
- Piotr Jaworski i Marcin Pitera, A note on conditional covariance matrices for elliptical distributions, Statistics & Probability Letters 129 2017, s. 230–235..zobacz w PBN
- Piotr Jaworski, On truncation invariant copulas and their estimation, Dependence Modeling 5 2017, s. 133–144.zobacz w PBN
- Piotr Jaworski, On the Conditional Value-at-Risk (CoVaR) in copula setting, w: Copulas and Dependence Models with Applications, Springer International Publishing, Cham 2017, r. 7, s. 95–117.zobacz w PBN
- Piotr Jaworski, Kamil Liberadzki i Marcin Liberadzki, Contagion and divergence on sovereign bond markets, Copernican Journal Of Finance & Accounting 6 (4) 2017, s. 39–68.zobacz w PBN
2015
- Fabrizio Durante, Enrico Foscolo, Piotr Jaworski i Hao Wang, Connectedness Measures of Spatial Contagion in the Banking and Insurance Sector, w: Strengthening Links Between Data Analysis and Soft Computing, Springer, Cham 2015, s. 217–224.zobacz w PBN
- Piotr Jaworski, Univariate conditioning of vine copulas, Journal Of Multivariate Analysis 138 2015, s. 89–103.zobacz w PBN
2014
- Fabrizio Durante, Enrico Foscolo, Piotr Jaworski i Hao Wang, A spatial contagion measure for financial time series, Expert Systems With Applications 41 (8) 2014, s. 4023–4034.zobacz w PBN
- Piotr Jaworski i Marcin Pitera, On spatial contagion and multivariate GARCH models, Applied Stochastic Models In Business And Industry 30 2014, s. 303–327.zobacz w PBN
- Piotr Jaworski, On the Characterization of Copulas by Differential Equations, Communications In Statistics-theory And Methods 43 2014, s. 3402–3428.zobacz w PBN
2013
- Piotr Jaworski i Marcin Krzywda, Coupling of Wiener Processes by Copulas, Statistics & Probability Letters 83 2013, s. 2027–2033.zobacz w PBN
- Piotr Jaworski, Fabrizio Durante i Wolfgang Karl Haerdle (red.), Copulae in Mathematical and Quantitative Finance, Proceedings of the Workshop Held in Cracow 10-11 July 2012, Springer, 2013.zobacz w PBN
- Piotr Jaworski, The limiting properties of copulas under univariate conditioning, w: Copulae in Mathematical and Quantitative Finance, Proceedings of the Workshop Held in Cracow 10-11 July 2012, Springer, 2013, r. 7, s. 129–163.zobacz w PBN
- Piotr Jaworski, On copulas and differential inclusions, w: Synergies of Soft Computing and Statistics for Intelligent Data Analysis, Springer, 2013.zobacz w PBN
- Piotr Jaworski i Jacek Micał, Pojęcie ubezpieczenia i podstawowa terminologia, w: Ubezpieczenia, Polskie Wydawnictwo Ekonomiczne, Warszawa 2013, r. 1, s. 17–37.zobacz w PBN
- Piotr Jaworski, Invariant dependence structure under univariate truncation: the high-dimensional case, Statistics 47 (5) 2013, s. 1064–1074.zobacz w PBN
2011
- Fabrizio Durante, Piotr Jaworski i Radko Mesiar, Invariant dependence structures and Archimedean copulas, Statistics & Probability Letters 81 2011, s. 1995–2003.zobacz w PBN
- Piotr Jaworski, On modelling the increasing dependence of extremal events, w: Proceedings Applied Stochastic Models and Data Analysis (ASMDA2011) , Italy, ASMDA, Roma, Italy 2011.zobacz w PBN
2010
- Fabrizio Durante i Piotr Jaworski, A new characterization of bivariate copulus, Communications In Statistics-theory And Methods 39 2010, s. 2910–2912.zobacz w PBN
- Piotr Jaworski, Testing archimedeanity, w: Combining Soft Computing and Statistical Methods in Data Analysis, Springer, Berlin 2010.zobacz w PBN
- Piotr Jaworski, Tail behaviour of copulas, w: Copula theory and its applications, Springer, Heidelberg 2010.zobacz w PBN
- Piotr Jaworski, Ekonometria, Uniwersytet Warszawski, Warszawa 2010.zobacz w PBN
- Piotr Jaworski i Krystyna JAWORSKA, Rynki kapitałowe, Uniwersytet Warszawski, Warszawa 2010.zobacz w PBN
- Piotr Jaworski (red.), Copula Theory and its Applications, Springer-Verlag, 2010.zobacz w PBN
- Fabrizio Durante i Piotr Jaworski, Spatial contagion between financial markets: a copula-based approach, Applied Stochastic Models In Business And Industry 26 2010, s. 551–564.zobacz w PBN
- Tomasz RychlikPiotr Jaworski, Fabrizio Durante i Wolfgang Hardle (red.), Copula theory and its applications. Proceedings of the Worshop Held in Warsaw, 25-26 Sept., Springer, Heidelberg 2010.zobacz w PBN
2008
- P Jaworski, Bounds for Value at Risk, for Multiasset Portfolios, Acta Physica Polonica A 114 2008, s. 619–627.zobacz w PBN
- F. Durante i Piotr Jaworski, Absolutely continuous copulas with given diagonal sections, Communications In Statistics-theory And Methods 37 (18) 2008, s. 2924–2942.zobacz w PBN
- Piotr Jaworski, Bounds for value at risk for multiasset portfolios, Acta Physica Polonica A 114 2008, s. 619–627.zobacz w PBN
- Piotr Jaworski i Tomasz Rychlik, On distributions of order statistics for absolutely continuous copulas with applications to reliability, Kybernetika 44 2008, s. 757–776.zobacz w PBN
- Piotr Jaworski, Bounds for Value at Risk - the approach based on copulas with homogeneous tails, Mathware & Soft Computing XV (1) 2008, s. 113–124.zobacz w PBN
2007
- Piotr Jaworski, Zastosowanie kopuli do modelowania zdarzeń ekstremalnych, w: Metody ilościowe w badaniach ekonomicznych, SGGW, Warszawa 2007.zobacz w PBN
- Piotr Jaworski, Bounds for value and risk for asymptotically dependent assets-the copula approach, w: New dimensions in fuzzy logic and related technologies. Proceedings of the 5th EUSFLAT conference, University of Ostrava, Ostrava 2007.zobacz w PBN
2000
- Piotr Jaworski, On the strong Hasse principle for fields of quotients of power series in two variables, Mathematische Zeitschrift (DOI10.1007) 2000, s. 1–19.zobacz w PBN
- Piotr Jaworski, On the topological triviality along moduli of deformations of $J_{k,0}$ singularities, Annales Polonici Mathematici 75 2000, s. 193–212.zobacz w PBN
- Piotr Jaworski, Wycena portfela kredytowego, Bank I Kredyt XXXI (9) 2000, s. 75–80.zobacz w PBN
Nie jesteś zalogowany | zaloguj się
