R. Łochowski

activity

20172024

most citedOn the quadratic variation of the model-free price paths with jumps

1 citations · 1 across the 4 of their papers we have counts for

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Showing 2024 · math.PRShow all

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math.PR2024

On the reducibility of affine models with dependent Lévy factor

Michał Barski, Rafał Łochowski

The paper is devoted to the study of the short rate equation of the form $d R (t) = F (R (t)) d t + i = 1 \sum d G (R (t -)) d Z_{i} (t)$ with deterministic functions $F, G_{1}, ..., G_{d}$ and a mul…

math.PR2024

Affine term structure models driven by independent Lévy processes

Michał Barski, Rafał Łochowski

We characterize affine term structure models of non-negative short rate $R$ which may be obtained as solutions of autonomous SDEs driven by independent, one-dimensional Lévy martin…