1 citations · 1 across the 3 of their papers we have counts for
3 papers
q-fin.MF2023
The Unified Framework for Modelling Credit Cycles with Marshall-Walras Price Formation Process And Systemic Risk Assessment
Kamil Fortuna, Janusz Szwabiński
Systemic risk is a rapidly developing area of research. Classical financial models often do not adequately reflect the phenomena of bubbles, crises, and transitions between them du…
q-fin.PM2023
Portfolio Optimisation via the Heston Model Calibrated to Real Asset Data
Jarosław Gruszka, Janusz Szwabiński
The debate between active and passive investment strategies has been ongoing for many years and is far from being over. In this paper, we show that the choice of an optimal portfol…
q-fin.MF2022★ 1 cited
Parameter Estimation of the Heston Volatility Model with Jumps in the Asset Prices
Jarosław Gruszka, Janusz Szwabiński
Parametric estimation of stochastic differential equations (SDEs) has been a subject of intense studies already for several decades. The Heston model for instance is driven by two…