9 citations · 21 across the 15 of their papers we have counts for
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q-fin.PR2013★ 1 cited
Risk-minimization and hedging claims on a jump-diffusion market model, Feynman-Kac Theorem and PIDE
Jacek Jakubowski, Mariusz Niewęgłowski
At first, we solve a problem of finding a risk-minimizing hedging strategy on a general market with ratings. Next, we find a solution to this problem on Markovian market with ratin…
q-fin.PR2009
Linear stochastic volatility models
Jacek Jakubowski, Maciej Wisniewolski
In this paper we investigate general linear stochastic volatility models with correlated Brownian noises. In such models the asset price satisfies a linear SDE with coefficient of…