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…
math.PR2013
Jump-diffusion processes in random environments
Jacek Jakubowski, Mariusz Niewęgłowski
In this paper we investigate jump-diffusion processes in random environments which are given as the weak solutions to SDE's. We formulate conditions ensuring existence and uniquene…