2 citations · 2 across the 2 of their papers we have counts for
3 papers
q-fin.RM2014
Market risk modelling in Solvency II regime and hedging options not using underlying
Przemysław Klusik
In the paper we develop mathematical tools of quantile hedging in incomplete market. Those could be used for two significant applications: o calculating the \textbf{optimal capital…
math.PR2009
A note on Wiener-Hopf factorization for Markov Additive processes
Przemyslaw Klusik, Zbigniew Palmowski
We prove the Wiener-Hopf factorization for Markov Additive processes. We derive also Spitzer-Rogozin theorem for this class of processes which serves for obtaining Kendall's formul…
math.PR2008★ 2 cited
Quantile hedging for an insider
Przemyslaw Klusik, Zbigniew Palmowski, Jakub Zwierz
In this paper we consider the problem of the quantile hedging from the point of view of a better informed agent acting on the market. The additional knowledge of the agent is model…