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P. Klusik

3 papers hereh-index 336 citations7 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

author position
  • sole author1
  • first author2

Across the 3 of 3 papers where every author was matched, so the position is known.

fields
  • math.PR2
  • q-fin.RM1

identity via Semantic Scholar / OpenAlex

activity
20082014
most citedQuantile hedging for an insider

2 citations · 2 across the 2 of their papers we have counts for

collaborators
Showing 2014Show all

1 paper · 1 filter

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…

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.