M. Barski

activity

20082023

most citedOn generalized CIR equations

12 citations · 16 across the 14 of their papers we have counts for

collaborators

17 papers

math.PR2023

Classification and calibration of affine models driven by independent Lévy processes

Michał Barski, Rafał Łochowski

The paper is devoted to the study of the short rate equation of the form $d R (t) = F (R (t)) d t + i = 1 \sum d G_{i} (R (t -)) d Z_{i} (t), R (0) = x \geq 0, t > 0,$ with deterministic fu…

math.PR2022

CIR equations with multivariate Lévy noise

Michał Barski, Rafał Łochowski

The paper is devoted to the study of the short rate equation of the form $d R (t) = F (R (t)) d t + i = 1 \sum d G_{i} (R (t -)) d Z_{i} (t), R (0) = x \geq 0, t > 0,$ with deterministic…

math.PR2019★ 12 cited

On generalized CIR equations

Michal Barski, Jerzy Zabczyk

The paper is concerned with stochastic equations for the short rate process $R$ $d R (t) = F (R (t)) d t + G (R (t -)) d Z (t),$ in the affine model of the bond prices. The equation is driven…

q-fin.MF2016

Large losses - probability minimizing approach

Michał Barski

The probability minimizing problem of large losses of portfolio in discrete and continuous time models is studied. This gives a generalization of quantile hedging presented in [3].

q-fin.MF2016

Quantile hedging on markets with proportional transaction costs

Michał Barski

In the paper a problem of risk measures on a discrete-time market model with transaction costs is studied. Strategy effectiveness and shortfall risk is introduced. This paper is a…

q-fin.MF2015

Asymptotic pricing in large financial markets

Michał Barski

The problem of hedging and pricing sequences of contingent claims in large financial markets is studied. Connection between asymptotic arbitrage and behavior of the $α$ ~-~quantile…