12 citations · 16 across the 14 of their papers we have counts for
6 papers · 1 filter
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 with deterministic fu…
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 with deterministic…
On generalized CIR equations
Michal Barski, Jerzy Zabczyk
The paper is concerned with stochastic equations for the short rate process in the affine model of the bond prices. The equation is driven…
Approximations for solutions of Lévy-type stochastic differential equations
Michał Barski
The problem of the construction of strong approximations with a given order of convergence for jump-diffusion equations is studied. General approximation schemes are constructed fo…
Heath-Jarrow-Morton-Musiela equation with linear volatility
Michal Barski, Jerzy Zabczyk
The paper is concerned with the problem of existence of solutions for the Heath-Jarrow-Morton equation with linear volatility. Necessary conditions and sufficient conditions for th…
Completeness of bond market driven by Lévy process
Michał Barski, Jerzy Zabczyk
The completeness problem of the bond market model with the random factors determined by a Wiener process and Poisson random measure is studied. Hedging portfolios use bonds with ma…