12 citations · 16 across the 14 of their papers we have counts for
7 papers · 1 filter
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].
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…
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 ~-~quantile…
Forward rate models with linear volatilities
Michał Barski, Jerzy Zabczyk
Existence of solutions to the Heath-Jarrow-Morton equation of the bond market with linear volatility and general Lévy random factor is studied. Conditions for existence and non-exi…
Heath-Jarrow-Morton-Musiela equation with Lévy perturbation
Michał Barski, Jerzy Zabczyk
The paper studies the Heath-Jarrow-Morton-Musiela equation of the bond market. The equation is analyzed in weighted spaces of functions defined on . Sufficient conditi…
Incompleteness of the bond market with Lévy noise under the physical measure
Michał Barski
The problem of completeness of the forward rate based bond market model driven by a Lévy process under the physical measure is examined. The incompleteness of market in the case wh…