12 citations · 16 across the 14 of their papers we have counts for
6 papers · 1 filter
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…
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…
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…
Monotonicity of the collateralized debt obligations term structure model
Michał Barski
The problem of existence of arbitrage free and monotone CDO term structure models is studied. Conditions for positivity and monotonicity of the corresponding Heath-Jarrow-Morton-Mu…