Michał Barski

Available identifiers

Publication	Date of Publication	Type
Classification and calibration of affine models driven by independent L\'evy processes	2023-03-15	Paper
CIR equations with multivariate L\'evy noise	2022-04-14	Paper
A note on generalized CIR equations	2021-08-06	Paper
On CIR Equations with General Factors	2020-05-29	Paper
Mathematics of the bond market. A Lévy processes approach	2020-04-08	Paper
On generalized CIR equations	2019-02-24	Paper
Monotonicity of the collateralized debt obligations term structure model	2016-06-10	Paper
On the shortfall risk control: a refinement of the quantile hedging method	2016-03-08	Paper
Incompleteness of the bond market with Lévy noise under the physical measure	2015-04-08	Paper
Integral representations of risk functions for basket derivatives	2012-12-06	Paper
Forward rate models with linear volatilities	2012-11-15	Paper
Heath-Jarrow-Morton-Musiela equation with Lévy perturbation	2012-10-26	Paper
Quantile hedging for basket derivatives	2012-01-21	Paper
On incompleteness of bond markets with infinite number of random factors	2011-06-16	Paper
Heath-Jarrow-Morton-Musiela equation with linear volatility	2010-10-27	Paper
Completeness of bond market driven by Lévy process	2010-09-16	Paper
Affine term structure models driven by independent L\'evy processes	N/A	Paper

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