Michał Barski

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

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 Communications in Information and Systems	2021-08-06	Paper
On CIR Equations with General Factors SIAM Journal on Financial Mathematics	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 Stochastics	2016-06-10	Paper
On the shortfall risk control: a refinement of the quantile hedging method Statistics & Risk Modeling	2016-03-08	Paper
Incompleteness of the bond market with Lévy noise under the physical measure Banach Center Publications	2015-04-08	Paper
Integral representations of risk functions for basket derivatives Applicationes Mathematicae	2012-12-06	Paper
Forward rate models with linear volatilities Finance and Stochastics	2012-11-15	Paper
Heath-Jarrow-Morton-Musiela equation with Lévy perturbation Journal of Differential Equations	2012-10-26	Paper
Quantile hedging for basket derivatives Applicationes Mathematicae	2012-01-21	Paper
On incompleteness of bond markets with infinite number of random factors Mathematical Finance	2011-06-16	Paper
Heath-Jarrow-Morton-Musiela equation with linear volatility	2010-10-27	Paper
Completeness of bond market driven by Lévy process International Journal of Theoretical and Applied Finance	2010-09-16	Paper
Affine term structure models driven by independent L\'evy processes (available as arXiv preprint)	N/A	Paper

Research outcomes over time

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