J. Baczynski

Available identifiers

Publication	Date of Publication	Type
Exploring non-Analytical affine jump-diffusion models for path-dependent interest rate derivatives	2024-05-14	Paper
https://portal.mardi4nfdi.de/entity/Q5026360	2022-02-07	Paper
A new approach to risk sensitivity	2018-09-27	Paper
Pricing and hedging barrier options	2018-09-14	Paper
Optimal linear mean square filter for continuous-time jump linear systems	2017-07-12	Paper
A new finite difference method for pricing and hedging fixed income derivatives: comparative analysis and the case of an Asian option	2015-12-14	Paper
A note on the convergence of probability functions of Markov chains	2013-11-11	Paper
Maximal solution to algebraic Riccati equations linked to infinite Markov jump linear systems	2008-10-16	Paper
Maximal versus strong solution to algebraic Riccati equations arising in infinite Markov jump linear systems	2008-02-21	Paper
On an infinite dimensional perturbed Riccati differential equation arising in stochastic control	2005-09-28	Paper
https://portal.mardi4nfdi.de/entity/Q4438385	2004-03-04	Paper
Lyapunov coupled equations for continuous-time infinite Markov jump linear systems	2003-02-11	Paper
On a discrete-time linear jump stochastic dynamic game	2002-12-10	Paper
Stochastic versus mean square stability in continuous time linear infinite Markov jump parameter systems	2002-08-01	Paper
Optimal control for continuous-time linear quadratic problems with infinite Markov jump parameters	2001-10-29	Paper

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