Publications

Research papers

 

2013

T. R. Bielecki, J. Jakubowski, M. Niewęgłowski - Intricacies of dependence between components of multivariate Markov chains: weak Markov consistency and weak Markov copulae, Electronic Journal of Probability, 18(45) (2013), 1-21.

F.Durante, E.Foscolo, P.Jaworski, H.Wang - A spatial contagion measure for financial time series, Expert Systems With Applications.

J. Jakubowski, M. Wiśniewolski - On hyperbolic Bessel processes and beyond, Bernoulli Journal, 19 (2013), 2437-2454.

J. Jakubowski, M. Wiśniewolski - On some Brownian functionals and their applications to moments in the lognormal stochastic volatility model, Studia Mathematica, 219(3) (2013), 201-224.

P.Jaworski - Invariant dependence structure under univariate truncation: the high-dimensional case, Statistics, 47 (2013), 1064-1074.

P.Jaworski, M.Krzywda - Coupling of Wiener Processes by Copulas, Statistics and Probability Letters, 83 (2013), 2027-2033.

P.Jaworski, M.Pitera - On spatial contagion and multivariate GARCH models, Applied Stochastic Models in Business and Industry - online 2013.

P. Jaworski - On copulas and differential inclusions, In:Synergies of Soft Computing and Statistics for Intelligent Data Analysis, Advances in Intelligent and Soft Computing 190, Kruse R. and al. (Eds.), Springer 2013, pp. 321-329.

P. Jaworski - The limiting properties of copulas under univariate conditioning, In: Copulae in Mathematical and Quantitative Finance, Proceedings of the Workshop Held in Cracow 10-11 July 2012, P. Jaworski, F. Durante, W. K. Haerdle (Editors), Springer 2013, pp.129--163.

P.Jaworski, J.Micał - Pojęcie ubezpieczenia i podstawowa terminologia, In: M.Iwanicz-Drozdowska (Red.) Ubezpieczenia, PWE, Warszawa 2013, pp. 17-37.

K. Łatuszyński, B. Miasojedow, W. Niemiro - Nonasymptotic bounds on the estimation error of MCMC algorithms, Bernoulli Journal, 19 (2013), 2033-2066.


A. Palczewski, J. Palczewski - Theoretical and empirical estimates of mean-variance portfolio sensitivity, European Journal of Operational Research, 234 (2) (2014), 402-410.

A. Palczewski - Risk minimizing strategies for tracking a stochastic target, In: System Modeling and Optimization, IFIP Advances in Information and Communication Technology, vol. 391, Eds. D. Hoemberg, F. Troeltzsch, Springer 2013, pp. 188-196.

T. Tkaliński - Convex hedging of non-superreplicable claims in discrete-time market models, Mathematical Methods in Operation Research, 79 (2014), 239-252

 

 

J. Białkowski, J. Jakubowski - Determinants of Trading Activity on the Single-Stock Futures Market: Evidence from the Eurex Exchange, The Journal of Derivatives, 19(3) (2012), 29-47.


T.R. Bielecki, J. Jakubowski, M. Nieweglowski - Symbolic Markov copulae, Stochastic Processes and their Applications 122 (2012), 930-951.

F. Durante, P. Jaworski - Invariant dependence structure under univariate truncation, Statistics 46 (2012) 263-277.

L. Gajek, W. Niemiro, P. Pokarowski - Optimal Monte Carlo integration with fixed relative precision, Journal of Complexity, 29 (2012), 4-26.
E. Hashorva, P. Jaworski - Gaussian Approximation of Conditional Elliptical Copulas, Journal of Multivariate Analysis 111 (2012) 397-407.

J. Jakubowski M. Wiśniewolski - Conditional version of the Donati-Martin and Yor Formula and its applications, Demonstratio Math. 45, (2012), 257-263.

P. Jaworski - On the characterization of copulas by differential equations, Communications in Statistics - Theory and Methods. 2013.

P. Jaworski, J. Micał - Pojęcie ubezpieczenia i podstawowa terminologia, in: M. Iwanicz-Drozdowska (red.), Ubezpieczenia, PWE 2013.

A.Kozłowski-demonstrations.wolfram.com/ NonuniquenessOfOptionPricingUnderTheMeixnerModel/

A. Kozłowski - demonstrations.wolfram.com/AMeanRevertingJumpDiffusionProcess/

K. Łatuszyński, B. Miasojedow, W. Niemiro - Nonasymptotic bounds on the mean square error for MCMC estimates via renewal techniques. in Monte Carlo and Quasi-Monte Carlo Methods, Warsaw 2010, (L. Plaskota and H, Woźniakowski, Eds.) Springer Proceedings in Mathematics and Statistics 23, 539-555.

M. Matuszak, J. Miękisz - Stochastic techniques in influence diagrams for learning Bayesian network structure, LNCS 7552: 33-40 (2012).

M. Matuszak, J.Miękisz, T. Schreiber - Solving ramified optimal transport problem in the Bayesian influence diagram framework, LNCS 7268: 582-590 (2012).

J. Miękisz, M. Ramsza - Sampling dynamics of symmetric ultimatum game, Dynamic Games and Applications 2 (2012).

J. Miękisz, M. Ramsza - Replicator dynamics of symmetric ultimatum game, Dynamic Games and Applications 2, 258-268 (2012).

J. Miękisz, P. Szymańska - On spins and genes, Mathematica Applicanda 40(1), 15-25 (2012).

W. Niemiro, R. Zieliński - Remarks on uniform convergence of random variables and statistics. Demonstratio Mathematica, 45 (2), 265-274.

W. Niemiro - Wkład profesora Ryszarda Zielińskiego do metod Monte Carlo i generatorów liczb losowych. Jednostajna asymptotyka w statystyce. Mathematica Applicanda 40 (2) (2012), 93-106.


A. Zalewska - pl.wikipedia.org/wiki/Model_Markowitza.

 

M. Barski, J. Jakubowski, J. Zabczyk - On incompletness of bond markets with infinite number of random factors, Mathematical Finance, 21 (2011), 541-556.

Baryło, P. Mormul - Portfolio Analysis, webpage: http://mst.mimuw.edu.pl/lecture.php?lecture=pk1

M. Bodnar, U. Foryś, J. Miękisz, J. Poleszczuk - Stochastic model of gene expression with delayed degradation, Bulletin of Mathematical Biology, 73 (2011), 2231-2247.

F.Durante, P. Jaworski, R.Mesiar - Invariant dependence structures and Archimedean copulas, Statistics and Probability Letters, 81 (2011) 1995-2003.

J. Jakubowski, M. Niewęgłowski - Pricing and hedging of rating-sensitive claim modeled by F-doubly stochastic Markov chains, in: Advanced Mathematical Methods for Finance, Springer 2011, pp. 417-454.

P. Jaworski - On modelling the increasing dependence of extremal events, Proceedings ASMDA 2011, 624-632.

K. Łatuszyński, W. Niemiro - Rigorous confidence bounds for MCMC under drift condition, Journal of Complexity, 27 (2011), 23-38.

M. Matuszak, J. Miękisz, T. Schreiber - Smooth conditional transition paths in dynamical Gaussian networks, Lecture Notes in Artificial Intelligence, 7006 (2011), 204-215.

J. Miękisz - Stochasticity and time delays in gene expression and evolutionary game theory, Probabilistic Engineering Mechanics, 26 (2011), 33-38.

J. Miękisz, S. Wesołowski - Stochasticity and time delays in evolutionary games, Dynamical Games and Applications, 1 (2011), 440-448.

J. Miękisz - Who created the game of life? Knowledge and Life, 80 (2011)

J. Miękisz - Why it pays to be a defiant physicist, Knowledge and Life, 80 (2011)

A. Palczewski - Optimal Financial Portfolios, in: European Success Stories in Industrial Mathemathics, edited by T. Lery, M. Primicerio, M. Esteban, M. Fontes, Y. Maday, V. Mehrmann, G. Quadros, W. Schilders, A. Schuppert, H. Tewkesbury, Springer 2011, pp. 42-43.

J. Palczewski, Ł. Stettner - Stopping of functionals with discontinuity at the boundary of an open set, Stochastic Processes and Their Applications, 121 (2011), 2361-2392.

L. Plaskota, G. W. Wasilkowski - Tractability of infinite-dimensional integration in the worst case and randomized settings, Journal of Complexity, 27 (2011), 505-518.

T. Płatkowski, J. Zakrzewski - Asymptotically stable equilibrium and limit cycles in the Rock-Paper-Scissors game in population of players with complex personalities, Physica A, 390 (2011), 4219-4226.

T. Płatkowski - Prisoner's Dilemma population game with cooperative equilibria, Far East Journal of Applied Mathematics, 61 (2011), 81-90.


A. Wiszniewska-Matyszkiel - On terminal condition for Bellman equation for dynamic optimization with infinite horizon. Applied Mathematics Letters, 24 (2011), 943-949.

 

T. Bielecki, J. Jakubowski, M. Niewęgłowski - Dynamic modeling of dependence in finance via copulae between stochastic processes, in: F. Durante, W. Haerdle, P. Jaworski, T. Rychlik (eds.) Copula Theory and its Applications, Lecture Notes in Statistics 198, Springer 2010, pp. 33-76.

F. Durante, P. Jaworski - Spatial contagion between financial markets: a copula-based approach, Applied Stochastic Models in Business and Industry, 26 (2010), 551-564.

F.Durante, P.Jaworski - A new characterization of bivariate copulas, Communications in Statistics: Theory and Methods, 39 (2010), 2901-2912.

J. Jakubowski, M. Niewęgłowski - A class of F-doubly stochastic Markov chains , The Electronic Journal of Probability, 15 (2010), 1743-1771.

J. Jakubowski, M. Niewęgłowski - Defaultable bonds with an infinite number of Levy factors, Applicationes Mathematicae, 37 (2010), 275-307.

P. Jaworski, F. Durante, W. Haerdle and T. Rychlik (editors) - Copula Theory and Its Applications, Proceedings of the Workshop Held in Warsaw, 25-26 September 2009, Lecture Notes in Statistics 198, Springer 2010.

P. Jaworski - Tail behaviour of copulas, in: P. Jaworski, F. Durante, W. Haerdle,  T. Rychlik, (Eds.), Copula Theory and Its Applications, Lecture Notes in Statistics 198. Springer 2010, pp. 161-186.

P. Jaworski - Testing Archimedeanity, in: C. Borgelt and al. (Eds.) Combining Soft Computing and Statistical Methods in Data Analysis, Advances in Intelligent and Soft Computing 77. Springer 2010, pp. 353-360.

J. Miękisz - Euro in travel: From a diary of a coin, Knowledge and Life, 5 (2010), 50-52.

J. Palczewski, K.R. Schenk-Hoppe - From Discrete to Continuous Time Evolutionary Finance Models, Journal of Economic Dynamics and Control, 34, (2010), 913-931.

J. Palczewski, K.R. Schenk-Hoppe - Market Selection of Self-financing Strategies in Continuous Time, Journal of Mathematical Economics, 46 (2010), 248-266.

J. Palczewski, Ł. Stettner - Finite Horizon Optimal Stopping of Discontinuous Functionals with Applications to Impulse Control with Delay, SIAM Journal on Control and Optimization, 48 (2010), 4874-4909.

T. Płatkowski - Cooperation in two-person evolutionary games with complex personality profiles, Journ. of Theor. Biol. 266 (2010), 522-528.

A. Wiszniewska-Matyszkiel - Games with distorted information and self-verification of beliefs with applications to financial markets, Quantitative Methods in Economics,  , 11:1,  254-275.

M. Baran, J. Jakubowski, J. Zabczyk - On incompleteness of bond markets with infinite number of random factors, to appear in Mathematical Finance.

P. Bujnowski, T. Płatkowski - Aspiration and cooperation in multiperson prisoner's dilemma. Phys. Review E, 79(3) (2009), 1-8.

J, Jakubowski, A. Palczewski - Modelling and optimatization of fixed income investments. ERCIM News, 78 (2009), 23-24.

P. Jaworski - On copulas and their diagonal, Information Sciences, 179 (2009), 2863-2871.

A.M. Kierzek, M. Komorowski, J. Miękisz - Translational repression contributes greater noise to gene expression than transcriptional repression. Biophysical Journal, 96 (2009), 372-384.

J. Miękisz - Mathematics at work, Science and Technology, 03 (2009), 46-47.

K. Mogielski, T. Płatkowski - A mechanism of dynamical interactions for two-person social dilemmas. J. Theoretical Biol., 260 (2009),  145-150.

W. Niemiro, P. Pokarowski - Fixed precision MCMC estimation by median of products of averages. Journal of Applied Probability, 46(2) (2009).

W. Niemiro, W. Rejchel - Rank correlation estimators and their limiting distributions. Statistical Papers, 50 (2009), 887-893.

T. Płatkowski - Enhanced cooperation in prisoner's dilemma with aspiration. Appl. Math. Lett., 22 (2009), 1161-1165.

J. Poleszczuk, T. Płatkowski - Operant response theory of social interactions. Journal of Biological Sciences, 1(1) (2009), 1-10.

M.Skałba - On the special role of Gompertz mortality law in multiple life contingencies, to appear in Yearbook of the Collegium of Economic Analysis WSE (Roczniki Kolegium Analiz Ekonomicznych SGH).

A. Wiszniewska-Matyszkiel - Stock market as a dynamic game with continuum of players, Control and Cybernetics, 37, nr 3 (2008), 617-647.

 

J. Białkowski , J. Jakubowski - Stock index futures arbitrage in emerging markets: Polish evidence, International Review of Financial Analysis, 17 (2008), 363-381.

T. Bielecki, J. Jakubowski, A. Vidozzi, L. Vidozzi - Study of Dependence for Some Stochastic Processes, Stochastic Analysis and Applications, 26 (2008), 903-92

F. Durante, P. Jaworski - Absolutely continuous copulas with given diagonal sections, Communications in Statistics - Theory and Methods, 37:18 (2008), 2924-2942.

J. Jakubowski, M. Niewęgłowski - Pricing Bonds and CDS in the model with rating migration induced by Cox process, Advances in Mathematics of Finance, ed. L. Stettner, Banach Centre Publication, 83 (2008), 159-182.

P. Jaworski - Bounds for Value at Risk - the approach based on copulas with homogeneous tails, Mathware & Soft Computing, 15 (2008), 113-124.

P. Jaworski - Bounds for Value at Risk for multiasset portfolios, Acta Physica Polonica A 114 (2008), 619-627.

P. Jaworski, T.Rychlik - On distributions of order statistics for absolutely continuous copulas, with applications to reliability, Kybernetika, 44 (2008), 757-776.

J. Miękisz - Evolutionary game theory and population dynamics, in Multiscale Problems in the Life Sciences, From Microscopic to Macroscopic, V, Capasso and M. Lachowicz (eds.), Lecture Notes in Mathematics 1940 (2008), 269-316.

J. Miękisz - Stochastic stability of spatial games, In: Stochastic Models in Biological Sciences, R. Buerger, C. Maes, and J. Miekisz (eds.), Banach Center Publications 80 (2008), 245-252.

J. Miękisz - Games on networks, ERCIM News, 74 (2008), 50-51.

A. Palczewski - Portfolio optimization - a practical approach, ECMI Newsletter, No 44 (October 2008), 15-18.

A. Palczewski - Risk minimizing strategies for a portfolio of interest-rate securities, Banach Center Publications, 83 (2008), 195-212.

J. Palczewski, Ł. Stettner - Growth-optimal portfolios under transaction costs, Applicationes Mathematicae, 35 (2008), 1-31. [more]

T. Płatkowski, M. Siwak - Mean field approximation for two - and three - person Prisoner's Dilemmas, Physica A, 387 (2008), 2909 - 2918.

A. Wiszniewska-Matyszkiel - Dynamic Oligopoly as a Mixed Large Game - Toy Market, In Mathematical Programming and Game Theory for Decision Making, S.K. Neogy, R.B. Bapat, A.K. Das, T. Parthasarathy Eds., 2008, 369-390.

A. Wiszniewska-Matyszkiel - Common Resources, Optimality and Taxes in Dynamic Games with Increasing Number of Players, Journal of Mathematical Analysis and Applications, 337 (2008), 840-841.

A. Wiszniewska-Matyszkiel - Stock Market as a Dynamic Game with Continuum of Players, Control and Cybernetics, 37 No.3 (2008).

J. Jakubowski, J. Zabczyk - Exponential moments for HJM models with jumps, Finance and Stochastics, 11 (2007), 429-445.

P. Jaworski - Bounds for Value at Risk for Asymptotically Dependent Assets - The Copula Approach, In: New Dimensions in Fuzzy Logic and Related Technologies, M.Stepnicka, V.Novak, U.Bodenhofer (Eds). Proceedings of the 5th EUSFLAT Conference, Ostrava, Czech Republic, September 11-14, 2007, University of Ostrava 2007, pp. 213-217.

J. Miękisz - On two fellows who wanted to make money on fluctuations, Mathematical Intelligencer, 29 3 (2007), 8-10.

J. Palczewski, Ł. Stettner - Impulsive control of portfolios, Applied Mathematics and Optimisation, 56:1 (2007), 67-103. [pdf]

J. Palczewski, Ł. Stettner - Maximization of the portfolio growth rate under fixed and proportional transaction costs, Communications in Information and Systems, 7.1, (2007), 31-58. [pdf]

P. Jaworski - On uniform tail expansions of multivariate copulas and wide convergence of measures, Applicationes Mathematicae, 33.2 (2006), 159-184.

P. Jaworski - On Value at Risk for Foreign Exchange Rates - the Copula Approach, Acta Physica Polonica, B 37 (2006), 3005-3016.

P. Jaworski - On subjective approach to risk measurement, Quantitative Finance, 6.6 (2006), 495-511.

J. Miękisz - Equilibrium transitions in finite populations of players, In: Game Theory and Mathematical Economics, A. Wieczorek, M. Malawski, and A. Wiszniewska-Matyszkiel (eds.), Banach Center Publications, 71 (2006), 237-242.

W. Niemiro - Bayesian Prediction with an Asymmetric Criterion in a Nonparametric Model of Insurance Rish, Statistics, 40(4) (2006), 353-363.

A. Wiszniewska-Matyszkiel - Modelowanie giełdy za pomocą gier z continuum graczy o skończonej liczbie typów, Opere et Studio pro Oeconomia, 2(4)/2006, 5-38.

J. Białkowski, J. Jakubowski - Możliwości arbitrażu między rynkiem terminowym a kasowym dla kontraktów na WIG20, Rynek Terminowy, 27 (2005), 15-21.

J. Białkowski, J. Jakubowski - Statystyczne własności szeregu niedopasowania pomiędzy ceną futures a jej teoretyczną wartością dla kontraktów na akcje, Rynek Terminowy, 29 (2005), 64-68.

A. Groniowska, W. Niemiro - Controlled risk processes in discrete time: Lower and upper approximations to the optimal probability of ruin, Insurance Math. and Econ. 36 (2005), 433-440.

P. Jaworski - Value at Risk in the presence of the power laws, Acta Physica Polonica, B 36 (2005), 2575-2587.

D. Kamiński, J. Miękisz, and M. Zaborowski - Stochastic stability in three-player games, Bull. Math. Biol. 67 (2005), 1195-1205.

J. Miękisz - Equilibrium selection in evolutionary games with random matching of players, J. Theor. Biol. 232 (2005), 47-53.

J. Miękisz and T. Płatkowski - Population dynamics with a stable efficient equilibrium, J. Theor. Biol. 237 (2005), 363-368.

J. Miękisz - Long-run behavior of games with many players, Markov Processes and Related Fields, 11 (2005), 371-388.

T. Płatkowski, M. Ramsza - Multimarket minority game, Adv. Complex Syst. 8(1) (2005), 65-74.

T. Płatkowski, J. Stachowska-Pietka - ESSs in n-player mixed games, Appl. Math. and Comp. 167 (2005), 592-606.

A. Wiszniewska-Matyszkiel - O nieścisłości procedury ustalania cen akcji na Giełdzie Papierów Wartościowych w Warszawie, Rynek Terminowy, 29 (2005), 69-75.

A. Wiszniewska-Matyszkiel - A Dynamic Game with Continuum of Players and its Counterpart with Finitely Many Players, Annals of the International Society of Dynamic Games, 7 (2005), (A. S. Nowak, K. Szajowski Eds.), 455-469.

J. Alboszta, J. Miękisz - Stability of evolutionarily stable strategies in discrete replicator dynamics with time delay, J. Theor. Biol. 231 (2004), 175-179.

J. Białkowski, J. Jakubowski - On Pricing of Forward and Futures Contracts on Zero Coupon Bonds in the Cox-Ingersoll-Ross Model, Contemporary Mathematics, 351 (2004), "Mathematics of Finance", 27-35.

M. Bukowski, J. Miękisz - Evolutionary and asymptotic stability in symmetric multi-player games, Int. J. Game Theory, 33 (2004), 41-54.

P. Gajda, Y. Li, L. Plaskota, G. W. Wasilkowski - A Monte Carlo algorithm for weighted integration over Rd, Math. Comput. 73(246) (2004), 813-825.

D. Helbing, S. Lammer, T. Płatkowski, P. Seba,T. Seidel - Physics, stability, and dynamics of supply networks, Physical Review E, 70 (2004), 6611-6.

P. Jaworski - On uniform tail expansions of bivariate copulas, Applicationes Mathematicae, 31.4 (2004), 397-415.

J. Miękisz - Statistical mechanics of spatial evolutionary games, J. Phys. A: Math. Gen. 37 (2004), 9891-9906.

J. Miękisz - Stochastic stability in spatial games, J. Stat. Phys. 117 (2004), 99-110.

J. Miękisz - Stochastic stability in spatial three-player games, Physica A, 343 (2004), 175-184.

L. Plaskota, K. Ritter, G. W. Wasilkowski - Optimal designs for weighted approximation and integration of stochastic processes on R+, J. Complexity, 20(1) (2004), 108-131.