Edigarian, Armen; Rygiel, Agnieszka An elementary proof of the Dalang–Morton–Willinger theorem. (English) Zbl 1143.60034 Appl. Math. 34, No. 4, 383-388 (2007). Reviewer: Klaus Schürger (Bonn) MSC: 60G42 91B28 PDFBibTeX XMLCite \textit{A. Edigarian} and \textit{A. Rygiel}, Appl. Math. 34, No. 4, 383--388 (2007; Zbl 1143.60034) Full Text: DOI
Jaworski, Piotr On uniform tail expansions of multivariate copulas and wide convergence of measures. (English) Zbl 1102.62053 Appl. Math. 33, No. 2, 159-184 (2006). MSC: 62H05 62G32 60B10 91B28 91B30 28C10 28A33 60E05 PDFBibTeX XMLCite \textit{P. Jaworski}, Appl. Math. 33, No. 2, 159--184 (2006; Zbl 1102.62053) Full Text: DOI
Kondratiuk-Janyska, Alina; Kałuszka, Marek Generalized duration measures in a risk immunization setting. Implementation of the Heath–Jarrow–Morton model. (English) Zbl 1153.91528 Appl. Math. 33, No. 2, 145-157 (2006). MSC: 91B28 62P05 91B30 PDFBibTeX XMLCite \textit{A. Kondratiuk-Janyska} and \textit{M. Kałuszka}, Appl. Math. 33, No. 2, 145--157 (2006; Zbl 1153.91528) Full Text: DOI
Kucharski, Rafał Convergence of optimal strategies in a discrete time market with finite horizon. (English) Zbl 1104.49025 Appl. Math. 33, No. 1, 85-93 (2006). MSC: 49L20 91B16 91B28 93E20 PDFBibTeX XMLCite \textit{R. Kucharski}, Appl. Math. 33, No. 1, 85--93 (2006; Zbl 1104.49025) Full Text: DOI
Delong, Łukasz Optimal investment strategy for a non-life insurance company: quadratic loss. (English) Zbl 1140.91385 Appl. Math. 32, No. 3, 263-277 (2005). MSC: 91B28 91B30 93E20 PDFBibTeX XMLCite \textit{Ł. Delong}, Appl. Math. 32, No. 3, 263--277 (2005; Zbl 1140.91385) Full Text: DOI
Olejnik, Jakub Arbitrage in a simple model with general transaction costs. (English) Zbl 1118.91051 Appl. Math. 32, No. 2, 177-182 (2005). MSC: 91B28 91B70 PDFBibTeX XMLCite \textit{J. Olejnik}, Appl. Math. 32, No. 2, 177--182 (2005; Zbl 1118.91051) Full Text: DOI
Hałaj, Grzegorz Optimization of consumption with partial observation – Jensen inequality method. (English) Zbl 1055.91025 Appl. Math. 31, No. 4, 417-422 (2004). MSC: 91B28 91B42 93E20 60H10 91B70 PDFBibTeX XMLCite \textit{G. Hałaj}, Appl. Math. 31, No. 4, 417--422 (2004; Zbl 1055.91025) Full Text: DOI
Jaworski, Piotr On uniform tail expansions of bivariate copulas. (English) Zbl 1051.62045 Appl. Math. 31, No. 4, 397-415 (2004). MSC: 62G32 62H05 62E20 91B28 62P05 PDFBibTeX XMLCite \textit{P. Jaworski}, Appl. Math. 31, No. 4, 397--415 (2004; Zbl 1051.62045) Full Text: DOI
Kałuszka, Marek; Kondratiuk-Janyska, Alina On risk minimizing strategies for default-free bond portfolio immunization. (English) Zbl 1051.62109 Appl. Math. 31, No. 3, 259-272 (2004). MSC: 62P05 91B28 PDFBibTeX XMLCite \textit{M. Kałuszka} and \textit{A. Kondratiuk-Janyska}, Appl. Math. 31, No. 3, 259--272 (2004; Zbl 1051.62109) Full Text: DOI
Baran, Michał Large losses – probability minimizing approach. (English) Zbl 1125.91048 Appl. Math. 31, No. 3, 243-257 (2004). Reviewer: Alexander Schied (Berlin) MSC: 91B28 62P05 PDFBibTeX XMLCite \textit{M. Baran}, Appl. Math. 31, No. 3, 243--257 (2004; Zbl 1125.91048) Full Text: DOI arXiv
Palczewski, Jan Arbitrage and pricing in a general model with flows. (English) Zbl 1099.91048 Appl. Math. 30, No. 4, 413-429 (2003). MSC: 91B24 91B28 46B99 PDFBibTeX XMLCite \textit{J. Palczewski}, Appl. Math. 30, No. 4, 413--429 (2003; Zbl 1099.91048) Full Text: DOI
Burnecki, Krzysztof; Kukla, Grzegorz Pricing of zero-coupon and coupon cat bonds. (English) Zbl 1051.62105 Appl. Math. 30, No. 3, 315-324 (2003). MSC: 62P05 91B28 60G55 PDFBibTeX XMLCite \textit{K. Burnecki} and \textit{G. Kukla}, Appl. Math. 30, No. 3, 315--324 (2003; Zbl 1051.62105) Full Text: DOI
Jaworski, Piotr A geometric point of view on mean-variance models. (English) Zbl 1068.91032 Appl. Math. 30, No. 2, 217-241 (2003). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91B28 58K30 14P99 90C20 PDFBibTeX XMLCite \textit{P. Jaworski}, Appl. Math. 30, No. 2, 217--241 (2003; Zbl 1068.91032) Full Text: DOI
Motoczyński, Michał Risk minimization in the model with transaction costs. (English) Zbl 1141.91019 Appl. Math. 30, No. 2, 209-216 (2003). Reviewer: Bogdan A. Choczewski (Kraków) MSC: 91B28 91B26 91B30 60K25 60K30 90B22 90B50 PDFBibTeX XMLCite \textit{M. Motoczyński}, Appl. Math. 30, No. 2, 209--216 (2003; Zbl 1141.91019) Full Text: DOI
El-Khatib, Youssef; Privault, Nicolas Hedging in complete markets driven by normal martingales. (English) Zbl 1173.91364 Appl. Math. 30, No. 2, 147-172 (2003). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91B24 91B26 91B28 60H05 60H07 PDFBibTeX XMLCite \textit{Y. El-Khatib} and \textit{N. Privault}, Appl. Math. 30, No. 2, 147--172 (2003; Zbl 1173.91364) Full Text: DOI
Bielecki, Tomasz R.; Rutkowski, Marek Dependent defaults and credit migrations. (English) Zbl 1031.60068 Appl. Math. 30, No. 2, 121-145 (2003). Reviewer: Klaus Ehemann (Karlsruhe) MSC: 60J27 91B70 91B28 PDFBibTeX XMLCite \textit{T. R. Bielecki} and \textit{M. Rutkowski}, Appl. Math. 30, No. 2, 121--145 (2003; Zbl 1031.60068) Full Text: DOI
Sztuba, P.; Weron, A. Pricing forward-start options in the HJM framework; evidence from the Polish market. (English) Zbl 1020.91031 Appl. Math. 28, No. 2, 211-224 (2001). Reviewer: Klaus Ehemann (Karlsruhe) MSC: 91B28 60G44 60H30 PDFBibTeX XMLCite \textit{P. Sztuba} and \textit{A. Weron}, Appl. Math. 28, No. 2, 211--224 (2001; Zbl 1020.91031) Full Text: DOI
Sztuba, Piotr Pricing Polish three-year bonds in the HJM framework. (English) Zbl 1050.91517 Appl. Math. 27, No. 4, 411-417 (2000). MSC: 91B28 91B24 60G44 60H30 PDFBibTeX XMLCite \textit{P. Sztuba}, Appl. Math. 27, No. 4, 411--417 (2000; Zbl 1050.91517) Full Text: DOI EuDML
Leipus, Remigijus; Račkauskas, Alfredas Security price modelling by a binomial tree. (English) Zbl 1050.91515 Appl. Math. 26, No. 3, 253-266 (1999). MSC: 91B28 91B24 62M10 PDFBibTeX XMLCite \textit{R. Leipus} and \textit{A. Račkauskas}, Appl. Math. 26, No. 3, 253--266 (1999; Zbl 1050.91515) Full Text: DOI EuDML
Kociński, Marek Optimality of the replicating strategy for American options. (English) Zbl 1050.91514 Appl. Math. 26, No. 1, 93-105 (1999). MSC: 91B28 91B24 93E20 PDFBibTeX XMLCite \textit{M. Kociński}, Appl. Math. 26, No. 1, 93--105 (1999; Zbl 1050.91514) Full Text: DOI EuDML
Rutkowski, M. Optimality of replication in the CRR model with transaction costs. (English) Zbl 0914.90026 Appl. Math. 25, No. 1, 29-53 (1998). MSC: 91B28 60G42 PDFBibTeX XMLCite \textit{M. Rutkowski}, Appl. Math. 25, No. 1, 29--53 (1998; Zbl 0914.90026) Full Text: DOI EuDML