pl. Uniwersytecki
Zainteresowania
- lévy process
- lévy process
- optimal stopping
- drawup
- drawdown
- fair valuation
- fair valuation
- insurance contract
- insurance contract
- finance
Najnowsze publikacje
- Double continuation regions for American and Swing options with negative discount rate in Lévy models
- Fair valuation of Lévy-Type drawdown-drawup contracts with general insured and penalty functions
- Pricing insurance drawdown-type contracts with underlying Lévy assets
- Insurance drawdown-type contracts for a phase-type risk process perturbed by Brownian motion
