Scientific activity
Papers:
- Double continuation regions for American and Swing options with negative discount rate in Lévy models (with M.De Donno, Z.Palmowski) submitted
- Zabezpieczenie przed spadkiem aktywa w modelu Lévy'ego z fazowymi skokami i dowolną funkcją wynagrodzenia (with Z.Palmowski) submitted
- Fair valuation of Lévy drawdown-drawup contracts with general insured and penalty functions (with Z.Palmowski) Applied Mathematics and Optimization, 2018
- Pricing insurance drawdown-type contracts with underlying Lévy assets (with Z.Palmowski) Insurance: Mathematics and Economics, 79, p. 1-14, 2018
- Insurance drawdown-type contracts for a phase-type risk process perturbed by Brownian motion (with Z.Palmowski) Silesian Statistical Review, 15(21), p. 201-225, 2017
Grants:
- Exit problems for reflected Lévy processes and its applications, National Science Centre no. 2016/23/N/ST1/01189, 2017-2019
- Exit problems and extremes of stochastic processes in view towards stochastic modelling, National Science Centre no. 2015/17/B/ST1/01102, 2016-2019 - scholarship
Conferences and scientific events:
- Mexico-Poland 1st Meeting in Probability, CIMAT, Guanajuato (Mexico), 27.11-01.12.2017
- The Fractional Laplacian: probabilistic structure and extension to Lévy Processes, BCAM, Bilbao (Spain), 26-30.06.2017
- Research visit, LSE, London (Great Britain), 03-10.12.2016
- XI Ogólnopolska Konferencja Aktuarialna, Wrocław (Poland), 19-21.09.2016
- Stochastic Models V, Będlewo (Poland), 11-17.09.2016
- Conference on Lévy Processes, Angers (France), 25-29.07.2016
- XIV Konferencja z Probabilistyki, Będlewo (Poland), 30.05-03.06.2016
- Research visit, LSE, London (Great Britain), 07-12.12.2015
- Workshop on Stochastic Analysis and Related Topics, Dresden (Germany), 05-06.11.2015
- Zurich Spring School on Lévy Processes, Zurich (Switzerland), 29.03-02.04.2015
- EMS School of Stochastic Analysis, Będlewo (Poland), 6-10.10.2014
Talks and posters:
- Mexico-Poland 1st Meeting in Probability, Guanajuato (Mexico), 28.11.2017, talk Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions
- XI Ogólnopolska Konferencja Aktuarialna, Wrocław (Poland), 19.09.2016, talk Spadki i wzrosty fazowych procesów Lévy’ego w wycenie kontraktów ubezpieczeniowych
- Stochastic Models V, Będlewo (Poland), 12.09.2016, talk Drawdown and drawup exit problems for a spectrally negative Lévy process with applications in pricing insurance contracts
- XIV Konferencja z Probabilistyki, Będlewo (Poland), 03.06.2016, talk Problemy wyjścia dla spadków i wzrostów procesów Lévy’ego w wycenie kontraktów ubezpieczeniowych
- LSE Postgraduate Research Seminars, London (Great Britain), 09.12.2015, talk Insurance contracts based on drawdown and drawup events of spectrally negative Lévy processes
- Workshop on Stochastic Analysis and Related Topics, Dresden (Germany), 05.11.2015, talk Insurance contracts based on drawdown and drawup events of spectrally negative Lévy processes
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