Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

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Exit problems for reflected Levy processes and its applications

2016/23/N/ST1/01189

Keywords:

Lévy process drawdown and drawup stopping rules

Descriptors:

  • ST1_17: Applied mathematics
  • ST1_13: Probability and statistics
  • ST1_19: Other related subjects

Panel:

ST1 - Mathematics: all areas of mathematics, pure and applied, as well as mathematical foundations of computer science, physics and statistics

Host institution :

Uniwersytet Wrocławski, Wydział Matematyki i Informatyki

woj. dolnośląskie

Other projects carried out by the institution 

Principal investigator (from the host institution):

Joanna Tumilewicz 

Number of co-investigators in the project: 2

Call: PRELUDIUM 12 - announced on 2016-09-15

Amount awarded: 52 100 PLN

Project start date (Y-m-d): 2017-08-24

Project end date (Y-m-d): 2019-08-23

Project duration:: 24 months (the same as in the proposal)

Project status: Project settled

Project description

Download the project description in a pdf file

Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Equipment purchased [PL]

  1. Notebook (6 500 PLN)

Information in the final report

  • Publication in academic press/journals (4)
  1. Fair Valuation of Lévy-Type Drawdown-Drawup Contracts with General Insured and Penalty Functions
    Authors:
    Zbigniew Palmowski, Joanna Tumilewicz
    Academic press:
    Applied Mathematics & Optimization (rok: 2018, tom: -, strony: 17168), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s00245-018-9492-y - link to the publication
  2. Pricing insurance drawdown-type contracts with underlying Lévy assets
    Authors:
    Zbigniew Palmowski, Joanna Tumilewicz
    Academic press:
    Insurance: Mathematics and Economics (rok: 2018, tom: 79, strony: 45305), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.insmatheco.2017.12.007 - link to the publication
  3. Zabezpieczenie przed spadkiem wartości aktywów w modelu typu Lévy'ego z fazowymi skokami i dowolną funkcją wynagrodzenia
    Authors:
    Zbigniew Palmowski, Joanna Tumilewicz
    Academic press:
    Roczniki Kolegium Analiz Ekonomicznych (rok: 2018, tom: 51, strony: 255-270), Wydawca: Szkoła Główna Handlowa w Warszawie
    Status:
    Published
    DOI:
    brak - link to the publication
  4. Double continuation regions for American and Swing options with negative discount rate in Lévy models
    Authors:
    Marzia de Donno, Zbigniew Palmowski, Joanna Tumilewicz
    Academic press:
    Mathematical Finance (rok: 2019, tom: -, strony: -), Wydawca: Wiley-Blackwell
    Status:
    Accepted for publication
    DOI:
    brak - link to the publication

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