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Publication in academic press/journals (17)

1. Double continuation regions for American and Swing options with negative discount rate in L'evy models

   Authors:

   Marzia de Donno, Zbigniew Palmowski, Joanna Tumilewicz

   Academic press:

   Mathematical Finance (year: 2020, volume: 30(1), pages: 196-227), Publisher: Wiley

   Status:

   Published

   DOI:

   10.1111/mafi.12218 – link to the publication

2. Parisian ruin for the dual risk process in discrete-time

   Authors:

   Zbigniew Palmowski, Lewis Ramsden, Apostolos Papaioannou

   Academic press:

   European Actuarial Journal (year: 2018, volume: 8(1), pages: 197-214), Publisher: Springer

   Status:

   Published

   DOI:

   10.1007/s13385-018-0172-8 – link to the publication

3. Quickest drift change detection in Lévy-type force of mortality model

   Authors:

   Michał Krawiec, Zbigniew Palmowski, Łukasz Płociniczak

   Academic press:

   Applied Mathematics and Computation (year: 2018, volume: 338, pages: 432-450), Publisher: Elsevier

   Status:

   Published

   DOI:

   10.1016/j.amc.2018.06.038 – link to the publication

4. Discounted penalty function at Parisian ruin for Lévy insurance risk process

   Authors:

   Ronnie Loeffen, Zbigniew Palmowski, Budhi Surya

   Academic press:

   Insurance: Mathematics and Economics (year: 2018, volume: 83, pages: 190-197), Publisher: Elsevier

   Status:

   Published

   DOI:

   10.1016/j.insmatheco.2017.10.008 – link to the publication

5. Zabezpieczenie przed spadkiem aktywa w modelu typu Lévy'ego z fazowymi skokami i dowolną funkcją wynagrodzenia

   Authors:

   Zbigniew Palmowski, Joanna Tumilewicz

   Academic press:

   Roczniki Kolegium Analiz Ekonomicznych (year: 2018, volume: 51, pages: 255-270), Publisher: Szkoła Główna Handlowa w Warszawie

   Status:

   Published

   DOI:

   link to the publication

6. Pricing Perpetual American Put Options with Asset-Dependent Discounting

   Authors:

   Jonas Al-Hadad, Zbigniew Palmowski

   Academic press:

   Journal of Risk and Financial Management (year: 2021, volume: 14(3), pages: 130), Publisher: MDPI

   Status:

   Published

   DOI:

   10.3390/jrfm14030130 – link to the publication

7. Note on simulation pricing of pi-options

   Authors:

   Z. Palmowski, T. Serafin

   Academic press:

   Risks (year: 2020, volume: 8(3), pages: 90), Publisher: MDPI

   Status:

   Published

   DOI:

   10.3390/risks8030090 – link to the publication

8. Phase-type approximations perturbed by a heavytailed component for the Gerber-Shiu function of risk processes with two-sided jumps

   Authors:

   Z. Palmowski, E. Vatamidou

   Academic press:

   Stochastic Models (year: 2020, volume: 36(2), pages: 337-363), Publisher: Taylor and Francis

   Status:

   Published

   DOI:

   10.1080/15326349.2020.1717344 – link to the publication

9. Distributional Properties of Fluid Queues Busy Period and First Passage Times

   Authors:

   Z. Palmowski

   Academic press:

   Mathematics (year: 2020, volume: 8(11), pages: 1988), Publisher: MDPI

   Status:

   Published

   DOI:

   10.3390/math8111988 – link to the publication

10. Optimal portfolio selection in an Ito-Markov additive market

    Authors:

    Zbigniew Palmowski, Łukasz Stettner, Anna Sulima

    Academic press:

    Risks (year: 2019, volume: 7(1), pages: 34), Publisher: MDPI

    Status:

    Published

    DOI:

    10.3390/risks7010034 – link to the publication

11. Fluctuation identities for omega-killed Markov additive processes and dividend problem

    Authors:

    Irmina Czarna, Adam Kaszubowski, Shu Li, Zbigniew Palmowski

    Academic press:

    Advances in Applied Probability (year: 2020, volume: 52(2), pages: 404-432), Publisher: Cambridge University Press

    Status:

    Published

    DOI:

    10.1017/apr.2020.2 – link to the publication

12. The Valuation of Contingent Convertible Catastrophe Bonds - the Case for Equity Conversion

    Authors:

    Krzysztof Burnecki, Mario Giuricich, Zbigniew Palmowski

    Academic press:

    Insurance: Mathematics and Economics (year: 2019, volume: 88, pages: 238-254), Publisher: Elsevier

    Status:

    Published

    DOI:

    10.1016/j.insmatheco.2019.07.006 – link to the publication

13. Optimal valuation of American callable credit default swaps under drawdown of L'evy insurance risk process

    Authors:

    Z. Palmowski. B. Surya

    Academic press:

    Insurance: Mathematics and Economics (year: 2020, volume: 93, pages: 168-177), Publisher: Elsevier

    Status:

    Published

    DOI:

    10.1016/j.insmatheco.2020.04.011 – link to the publication

14. The Leland-Toft optimal capital structure model under Poisson observations

    Authors:

    Z. Palmowski, J.L. Perez, B. Surya, K. Yamazaki

    Academic press:

    Finance and Stochastics (year: 2020, volume: 24, pages: 1035-1082), Publisher: Springer

    Status:

    Published

    DOI:

    10.1007/s00780-020-00431-6 – link to the publication

15. An application of dynamic programming to assign pressing tanks at wineries

    Authors:

    Z. Palmowski, O. Sidorowicz

    Academic press:

    European Journal of Operational Research (year: 2020, volume: 287(1), pages: 293-305), Publisher: Elsevier

    Status:

    Published

    DOI:

    10.1016/j.ejor.2020.04.030 – link to the publication

16. Double continuation regions for American options under Poisson exercise opportunities

    Authors:

    Z. Palmowski, J.L. Pérez, K. Yamazaki

    Status:

    Accepted for publication

17. Optimal Dividends Paid in a Foreign Currency for a Lévy Insurance Risk Model

    Authors:

    J. Eisenberg, Z. Palmowski

    Status:

    Accepted for publication