Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

Delete all

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. 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
  4. 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

O Narodowym Centrum Nauki

Finansowanie nauki

Współpraca zagraniczna

Centrum prasowe

Deklaracja dostępności
Przetwarzanie danych osobowych
Polityka cookies

Partnerzy