HSC Research Reports

from Hugo Steinhaus Center, Wroclaw University of Technology
Contact information at EDIRC.
Series data maintained by Rafal Weron ().

Access Statistics for this working paper series.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

HSC/13/05: Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs

Anna Kowalska-Pyzalska, Katarzyna Maciejowska, Katarzyna Sznajd-Weron and Rafał Weron

HSC/13/04: Diffusion of innovation within an agent-based model: Spinsons, independence and advertising

Piotr Przybyla, Katarzyna Sznajd-Weron and Rafał Weron

HSC/13/03: A review of optimization methods for evaluation of placement of distributed generation into distribution networks (Przegląd metod optymalizacji przyłączenia rozproszonych źródeł energii do sieci elektroenergetycznej)

Anna Kowalska-Pyzalska

HSC/13/02: Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices

Jakub Nowotarski, Jakub Tomczyk and Rafał Weron

HSC/13/01: Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market

Katarzyna Maciejowska and Rafał Weron

HSC/12/07: Optimal placement of distributed generation in the distribution network: Assessment of economic and technical effectiveness of investments

Anna Kowalska-Pyzalska

HSC/12/06: Robust estimation and forecasting of the long-term seasonal component of electricity spot prices

Jakub Nowotarski, Jakub Tomczyk and Rafał Weron

HSC/12/05: A new method for automated noise cancellation in electromagnetic field measurement

Pawel Bienkowski, Krzysztof Burnecki, Joanna Janczura, Rafał Weron and Bartlomiej Zubrzak

HSC/12/04: Anomalous dynamics of Black–Scholes model time-changed by inverse subordinators

Marcin Magdziarz and Janusz Gajda

HSC/12/03: Modeling of short term interest rate based on tempered fractional Langevin equation

Janusz Gajda

HSC/12/02: The relationship between spot and futures CO2 emission allowance prices in the EU-ETS

Stefan Trück, Wolfgang Karl Härdle and Rafał Weron

HSC/12/01: Inference for Markov-regime switching models of electricity spot prices

Joanna Janczura and Rafał Weron

HSC/11/07: Usage of metaheuristic methods of optimization of distributed generation placement into the distribution network (Możliwości zastosowania algorytmów metaheurystycznych do optymalizacji przyłączenia rozprosznych źródeł energii do sieci elektroenergetycznej)

Anna Kowalska-Pyzalska

HSC/11/06: Multidimensional Levy walk and its scaling limits

Marek Antoni Teuerle, Piotr Zebrowski and Marcin Magdziarz

HSC/11/05: Option pricing in subdiffusive Bachelier model

Marcin Magdziarz, Sebastian Orzeł and Aleksander Weron

HSC/11/04: Measures of dependence for Ornstein–Uhlenbeck processes with tempered stable distribution

Agnieszka Wyłomańska

HSC/11/03: Subordinated alpha-stable Ornstein-Uhlenbeck process as a tool for financial data description

Joanna Janczura, Sebastian Orzeł and Agnieszka Wyłomańska

HSC/11/02: Efficient estimation of Markov regime-switching models: An application to electricity spot prices

Joanna Janczura and Rafał Weron

HSC/11/01: Black swans or dragon kings? A simple test for deviations from the power law

Joanna Janczura and Rafał Weron

HSC/10/07: Smart grid as a chance for distributed generation (Koncepcja smart grid szansą dla rozwoju generacji rozproszonej)

Anna Kowalska-Pyzalska

HSC/10/06: Optimal bidding strategies on the power market based on the stochastic models

Magdalena Weglarz and Agnieszka Wyłomańska

HSC/10/05: Heavy-tailed distributions in VaR calculations

Adam Misiorek and Rafał Weron

HSC/10/04: Ruin Probability in Finite Time

Krzysztof Burnecki and Marek Antoni Teuerle

HSC/10/03: Building Loss Models

Krzysztof Burnecki, Joanna Janczura and Rafał Weron

HSC/10/02: FX Smile in the Heston Model

Agnieszka Janek, Tino Kluge, Rafał Weron and Uwe Wystup

HSC/10/01: Models for Heavy-tailed Asset Returns

Szymon Borak, Adam Misiorek and Rafał Weron

HSC/09/04: Optimization of the decision on the integration of distributed generation with the electrical grid using optimization of coordinates (Optymalizacja decyzji o przyłączeniu rozproszonych źródeł energii do sieci elektroenergetycznej z wykorzystaniem optymalizacji po współrzędnych)

Anna Kowalska-Pyzalska

HSC/09/03: Optimization of the decision on the integration of distributed generation with the electrical grid using linear programming (Optymalizacja decyzji o przyłączeniu rozproszonych źródeł energii do sieci elektroenergetycznej z wykorzystaniem programowania liniowego)

Anna Kowalska-Pyzalska

HSC/09/02: Calibration of the subdiffusive Black–Scholes model

Sebastian Orzeł and Aleksander Weron

HSC/09/01: Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat)

Piotr Zielonka, Przemyslaw Sawicki and Rafał Weron

HSC/08/03: Modelling energy forward prices

Joanna Janczura and Aleksander Weron

HSC/08/02: The impact of forward trading on the spot power price volatility with Cournot competition

Sandro Sapio and Agnieszka Wyłomańska

HSC/08/01: Short-term forecasting of electricity prices: Do we need a different model for each hour?

Adam Misiorek

HSC/07/01: Asymptotic behavior of the finite time ruin probability of a gamma Levy process

Zbigniew Michna and Aleksander Weron

HSC/06/06: Visualization tools for insurance risk processes

Krzysztof Burnecki and Rafał Weron

HSC/06/05: Interval forecasting of spot electricity prices

Adam Misiorek and Rafał Weron

HSC/06/04: Simulations of the bidding strategies on the power market (Symulacje strategii wytwórców na rynku energii elektrycznej)

Magdalena Borgosz-Koczwara, Aleksander Weron and Agnieszka Wyłomańska

HSC/06/03: Analytical and numerical approach to corporate operational risk modelling

Pawel Mista

HSC/06/02: Financial engineering methods in insurance

Jan Iwanik

HSC/06/01: Short-term electricity price forecasting with time series models: A review and evaluation

Rafał Weron and Adam Misiorek

HSC/05/03: Calibration of the multifactor HJM model for energy market

Ewa Broszkiewicz-Suwaj and Aleksander Weron

HSC/05/02: Heavy tails and electricity prices

Rafał Weron

HSC/05/01: Modeling catastrophe claims with left-truncated severity distributions (extended version)

Anna Chernobai, Krzysztof Burnecki, Svetlozar Rachev, Stefan Trueck and Rafał Weron

HSC/04/06: Asymptotic behavior of measures of dependence for ARMA(1,2) models with stable innovations. Stationary and non-stationary coefficients

Agnieszka Wyłomańska

HSC/04/05: Pure risk premiums under deductibles. A quantitative management in actuarial practice

Krzysztof Burnecki, Joanna Nowicka-Zagrajek and Aleksander Weron

HSC/04/04: Periodic correlation vs. integration and cointegration (Okresowa korelacja a integracja i kointegracja)

Ewa Broszkiewicz-Suwaj and Agnieszka Wyłomańska

HSC/04/03: Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci)

Rafał Weron and Slawomir Wojcik

HSC/04/02: Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie)

Rafał Weron

HSC/04/01: Finding the optimal exercise time for American warrants on WIG20 futures (Wyznaczanie optymalnego momentu wykonania warrantów amerykańskich na kontrakty futures na indeks WIG20)

Bartosz Stawiarski

HSC/03/05: A new De Vylder type approximation of the ruin probability in infinite time

Krzysztof Burnecki, Pawel Mista and Aleksander Weron