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Details about Marcin Magdziarz

E-mail:
Homepage:http://www.im.pwr.wroc.pl/~magdziar/
Workplace:Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska (Wroclaw University of Science and Technology), (more information at EDIRC)

Access statistics for papers by Marcin Magdziarz.

Last updated 2012-09-17. Update your information in the RePEc Author Service.

Short-id: pma1718


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Working Papers

2012

  1. Anomalous dynamics of Black–Scholes model time-changed by inverse subordinators
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (4)

2011

  1. Option pricing in subdiffusive Bachelier model
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (4)

Journal Articles

2009

  1. Correlation cascades, ergodic properties and long memory of infinitely divisible processes
    Stochastic Processes and their Applications, 2009, 119, (10), 3416-3434 Downloads
  2. Stochastic representation of subdiffusion processes with time-dependent drift
    Stochastic Processes and their Applications, 2009, 119, (10), 3238-3252 Downloads View citations (21)
 
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