Details about Aleksander Weron

Access statistics for papers by Aleksander Weron.

Last updated 2019-01-28. Update your information in the RePEc Author Service.

Short-id: pwe437

Working Papers

2011

1. Option pricing in subdiffusive Bachelier model
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (5)

2009

2. Calibration of the subdiffusive Black–Scholes model
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (2)

2008

3. Modelling energy forward prices
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology

2007

4. Asymptotic behavior of the finite time ruin probability of a gamma Levy process
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology

2006

5. Simulations of the bidding strategies on the power market (Symulacje strategii wytwórców na rynku energii elektrycznej)
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology

2005

6. Calibration of the multifactor HJM model for energy market
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (3)

2004

7. Pure risk premiums under deductibles. A quantitative management in actuarial practice
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (1)

2003

8. A new De Vylder type approximation of the ruin probability in infinite time
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (1)
9. On ARMA(1,q) models with bounded and periodically correlated solutions
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology

2002

10. On annuities under random rates of interest
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (2)

2001

11. Dependence structure of stable R-GARCH processes
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (2)

1998

12. Origins of the scaling behaviour in the dynamics of financial data
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (2)
    See also Journal Article Origins of the scaling behaviour in the dynamics of financial data, Physica A: Statistical Mechanics and its Applications, Elsevier (1999) View citations (3) (1999)

1997

13. Spectral representation and structure of self-similar processes
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (2)
14. The Lamperti transformation for self-similar processes
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (4)

1996

15. Approximation of stochastic differential equations driven by alpha-stable Levy motion
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (2)

1994

16. Can One See Alpha-stable Variables and Processes?
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (8)

Journal Articles

2009

1. Stochastic models for bidding strategies on oligopoly electricity market
   Mathematical Methods of Operations Research, 2009, 69, (3), 579-592 View citations (4)

2008

2. From solar flare time series to fractional dynamics
   Physica A: Statistical Mechanics and its Applications, 2008, 387, (5), 1077-1087 View citations (2)

2003

3. Annuities under random rates of interest--revisited
   Insurance: Mathematics and Economics, 2003, 32, (3), 457-460 View citations (3)

1999

4. A conditionally exponential decay approach to scaling in finance
   Physica A: Statistical Mechanics and its Applications, 1999, 264, (3), 551-561 View citations (1)
5. Origins of the scaling behaviour in the dynamics of financial data
   Physica A: Statistical Mechanics and its Applications, 1999, 264, (3), 562-569 View citations (3)
   See also Working Paper Origins of the scaling behaviour in the dynamics of financial data, HSC Research Reports (1998) View citations (2) (1998)

1997

6. Stable Lévy motion approximation in collective risk theory
   Insurance: Mathematics and Economics, 1997, 20, (2), 97-114 View citations (12)

1995

7. Computer simulation of attractors in stochastic models with α-stable noise
   Mathematics and Computers in Simulation (MATCOM), 1995, 39, (1), 9-19 View citations (1)

1992

8. Ergodic behavior and estimation for periodically correlated processes
   Statistics & Probability Letters, 1992, 15, (4), 299-304 View citations (1)

1990

9. Characterizations of intrinsically random dynamical systems
   Physica A: Statistical Mechanics and its Applications, 1990, 166, (2), 220-228 View citations (1)

1987

10. Ergodic properties of stationary stable processes
    Stochastic Processes and their Applications, 1987, 24, (1), 1-18 View citations (12)

1981

11. Existence of the linear prediction for Banach space valued Gaussian processes
    Journal of Multivariate Analysis, 1981, 11, (1), 69-80
12. [alpha]-Stable characterization of Banach spaces (1
    Journal of Multivariate Analysis, 1981, 11, (4), 572-580

1976

13. Wold-Cramér concordance theorems for interpolation of q-variate stationary processes over locally compact Abelian groups
    Journal of Multivariate Analysis, 1976, 6, (1), 123-137

Books

2000

1. Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem)
   HSC Books, Hugo Steinhaus Center, Wroclaw University of Science and Technology

1998

2. Financial Engineering: Derivatives pricing, Computer simulations, Market statistics (Inzynieria finansowa: Wycena instrumentow pochodnych, Symulacje komputerowe, Statystyka rynku)
   HSC Books, Hugo Steinhaus Center, Wroclaw University of Science and Technology

1994

3. Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes
   HSC Books, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (129)