EconPapers    
Economics at your fingertips  
 

Details about Aleksander Weron

Postal address:Wyspianskiego 27 50-370 Wroclaw, Poland
Workplace:Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska (Wroclaw University of Science and Technology), (more information at EDIRC)

Access statistics for papers by Aleksander Weron.

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

Short-id: pwe437


Jump to Journal Articles Books

Working Papers

2011

  1. Option pricing in subdiffusive Bachelier model
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (2)

2009

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

2008

  1. Modelling energy forward prices
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads

2007

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

2006

  1. 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 Technology Downloads

2005

  1. Calibration of the multifactor HJM model for energy market
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (1)

2004

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

2003

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

2002

  1. On annuities under random rates of interest
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads

2001

  1. Dependence structure of stable R-GARCH processes
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads

1998

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

1997

  1. Spectral representation and structure of self-similar processes
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (2)
  2. The Lamperti transformation for self-similar processes
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (3)

1996

  1. Approximation of stochastic differential equations driven by alpha-stable Levy motion
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads

1994

  1. Can One See Alpha-stable Variables and Processes?
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (5)

Journal Articles

2009

  1. Stochastic models for bidding strategies on oligopoly electricity market
    Mathematical Methods of Operations Research, 2009, 69, (3), 579-592 Downloads View citations (5)

2008

  1. From solar flare time series to fractional dynamics
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (5), 1077-1087 Downloads View citations (3)

2003

  1. Annuities under random rates of interest--revisited
    Insurance: Mathematics and Economics, 2003, 32, (3), 457-460 Downloads View citations (2)

1999

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

1997

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

1995

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

1992

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

1990

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

1987

  1. Ergodic properties of stationary stable processes
    Stochastic Processes and their Applications, 1987, 24, (1), 1-18 Downloads View citations (9)

1981

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

1976

  1. 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 Downloads

Books

2000

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

1998

  1. 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 Technology Downloads

1994

  1. Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes
    HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (104)
 
Page updated 2020-07-07