HSC Research Reports

From Hugo Steinhaus Center, Wroclaw University of Science and Technology
Contact information at EDIRC.
Bibliographic data for series maintained by Rafal Weron ().

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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/05/04: Sznajd model and its applications

Katarzyna Sznajd-Weron

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

HSC/03/04: An introduction to simulation of risk processes

Krzysztof Burnecki, Wolfgang Härdle and Rafał Weron

HSC/03/03: On ARMA(1,q) models with bounded and periodically correlated solutions

Aleksander Weron and Agnieszka Wyłomańska

HSC/03/02: Methods for determining the presence of periodic correlation based on the bootstrap methodology

Ewa Broszkiewicz-Suwaj

HSC/03/01: Modeling electricity prices: jump diffusion and regime switching

Rafał Weron, Michael Bierbrauer and Stefan Trück

HSC/02/04: Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach

Rafał Weron

HSC/02/03: Simulation of Pickands constants

Krzysztof Burnecki and Zbigniew Michna

HSC/02/02: Modeling electricity loads in California: ARMA models with hyperbolic noise

Joanna Nowicka-Zagrajek and Rafał Weron

HSC/02/01: On annuities under random rates of interest

Krzysztof Burnecki, Agnieszka Marciniuk and Aleksander Weron

HSC/01/03: Estimating long range dependence: finite sample properties and confidence intervals

Rafał Weron

HSC/01/02: Dependence structure of stable R-GARCH processes

Joanna Nowicka-Zagrajek and Aleksander Weron

HSC/01/01: Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime

Rafał Weron

HSC/00/04: Opinion evolution in closed community

Katarzyna Sznajd-Weron and Jozef Sznajd

HSC/00/03: Property insurance loss distributions

Krzysztof Burnecki, Grzegorz Kukla and Rafał Weron

HSC/00/02: Energy price risk management

Rafał Weron

HSC/00/01: Hurst analysis of electricity price dynamics

Rafał Weron and Beata Przybylowicz

HSC/99/01: A short history of the VOLAX - or how we tried to trade implied volatility (Krotka historia VOLAX-u - czyli jak probowano handlowac implikowana zmiennoscia)

Tomasz Garlinski and Rafał Weron

HSC/98/03: Self-similar models in risk theory

Krzysztof Burnecki

HSC/98/02: Scaling in currency exchange: A Conditionally Exponential Decay approach

Szymon Mercik and Rafał Weron

HSC/98/01: Origins of the scaling behaviour in the dynamics of financial data

Aleksander Weron, Szymon Mercik and Rafał Weron

HSC/97/03: Spectral representation and structure of self-similar processes

Krzysztof Burnecki, Jan Rosinski and Aleksander Weron

HSC/97/02: The Lamperti transformation for self-similar processes

Krzysztof Burnecki, Makoto Maejima and Aleksander Weron

HSC/97/01: Evolution in a changing environment

Katarzyna Sznajd-Weron and Rafał Weron

HSC/96/02: Approximation of stochastic differential equations driven by alpha-stable Levy motion

Aleksander Janicki, Zbigniew Michna and Aleksander Weron

HSC/96/01: Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables"

Rafał Weron

HSC/95/02: Analysis of ROBECO data by neural networks

Wojtek Kowalczyk and Rafał Weron

HSC/95/01: Performance of the estimators of stable law parameters

Rafał Weron

HSC/94/01: Can One See Alpha-stable Variables and Processes?

Aleksander Janicki and Aleksander Weron