Path properties of a class of locally asymptotically self similar processes.
Perturbation theory for random walk in asymmetric random environment.
Prevalence of backward stochastic differential equations with unique solution.
Pricing forward-start options in the HJM framework; evidence from the Polish market
We show how to use the Gaussian HJM model to price modified forward-start options. Using data from the Polish market we calibrate the model and price this exotic option on the term structure. The specific problems of Central Eastern European emerging markets do not permit the use of the popular lognormal models of forward LIBOR or swap rates. We show how to overcome this difficulty.
Pricing Polish three-year bonds in the HJM framework
We show how to use the Gaussian HJM model to price Polish three-year bonds. %A bond issued by A Polish Treasury bond is treated as a risk-free security.
Probabilistic analysis of the telegrapher's process with drift by means of relativistic transformations.
Probabilistic models of vortex filaments
A model of vortex filaments based on stochastic processes is presented. In contrast to previous models based on semimartingales, here processes with fractal properties between and are used, which include fractional Brownian motion and similar non-Gaussian examples. Stochastic integration for these processes is employed to give a meaning to the kinetic energy.
Probability & incompressible Navier-Stokes equations: an overview of some recent developments.
Processus associés à l'équation des milieux poreux