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Marcin Magdziarz

Personal Details

First Name:Marcin
Middle Name:
Last Name:Magdziarz
Suffix:
RePEc Short-ID:pma1718
http://www.im.pwr.wroc.pl/~magdziar/
Terminal Degree:2007 Instytut Matematyki i Informatyki; Politechnika Wrocławska (from RePEc Genealogy)

Affiliation

Hugo Steinhaus Center for Stochastic Methods
Politechnika Wrocławska

Wrocław, Poland
http://www.im.pwr.wroc.pl/~hugo/
RePEc:edi:hspwrpl (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Marcin Magdziarz & Janusz Gajda, 2012. "Anomalous dynamics of Black–Scholes model time-changed by inverse subordinators," HSC Research Reports HSC/12/04, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  2. Marcin Magdziarz & Sebastian Orzel & Aleksander Weron, 2011. "Option pricing in subdiffusive Bachelier model," HSC Research Reports HSC/11/05, Hugo Steinhaus Center, Wroclaw University of Science and Technology.

Articles

  1. Magdziarz, Marcin, 2009. "Stochastic representation of subdiffusion processes with time-dependent drift," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3238-3252, October.
  2. Magdziarz, Marcin, 2009. "Correlation cascades, ergodic properties and long memory of infinitely divisible processes," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3416-3434, October.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Marcin Magdziarz & Janusz Gajda, 2012. "Anomalous dynamics of Black–Scholes model time-changed by inverse subordinators," HSC Research Reports HSC/12/04, Hugo Steinhaus Center, Wroclaw University of Science and Technology.

    Cited by:

    1. Grzegorz Krzy.zanowski & Marcin Magdziarz, 2020. "A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model," Papers 2003.05358, arXiv.org, revised Dec 2020.
    2. Foad Shokrollahi, 2017. "The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion," Papers 1712.05254, arXiv.org.
    3. Karipova, Gulnur & Magdziarz, Marcin, 2017. "Pricing of basket options in subdiffusive fractional Black–Scholes model," Chaos, Solitons & Fractals, Elsevier, vol. 102(C), pages 245-253.
    4. Ma, Pengcheng & Najafi, Alireza & Gomez-Aguilar, J.F., 2024. "Sub mixed fractional Brownian motion and its application to finance," Chaos, Solitons & Fractals, Elsevier, vol. 184(C).
    5. Lv, Longjin & Xiao, Jianbin & Fan, Liangzhong & Ren, Fuyao, 2016. "Correlated continuous time random walk and option pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 100-107.
    6. Grzegorz Krzy.zanowski & Marcin Magdziarz & {L}ukasz P{l}ociniczak, 2019. "A weighted finite difference method for subdiffusive Black Scholes Model," Papers 1907.00297, arXiv.org, revised Apr 2020.

  2. Marcin Magdziarz & Sebastian Orzel & Aleksander Weron, 2011. "Option pricing in subdiffusive Bachelier model," HSC Research Reports HSC/11/05, Hugo Steinhaus Center, Wroclaw University of Science and Technology.

    Cited by:

    1. Shchestyuk, Nataliya & Tyshchenkob, Sergii, 2024. "Subdiffusive option price model with Inverse Gaussian subordinator," Working Papers 2024:1, Örebro University, School of Business.
    2. Kerger, Phillip & Kobayashi, Kei, 2020. "Parameter estimation for one-sided heavy-tailed distributions," Statistics & Probability Letters, Elsevier, vol. 164(C).
    3. Kevin Z. Tong & Allen Liu, 2019. "Option pricing in a subdiffusive constant elasticity of variance (CEV) model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-21, June.
    4. Sebastian, Orzeł & Agnieszka, Wyłomańska, 2010. "Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times," MPRA Paper 28593, University Library of Munich, Germany.
    5. Lv, Longjin & Xiao, Jianbin & Fan, Liangzhong & Ren, Fuyao, 2016. "Correlated continuous time random walk and option pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 100-107.

Articles

  1. Magdziarz, Marcin, 2009. "Stochastic representation of subdiffusion processes with time-dependent drift," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3238-3252, October.

    Cited by:

    1. Kumar, A. & Wyłomańska, A. & Połoczański, R. & Sundar, S., 2017. "Fractional Brownian motion time-changed by gamma and inverse gamma process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 648-667.
    2. Ballestra, Luca Vincenzo & Pacelli, Graziella & Radi, Davide, 2016. "A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: Applications in finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 330-344.
    3. Kerger, Phillip & Kobayashi, Kei, 2020. "Parameter estimation for one-sided heavy-tailed distributions," Statistics & Probability Letters, Elsevier, vol. 164(C).
    4. Ketelbuters, John-John & Hainaut, Donatien, 2022. "CDS pricing with fractional Hawkes processes," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1139-1150.
    5. Qing Tang & Fabio Camilli, 2020. "Variational Time-Fractional Mean Field Games," Dynamic Games and Applications, Springer, vol. 10(2), pages 573-588, June.
    6. Foad Shokrollahi, 2016. "Subdiffusive fractional Brownian motion regime for pricing currency options under transaction costs," Papers 1612.06665, arXiv.org, revised Aug 2017.
    7. Karipova, Gulnur & Magdziarz, Marcin, 2017. "Pricing of basket options in subdiffusive fractional Black–Scholes model," Chaos, Solitons & Fractals, Elsevier, vol. 102(C), pages 245-253.
    8. Hainaut, Donatien, 2019. "Credit risk modelling with fractional self-excited processes," LIDAM Discussion Papers ISBA 2019027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    9. Kevin Z. Tong & Allen Liu, 2019. "Option pricing in a subdiffusive constant elasticity of variance (CEV) model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-21, June.
    10. Prakash, Amit & Kaur, Hardish, 2017. "Numerical solution for fractional model of Fokker-Planck equation by using q-HATM," Chaos, Solitons & Fractals, Elsevier, vol. 105(C), pages 99-110.
    11. Gajda, Janusz & Magdziarz, Marcin, 2014. "Large deviations for subordinated Brownian motion and applications," Statistics & Probability Letters, Elsevier, vol. 88(C), pages 149-156.
    12. Hainaut, Donatien, 2019. "Fractional Hawkes processes," LIDAM Discussion Papers ISBA 2019016, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    13. Dupret, Jean-Loup & Hainaut, Donatien, 2022. "A subdiffusive stochastic volatility jump model," LIDAM Discussion Papers ISBA 2022001, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    14. Hainaut, Donatien & Leonenko, Nikolai, 2020. "Option pricing in illiquid markets: a fractional jump-diffusion approach," LIDAM Discussion Papers ISBA 2020003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    15. Gu, Hui & Liang, Jin-Rong & Zhang, Yun-Xiu, 2012. "Time-changed geometric fractional Brownian motion and option pricing with transaction costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(15), pages 3971-3977.
    16. Foad Shokrollahi & Adem Kılıçman & Marcin Magdziarz, 2016. "Pricing European options and currency options by time changed mixed fractional Brownian motion with transaction costs," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-22, March.
    17. Hainaut, Donatien, 2020. "Fractional Hawkes processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 549(C).
    18. Hainaut, Donatien, 2020. "Credit risk modelling with fractional self-excited processes," LIDAM Discussion Papers ISBA 2020002, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    19. Kobayashi, Kei, 2016. "Small ball probabilities for a class of time-changed self-similar processes," Statistics & Probability Letters, Elsevier, vol. 110(C), pages 155-161.
    20. Kei Kobayashi & Hyunchul Park, 2023. "Spectral Heat Content for Time-Changed Killed Brownian Motions," Journal of Theoretical Probability, Springer, vol. 36(2), pages 1148-1180, June.
    21. Guo, Zhidong & Yuan, Hongjun, 2014. "Pricing European option under the time-changed mixed Brownian-fractional Brownian model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 406(C), pages 73-79.
    22. Meerschaert, Mark M. & Toaldo, Bruno, 2019. "Relaxation patterns and semi-Markov dynamics," Stochastic Processes and their Applications, Elsevier, vol. 129(8), pages 2850-2879.

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