Marek Capiński

Economics, Econometrics and Finance · Social Sciences

18h-index1.2kcitations120works0.02yr avg
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Research Topics

Stochastic processes and financial applications(29), Mathematical and Theoretical Analysis(16), Stability and Controllability of Differential Equations(12), Credit Risk and Financial Regulations(9), Economic theories and models(8)

Publications120 total

Construction of Martingale Measure in the Hazard Process Model of Credit Risk
arXiv (Cornell University)·2019Open Access
Construction of Martingale Measure in the Hazard Process Model of Credit\n Risk
arXiv (Cornell University)·2019Open Access
Non-traded call's volatility smiles
arXiv (Cornell University)·2019Open Access
Appendix
2016· 1 cited
Defaultable bond pricing with hazard function
Cambridge University Press eBooks·2016
Hazard function model and no arbitrage
Cambridge University Press eBooks·2016
Select bibliography
Cambridge University Press eBooks·2016
Preface
Cambridge University Press eBooks·2016
Security pricing with hazard process
Cambridge University Press eBooks·2016
Structural models
Cambridge University Press eBooks·2016
Hazard process model
Cambridge University Press eBooks·2016
Credit Risk
Cambridge University Press eBooks·2016· 4 cited
Security pricing with hazard function
Cambridge University Press eBooks·2016
No arbitrage in a simple credit risk model
Applied Mathematics Letters·2014· 2 cited
General models
Cambridge University Press eBooks·2012
Option pricing and hedging
Cambridge University Press eBooks·2012· 4 cited
The Black–Scholes Model
Cambridge University Press eBooks·2012
Introduction
Cambridge University Press eBooks·2012
Path-dependent options
Cambridge University Press eBooks·2012
Extensions and applications
Cambridge University Press eBooks·2012
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Frequent Co-authors

Nigel J. Cutland(15), Tomasz Zastawniak(10), Peter Ekkehard Kopp(5), Zdzisław Brzeźniak(5), Franco Flandoli(5), Ekkehard Kopp(5), Wiktor Patena(3), Szymon Peszat(2), Janusz Traple(2), Philip Protter(1), Dariusz Ga̧tarek(1), Robert L. Taylor(1)