Tomasz Zastawniak

University of York — United Kingdom

Economics, Econometrics and Finance · Social Sciences

12h-index519citations140works1.02yr avg
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Research Topics

Stochastic processes and financial applications(42), Economic theories and models(27), Advanced Differential Geometry Research(18), Auction Theory and Applications(8), Credit Risk and Financial Regulations(8)

Publications140 total

Fundamental Theorem of Asset Pricing under fixed and proportional costs in multi-asset setting and finite probability space
Decisions in Economics and Finance·2024· 1 citedOpen Access
Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs
Annals of Finance·2020Open Access
Pricing high-dimensional American options by kernel ridge regression
Quantitative Finance·2020· 14 cited
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
Fundamental Theorem of Asset Pricing under fixed and proportional\n transaction costs
arXiv (Cornell University)·2019Open Access
Game options with gradual exercise and cancellation under proportional transaction costs
Stochastics·2018· 5 cited
Game options with gradual exercise and cancellation under proportional transaction costs
White Rose Research Online (University of Leeds, The University of Sheffield, University of York)·2016Open Access
Game options with gradual exercise and cancellation under proportional\n transaction costs
arXiv (Cornell University)·2016Open 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
Glamour, value and anchoring on the changing<i>P</i>/<i>E</i>
European Journal of Finance·2016· 7 cited
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Frequent Co-authors

P. L. Antonelli(11), Marek Capiński(9), Alet Roux(8), Krzysztof Tokarz(4), Zdzisław Brzeźniak(3), Ekkehard Kopp(3), Jan Malczak(3), Aubrey Truman(2), Philip Protter(1), Paolo Antonelli(1), Robert Lund(1), Wenbin Hu(1), Wojciech Słomczyński(1), Keith Anderson(1), Wojciech Stomczynski(1), Dirk Huylebrouck(1), Wojciech S∤omczyński(1), Daragh McInerney(1), M. Matsumoto(1), Nan Zhang(1)