Publikacje/Publications



Books Theses Research papers Research reports


Books:

  1. K.Burnecki (2012) "Identification, validation and prediction of fractional dynamical systems", Oficyna Wydawnicza Politechniki Wrocławskiej, Wroclaw.
  2. P.Cizek, W.Härdle, R.Weron (2011) "Statistical Tools for Finance and Insurance (2 Edition)", Springer, Berlin.
  3. R.Weron (2006) "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach", Wiley, Chichester.
  4. P.Cizek, W.Härdle, R.Weron (2005) "Statistical Tools for Finance and Insurance", Springer, Berlin.
  5. A. Izydorczyk, A.Janicki (2001) "Computer Simulations of Stochastic Differential Equations", Warsaw .
  6. A.Weron, R.Weron (2000) "POWER EXCHANGE: Risk management strategies", Wroclaw.
  7. A.Weron, R.Weron (1998, 1999) "FINANCIAL ENGINEERING: Derivatives pricing, Computer simulations, Market statistics", WNT, Warszawa.
  8. A.Janicki (1996) "Numerical and Statistical Approximation of Stochastic Differential Equations with Non-Gaussian Measures", HSC Monograph, Wroclaw.
  9. A.Janicki, A.Weron (1994) "Simulation and Chaotic Behavior of Stable Stochastic Processes", Marcel Dekker, New York.

Theses:

  1. M.Teuerle (2012) "Uogólnienia procesu błądzenia losowego z czasem ciągłym (CTRW) i ich własności", Ph.D. thesis, supervisor: A. Jurlewicz.
  2. J.Janczura (2011) "Stochastic modeling of prices in the energy market", Ph.D. thesis, supervisor: R. Weron.
  3. E. Broszkiewicz-Suwaj (2007) "Modele dyfuzyjne dla wyceny instrumentów pochodnych na rynku energii elektrycznej", Ph.D. thesis, supervisor: A. Jurlewicz. Full text PS (643 KB)
    4.
  4. M.Magdziarz (2006) "The dependence structure of the solutions of the fractional equations with α-stable noise", Ph.D. thesis, supervisor: A. Weron. Full text PDF (542 KB)
    5.
  5. P. Miśta (2006) "Analytical and numerical approach to corporate operational risk modelling", Ph.D. thesis, supervisor: A. Weron. Full text PDF (712 KB)
    6.
  6. J. Iwanik (2006) "Financial engineering methods in insurance", Ph.D. thesis, supervisor: A. Weron. Full text PDF (719 KB)
    7.
  7. M. Borgosz-Koczwara (2006) "Modelling optimal strategies in the electricity market", Ph.D. thesis, supervisor: A. Weron.
  8. A. Wyłomańska (2006) "Analiza modeli ARMA ze zmiennymi współczynnikami", Ph.D. thesis, supervisor: A. Weron.
  9. P.Sztuba (2002) "Stochastic approach to derivative pricing in the HJM framework", Ph.D. thesis, supervisor: A. Weron.
  10. R.Weron (1998) "Modelling volatility of financial time series", Ph.D. thesis, supervisor: K. Szajowski. Full text PS ZIP (306 KB)
    11.
  11. J. Nowicka (1998) "Analysis of measures of dependence for time series with stable innovations", Ph.D. thesis, supervisor: A. Weron.
  12. K. Burnecki (1998) "Self-similar models in risk theory", Ph.D. thesis, supervisor: A. Weron. Full text PS ZIP (584 KB)
    13.
  13. A.Rejman (1997) "Stochastic modelling and simulations of the stock market using stable processes", Ph.D. thesis (in Polish), supervisor: A. Weron.

Research papers:

2013, 2012, 2011, 2010, 2009, 2008, 2007, 2006, 2005, 2004, 2003, 2002, 2001, 2000, 1999, 1998, 1997, 1996, 1995

2013

  1. K.Burnecki, G.Sikora (2013) "Estimation of FARIMA Parameters in the Case of Negative Memory and Stable Noise", IEEE Transactions On Signal Processing, Vol. 61, No. 11. Full text PDF (3283 KB)
    2.
  2. J.Gajda, A.Wyłomańska (2013) "Tempered stable Lévy motion driven by stable subordinator", Physica A 392, 3168–3176. Full text PDF (815 KB)
    3.
  3. J.Janczura, S.Trück, R.Weron, R.Wolff (2013) "Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling", Energy Economics 38, 96-110 (doi:10.1016/j.eneco.2013.03.013). Full text PDF (1010 KB)
    4.
  4. S.Orzel, W.Mydlarczyk, A.Jurlewicz (2013) "Accelerating subdiffusions governed by multiple-order time-fractional diffusion equations: Stochastic representation by a subordinated Brownian motion and computer simulations", Phys. Rev. E 87, 032110. Full text PDF (300 KB)
    5.
  5. M.Teuerle, A.Wyłomańska, G.Sikora (2013) "Modeling anomalous diffusion by a subordinated fractional Lévy-stable process", J. Stat. Mech. (2013) P05016. Full text PDF (589 KB)
    6.

2012

  1. P.Bieńkowski, K. Burnecki, J.Janczura, R.Weron, B.Zubrzak (2012) "A new method for automated noise cancellation in electromagnetic field measurement ", J. of Electromagn. Waves and Appl., Vol. 26, 1226–1236, 2012 .
  2. K.Burnecki (2012) "FARIMA processes with application to biophysical data", J. Stat. Mech. (2012) P05015. Full text PDF (624 KB)
    3.
  3. K.Burnecki, E.Kepten, J.Janczura, I.Bronshtein, Y.Garini, A.Weron (2012) "Universal Algorithm for Identification of Fractional Brownian Motion. A Case of Telomere Subdiffusion", Biophysical Journal 103, 1839–1847. Full text PDF (460 KB)
    4.
  4. K.Burnecki, M.Magdziarz, A.Weron (2012) "Identification and validation of fractional subdiffusion dynamics", in "Fractional Dynamics" J. Klafter, S.C. Lim, R. Metzler (Eds.) (World Scientific, Singapore, 2012). Full text PDF (283 KB)
    5.
  5. K.Burnecki, M.Muszkieta, G.Sikora, A.Weron (2012) "Statistical modelling of subdiffusive dynamics in the cytoplasm of living cells: A FARIMA approach", EPL 98, 10004. Full text PDF (676 KB)
    6.
  6. K.Burnecki, G.Sikora, A.Weron (2012) "Fractional process as a unified model for subdiffusive dynamics in experimental data", Phys. Rev. E 86, 041912. Full text PDF (696 KB)
    7.
  7. K.Burnecki, A.Wyłomańska, A.Beletskii, V.Gonchar, A.Chechkin (2012) "Recognition of stable distribution with Lévy index α close to 2", Phys. Rev. E 85, 056711. Full text PDF (2433 KB)
    8.
  8. J.Gajda (2012) "Modelling of short term interest rate based on tempered fractional Langevin equation", Acta Phys. Polon. B 43(5), 2049-2062. Full text PDF (400 KB)
    9.
  9. J.Gajda, A.Wyłomańska (2012) "Geometric Brownian motion with tempered stable waiting times", J. Stat. Phys. 148, 296-305. Full text PDF (632 KB)
    10.
  10. J.Janczura, R.Weron (2012) "Black swans or dragon kings? A simple test for deviations from the power law", European Physical Journal - Special Topics 205, 79-93. Full text PDF (484 KB)
    11.
  11. J.Janczura, R.Weron (2012) "Efficient estimation of Markov regime-switching models: An application to electricity spot prices", Advances in Statistical Analysis 96(3), 385-407 (doi:10.1007/s10182-011-0181-2) .
  12. J.Janczura, R.Weron (2012) "Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices", Advances in Statistical Analysis (doi:10.1007/s10182-011-0181-2) .
  13. J.Janczura, A.Wyłomańska (2012) "Anomalous diffusion models: different types of subordinator distribution", Acta Phys. Polon. B 43(5), 1001-1016. Full text PDF (690 KB)
    14.
  14. M.Maciejewska, A.Szczurek, G.Sikora, A.Wyłomańska (2012) "Diffusive and subdiffusive dynamics of indoor microclimate: A time series modeling", Phys. Rev. E 86, 031128. Full text PDF (709 KB)
    15.
  15. M.Magdziarz, J.Gajda (2012) "Anomalous dynamics of Black-Scholes model time-changed by inverse subordinators", Acta Phys. Polon. B 43(5), 1093-1110. Full text PDF (452 KB)
    16.
  16. M.Magdziarz, W.Szczotka, P.Żebrowski (2012) "Langevin Picture of Lévy Walks and Their Extensions", J Stat Phys 147, 74–96. Full text PDF (790 KB)
    17.
  17. M.Magdziarz, R.Metzler, W.Szczotka, P.Żebrowski (2012) "Correlated continuous-time random walks in external force fields", Phys. Rev. E 85, 051103. Full text PDF (244 KB)
    18.
  18. M.Magdziarz, M.Teuerle, P.Żebrowski (2012) "Scaling limits of overshooting Lévy walks", Acta Phys. Polon. B 43(5), 1093-1110. Full text PDF (472 KB)
    19.
  19. W.Okrasiński, Ł.Płociniczak (2012) "A nonlinear mathematical model of the corneal shape", Nonlinear Analysis: Real World Applications 13, 1498-1505.
  20. G.Sikora (2012) "Anomalous diffusion - the thinning property of fractional Brownian motion", Acta Phys. Polon. B 43(5), 1157-1167. Full text PDF (465 KB)
    21.
  21. M.Teuerle, P.Żebrowski, M.Magdziarz (2012) "Multidimensional Lévy walk and its scaling limits", J. Phys A: Math. Theor 45, 385002. Full text PDF (1017 KB)
    22.
  22. A.Wyłomańska (2012) "How to identify proper model?", Acta Phys. Polon. B 43(5), 1241-1253. Full text PDF (415 KB)
    23.
  23. A.Wyłomańska (2012) "Arithmetic Brownian motion subordinated by tempered stable and inverse tempered stable processes", Physica A 391 (22), 5685-5696. Full text PDF (634 KB)
    24.

2011

  1. Sz.Borak, A.Misiorek, R.Weron (2011) "Models for heavy-tailed asset returns", in "Statistical Tools for Finance and Insurance, 2nd Edition", Springer, Berlin, 2011, 21-56.
  2. K.Burnecki, J.Gajda, G.Sikora (2011) "Stability and lack of memory of the returns of the Hang Seng index", Physica A 390, 3136–3146. Full text PDF (399 KB)
    3.
  3. K.Burnecki, J.Janczura, R.Weron (2011) "Building loss models", in "Statistical Tools for Finance and Insurance, 2nd Edition", Springer, Berlin, 2011, 293-328.
  4. K.Burnecki, G.Kukla, D.Taylor (2011) "Pricing of catastrophe bonds", in "Statistical Tools for Finance and Insurance, 2nd Edition", Springer, Berlin, 2011, 371-392.
  5. K.Burnecki, M.Teuerle (2011) "Ruin probability in finite time", in "Statistical Tools for Finance and Insurance, 2nd Edition", Springer, Berlin, 2011, 329-348.
  6. K. Dębicki, G. Sikora (2011) "Finite Time Asymptotics of fluid and ruin models: multiplexed fractional Brownian motion case ", Applicationes Mathematicae 38,1, 107–116. Full text PDF (321 KB)
    7.
  7. J.Gajda, M.Magdziarz (2011) "Kramers’ escape problem for fractional Klein-Kramers equation with tempered α-stable waiting times", Physical Review E 84 (2011) 021137. Full text PDF (710 KB)
    8.
  8. J.Iwanik (2011) "Property and casulaty insurance pricing with GLMs", in "Statistical Tools for Finance and Insurance, 2nd Edition", Springer, Berlin, 2011, 349-370.
  9. J. Janczura, S.Orzeł, A.Wyłomańska (2011) "Subordinated α-stable Ornstein–Uhlenbeck process as a tool for financial data description", Physica A 390, 4379–4387. Full text PDF (469 KB)
    10.
  10. A.Janek, T.Kluge, R.Weron, U.Wystup (2011) "FX smile in the Heston model", in "Statistical Tools for Finance and Insurance, 2nd Edition", Springer, Berlin, 2011, 133-162.
  11. A.Jurlewicz, M.M.Meerschaert, H.P. Scheffler (2011) "Cluster Continuous Time Random Walks", Studia Mathematica, 205 (1)  13-30. Full text PDF (413 KB)
    12.
  12. A.Jurlewicz, P.Kern, M.M.Meerschaert, H.P. Scheffler (2011) "Fractional governing equations for coupled random walks", Computers and Mathematics with Applications (doi:10.1016/j.camwa.2011.10.010) . Full text PDF (441 KB)
    13.
  13. M.Magdziarz, S.Orzeł, A.Weron (2011) "Option pricing in subdiffusive Bachelier model", J. Stat. Phys., 145, 187-203. Full text PDF (683 KB)
    14.
  14. M.Magdziarz, A.Weron (2011) "Anomalous diffusion: Testing ergodicity breaking in experimental data", Physical Review E 84, 051138. Full text PDF (253 KB)
    15.
  15. M.Magdziarz, A.Weron (2011) "Ergodic properties of anomalous diffusion processes", Annals of Physics 326 (2011) 2431–2443. Full text PDF (269 KB)
    16.
  16. S.Orzeł, A.Wyłomańska (2011) "Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-time", Journal of Statistical Physics, Volume 143, Number 3, 447-454, (doi: 10.1007/s10955-011-0191-1). Full text PDF (407 KB)
    17.
  17. S.Orzeł, A.Weron (2011) "Fractional Klein–Kramers dynamics for subdiffusion and Ito formula", Journal of Statistical Mechanics P01006 (doi: 10.1088/1742-5468/2011/01/P01006). Full text PDF (365 KB)
    18.
  18. J.Trzmiel, K.Weron , A.Stanislavsky, A.Jurlewicz (2011) "Experimental evidence of the role of compound counting processes in random walk approaches to fractional dynamics", Phys.Rev. E, 83, 051102. Full text PDF (411 KB)
    19.
  19. A.Wyłomańska (2011) "Measures of dependence for Ornstein-Uhlenbeck process with tempered stable distribution", Acta Phys. Polon. B 42(10), 2049-2062. Full text PDF (389 KB)
    20.

2010

  1. K.Burnecki, A.Weron (2010) "Fractional Lévy stable motion can model subdiffusive dynamics", Phys.Rev. E, 82, 021130, (doi:10.1103/PhysRevE.82.021130). Full text PDF (219 KB)
    2.
  2. J.Gajda, M.Magdziarz (2010) "Fractional Fokker-Planck equation with tempered alpha-stable waiting times: Langevin picture and computer simulation", Phys.Rev. E, 82, 011117, (doi:10.1103/PhysRevE.82.011117). Full text PDF (258 KB)
    3.
  3. J. Janczura, R. Weron (2010) "An empirical comparison of alternate regime-switching models for electricity spot prices", Energy Economics 32(5), 1059 - 1073. Full text PDF (1283 KB)
    4.
  4. J.Janczura, R. Weron (2010) "Modeling electricity spot prices: Regime switching models with price-capped spike distributions", Proceedings of the Modern Electric Power Systems MEPS'10 International Symposium, September 20-22, 2010, Wrocław, Poland, paper 02.3. Full text PDF (139 KB)
    5.
  5. A.Jurlewicz, J.Trzmiel, K.Weron (2010) "Two-power-law relaxation processes in complex materials", Acta Physica Polonica B 41 (5), 1001-1008. Full text PDF (425 KB)
    6.
  6. M.Magdziarz (2010) "A note on Maruyama's mixing theorem", Theory Probab. Appl., Vol. 54, No. 2, pp. 322–324. Full text PDF (110 KB)
    7.
  7. M.Magdziarz, J.Klafter (2010) "Detecting origins of subdiffusion: P-variation test for confined systems", Phys.Rev. E, 82, 011129, (doi:10.1103/PhysRevE.82.011129). Full text PDF (296 KB)
    8.
  8. M.Magdziarz (2010) "Path properties of subdiffusion - a martingale approach", Stochastic Models, 26:256–271. Full text PDF (146 KB)
    9.
  9. T. Małolepszy, W.Okrasiński (2010) "Blow-up time for solutions to some nonlinear Volterra integral equations", Journal of Mathematical Analysis and Applications 366, 372-384.
  10. S.Orzeł, A.Weron (2010) "Calibration of the subdiffusive Black-Scholes model", Acta Physica Polonica B 41 (5), 1051-1059. Full text PDF (373 KB)
    11.
  11. J.Trzmiel, A.Jurlewicz, M.Teuerle (2010) "Comparison of the two-power-law generalized Mittag-Leffler and Havriliak-Negami dielectric relaxation responses.", Proceedings of the IEEE International Conference on Solid Dielectrics, ICSD 2010, 4th-9th July 2010, Potsdam, Germany, s. 637-640.. Full text PDF (144 KB)
    12.
  12. J.Trzmiel, A.Jurlewicz, K.Weron (2010) "The frequency-domain relaxation response of gallium doped Cd1-xMnxTe", J. Phys.: Condens. Matter 22, 095802. Full text PDF (328 KB)
    13.
  13. A.Weron, M.Magdziarz (2010) "Generalization of the Khinchin Theorem to Levy Flights", PRL 105, 260603. Full text PDF (251 KB)
    14.
  14. K.Weron, A.Jurlewicz, M.Magdziarz, A.Weron, J.Trzmiel (2010) "Overshooting and undershooting subordination scenario for fractional two-power-law relaxation responses", Phys. Rev. E, 81, 041123 (doi:10.1103/PhysRevE.81.041123). Full text PDF (204 KB)
    15.
  15. A.Wyłomańska, M.Węglarz (2010) "Optimal bidding strategies on the power market based on the stochastic models", Proceedings of the Modern Electric Power Systems MEPS'10 International Symposium, September 20-22, 2010, Wrocław, Poland . Full text PDF (91 KB)
    16.

2009

  1. K.Burnecki, A.Stanislavsky, K.Weron (2009) "Statistical analysis of the maximum energy in solar X-ray flare activity", Acta Phys. Polon. B, 40 (5), 1303-1313. Full text PDF (200 KB)
    2.
  2. T.Czarnik, R.Gawda, W.Kołodziej, D.Łątka, K.Sznajd-Weron, R.Weron (2009) "Associations between intracranial pressure, intraocular pressure and mean arterial pressure in patients with traumatic and non-traumatic brain injuries", Injury 40, 33-39. Full text PDF (260 KB)
    3.
  3. T.Czarnik, R.Gawda, T.Perkowski, R.Weron (2009) "Supraclavicular approach is an easy and safe method of subclavian vein catheterization even in mechanically ventilated patients", Anesthesiology 111, 334-339. Full text PDF (331 KB)
    4.
  4. J.Janczura, R.Weron (2009) "Regime switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions", 6th International Conference on The European Energy Market EEM09, May 27-29, 2009, Leuven, Belgium (doi:10.1109/EEM.2009.5207175). Full text PDF (239 KB)
    5.
  5. J.Janczura, A.Wyłomańska (2009) "Subdynamics of financial data from fractional Fokker-Planck equation", Acta Phys. Polon. B, 40 (5), 1341-1351. Full text PDF (225 KB)
    6.
  6. A.Jurlewicz, A.Wyłomańska, P.Żebrowski (2009) "Coupled continuous-time random walk approach to the Rachev-Ruschendorf model for financial data", Physica A 388, 407 418. Full text PDF (1076 KB)
    7.
  7. M.Magdziarz, A.Weron, K.Burnecki, J.Klafter (2009) "Fractional Brownian Motion Versus the Continuous-Time Random Walk: A Simple Test for Subdiffusive Dynamics", PRL 103, 180602 . Full text PDF (226 KB)
    8.
  8. M.Magdziarz (2009) "Black-Scholes Formula in Subdiffusive Regime", J Stat Phys 136, 553–564 (doi 10.1007/s10955-009-9791-4) . Full text PDF (376 KB)
    9.
  9. M.Magdziarz (2009) "Correlation cascades, ergodic properties and long memory of infinitely divisible processes", Stochastic Processes and their Applications 119, 3416–3434. Full text PDF (777 KB)
    10.
  10. M.Magdziarz (2009) "Langevin Picture of Subdiffusion with Infinitely Divisible Waiting Times", J Stat Phys 135, 763–772 (doi 10.1007/s10955-009-9751-z). Full text PDF (274 KB)
    11.
  11. M.Magdziarz (2009) "Stochastic representation of subdiffusion processes with time-dependent drift", Stochastic Processes and their Applications 119, 3238–3252. Full text PDF (813 KB)
    12.
  12. M.Muszkieta (2009) "Optimal edge detection by topological asymptotic analysis", Math. Mod. Meth. Appl. Sci. (19)11, 2127-2143.
  13. A.Stanislavsky, K. Burnecki, M.Magdziarz, A.Weron, K.Weron (2009) "FARIMA Modeling of solar flare activity from empirical time series of soft X-ray solar emission", The Astrophysical Journal, 693,1877–1882, (doi:10.1088/0004-637X/693/2/1877). Full text PDF (274 KB)
    14.
  14. J.Trzmiel, K.Weron, J.Janczura, E.Placzek-Popko (2009) "Properties of the relaxation time distribution underlying the Kohlrausch-Williams-Watts photoionization of the DX centers in Cd1-xMnxTe mixed crystals", J. Phys.: Condens. Matter 21, 345801. Full text PDF (885 KB)
    15.
  15. M.Teuerle, A.Jurlewicz (2009) "Random walk with bivariate Levy-stable jumps in comparison with Levy flights", Acta Phys. Polon. B, 40 (5), 1001-1008. Full text PDF (955 KB)
    16.
  16. A.Weron, M.Magdziarz (2009) "Anomalous diffusion and semimartingales", EPL 86, 60010. Full text PDF (412 KB)
    17.
  17. A.Weron, S.Orzeł (2009) "Itô Formula for Subordinated Langevin Equation. A Case of Time Dependent Force", Acta Phys. Polon. B, 40 (5), 1271-1277. Full text PDF (124 KB)
    18.
  18. R.Weron (2009) "Forecasting wholesale electricity prices: A review of time series models, in "Financial Markets: Principles of Modelling, Forecasting and Decision-Making", eds. W. Milo, P. Wdowiński", FindEcon Monograph Series, WUŁ, Łódź, 71-82 Available at SSRN:http://ssrn.com/abstract=1168382 . Full text PDF (320 KB)
    19.
  19. P.Zielonka, P.Sawicki, R.Weron (2009) "Rzecz o dyskontowaniu odroczonych wypłat [Discounting of delayed payoffs]", Decyzje 11, 49-70. Full text PDF (170 KB)
    20.

2008

  1. Sz.Borak, R.Weron (2008) "A semiparametric factor model for electricity forward curve dynamics", Journal of Energy Markets 1(3), 3-16. Full text PDF (1100 KB)
    2.
  2. M. Borgosz-Koczwara, A.Weron, A.Wyłomańska (2008) "Stochastic models for bidding strategies on oligopoly electricity market", Mathematical Methods of Operations Research, September 2008 (doi:10.1007/s00186-008-0252-7).
  3. M. Borgosz-Koczwara, A.Wyłomańska (2008) "Modele gry producentów energii elektrycznej na rynku spotowym", Systems (Wrocław), vol. 13, nr 1/2, 2008, s. 141-147.
  4. E.Broszkiewicz-Suwaj , A.Jurlewicz (2008) "Pricing on electricity market based on coupled-continuous-time-random-walk concept", Physica A 387, 5503–5510. Full text PDF (471 KB)
    5.
  5. K.Burnecki, J.Janczura, M.Magdziarz, A.Weron (2008) "Can one see a competition between subdiffusion and Levy flights?A case of geometric-stable noise ", Acta Phys. Polon. B, 39 (5), 1043-1054. Full text PDF (188 KB)
    6.
  6. K.Burnecki, J.Klafter, M.Magdziarz, A.Weron (2008) "From solar flare time series to fractional dynamics", Physica A 387, 1077–1087. Full text PDF (652 KB)
    7.
  7. K.Burnecki, R.Weron (2008) "Visualization Tools for Insurance ", in "Handbook of Data Visualization", eds. Ch. Chen, W. Härdle, A. Unwin, Springer, Berlin, 899-920.. Full text PDF (1200 KB)
    8.
  8. J.Janczura, A.Weron (2008) "Modelling energy forward prices", 5th International Conference on the European Electricity Market, EEM08, May 28-30, 2008, Lisbon (doi:10.1109/EEM.2008.4579020).
  9. A.Jurlewicz, K.Weron (2008) "Continuous-Time Random Walk approach to modeling of relaxation: The role of compound counting processes", Acta Phys. Polon. B, 39 (5), 1055-1066. Full text PDF (172 KB)
    10.
  10. A.Jurlewicz, A.Wyłomańska , P.Żebrowski (2008) "Financial Data Analysis by means of Coupled Continuous-Time Random Walk in Rachev-Ruschendorf Model", Acta Phys. Polon. A, 114(3), 629-634. Full text PDF (248 KB)
    11.
  11. A.Jurlewicz, K.Weron, M.Teuerle (2008) "Generalized Mittag-Leffler relaxation: Clustering-jump continuous-time random walk approach", Phys. Rev. E, 78, 011103 (doi:10.1103/PhysRevE.78.011103). Full text PDF (337 KB)
    12.
  12. J. Nowicka-Zagrajek, A.Wyłomańska (2008) "Measures of dependence for stable AR(1) models with time-varying coefficients", Stochastic Models vol. 24, nr 1, 58-70. Full text PDF (134 KB)
    13.
  13. M.Magdziarz, A.Weron, J.Klafter (2008) "Equivalence of the Fractional Fokker-Planck and Subordinated Langevin Equations: The Case of a Time-Dependent Force", Physical Review Letters 101, 210601 (2008) (doi: 10.1103/PhysRevLett.101.210601). Full text PDF (245 KB)
    14.
  14. M.Magdziarz (2008) "Fractional Ornstein-Uhlenbeck processes. Joseph effect in models with infinite variance", Physica A, 387, 1077-1087. Full text PDF (217 KB)
    15.
  15. A.Makagon, A.Wyłomańska (2008) "On the support of the spectral measure of a harmonizable sequence", Proceedings of the American Mathematical Society, vol. 136(7) 2609-2613. Full text PDF (140 KB)
    16.
  16. T. Małolepszy, W.Okrasiński (2008) "Blow-up conditions for nonlinear Volterra integral equations with power nonlinearity", Applied Mathematics Letters 21 3(2008), 307-312.
  17. S.Sapio, A.Wyłomańska (2008) "The impact of forward trading on the spot power price volatility with Cournot competition", 5th International Conference on the European Electricity Market, EEM08, May 28-30, 2008, Lisbon (doi:10.1109/EEM.2008.4579013).
  18. A.Stanislavsky, K.Weron, A.Weron (2008) "Diffusion and relaxation controlled by tempered -stable processes", Phys. Rev. E, 78,051106 (doi:10.1103/PhysRevE.78.051106). Full text PDF (350 KB)
    19.
  19. K. Sznajd-Weron, R. Weron, M. Włoszczowska (2008) "Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland", Journal of Statistical Mechanics P11018 (doi: 10.1088/1742-5468/2008/11/P11018). Full text PDF (760 KB)
    20.
  20. A.Weron, M.Magdziarz, K.Weron (2008) "Modeling of subdiffusion in space-time-dependent force fields beyond the fractional Fokker-Planck equation", Phys. Rev. E, 77, 036704 (doi:10.1103/PhysRevE.77.036704). Full text PDF (262 KB)
    21.
  21. R.Weron, A.Misiorek (2008) "Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models", International Journal of Forecasting (doi:10.1016/j.ijforecast.2008.08.004). Full text PDF (1600 KB)
    22.
  22. R.Weron (2008) "Heavy-tails and regime-switching in electricity prices", Mathematical Methods of Operations Research (doi:10.1007/s00186-008-0247-4). Full text PDF (1100 KB)
    23.
  23. R.Weron (2008) "Market price of risk implied by Asian-style electricity options and futures", Energy Economics 30, 1098-1115 (doi:10.1016/j.eneco.2007.05.004) . Full text PDF (930 KB)
    24.
  24. A.Wyłomańska (2008) "Spectral measures of PARMA sequences", Journal of Time Series Analysis vol. 29, nr 1, 1-13. Full text PDF (517 KB)
    25.

2007

  1. M. Borgosz-Koczwara, A.Wyłomańska (2007) "Financial engineering as a tool of power producers' strategies optimization", In: The European electricity market. Challenge of the unification. EEM-07. 4th International Conference. Krakow, May 23-25, 2007 p. 159-165.
  2. T.Czarnik, R.Gawda, D.Łątka, W.Kołodziej, K.Sznajd-Weron, R.Weron (2007) "Noninvasive measurement of intracranial pressure: Is it possible?", The Journal of Trauma: Injury, Infection and Critical Care 62(1), 207-211. Full text PDF (380 KB)
    3.
  3. J.Klafter, T.Koren, M.Magdziarz (2007) "First passage times of Levy Flights coexisting with subdiffusion", Phys. Rev. E, 76, 031129. Full text PDF (171 KB)
    4.
  4. M.Magdziarz, A.Weron (2007) "Numerical approach to the fractional Klein-Kramers equation", Phys. Rev. E, 76, 066708 (doi: 10.1103/PhysRevE.76.066708). Full text PDF (990 KB)
    5.
  5. M.Magdziarz (2007) "Short and long memory fractional Ornstein-Uhlenbeck alpha-stable processes", Stochastic Models, 23:3, 451-473. Full text PDF (333 KB)
    6.
  6. M.Magdziarz, A.Weron (2007) "Fractional Langevin equation with alpha-stable noise.A link to fractional ARIMA time series", Studia Mathematica, 181(1),47-69. Full text PDF (207 KB)
    7.
  7. M.Magdziarz, A.Weron (2007) "Competition between subdiffusion and Levy flights: Stochastic and numerical approach", Phys. Rev. E, 75, 056702. Full text PDF (244 KB)
    8.
  8. Z.Michna, A.Weron (2007) "Asymptotic behavior of the finite time ruin probabilty of a gamna Levy process", Acta Phys. Polon. B, 38(5), 1881-1889. Full text PDF (122 KB)
    9.
  9. M.Magdziarz, P.Miśta, A.Weron (2007) "Anomalous diffusion approximation of risk processes in collective risk theory", Acta Phys. Polon. B, 38 (5), 1647-1656. Full text PDF (179 KB)
    10.
  10. M.Magdziarz, A.Weron, K.Weron (2007) "Factional Fokker-Planck dynamics: Stochastic representation and computer simulation", Physics Rev. E, 75, 016708 (doi:10.1103/PhysRevE.75.016708). Full text PDF (353 KB)
    11.
  11. T. Małolepszy, W.Okrasiński (2007) "Conditions for blow-up of solutions of some nonlinear Volterra integral equations", Journal of Computational and Applied Mathematics 205 2(2007), 744-750.
  12. S.Trueck, R.Weron, R.Wolff (2007) "Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices ", Proceedings of the 56th Session of the International Statistical Institute, Invited Paper Meeting IPM71 "Statistics of risk aversion", Aug. 22-29, 2007, Lisbon, Portugal. Full text PDF (264 KB)
    13.
  13. R.Weron (2007) "Hugo Steinhaus - matematyk, humanista i ... popularyzator sprawiedliwego podziału tortu [Hugo Steinhaus - a mathematician, a humanist and ... an advocate of fair division of a cake]", Decyzje 6, 113-118. Full text PDF (65 KB)
    14.
  14. R.Weron, A.Misiorek (2007) "Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts?", Prace Naukowe Akademii Ekonomicznej we Wrocławiu Nr 1076, 472-480. Full text PDF (309 KB)
    15.
  15. A.Wyłomańska (2007) "Stable CARMA processes as a tool for stochastic volatility modelling", "Inwestycje finansowe i ubezpieczenia - tendencje światowe a polski rynek" Red. nauk. Wanda Ronka-Chmielowiec, Krzysztof Jajuga, Prace Naukowe Akademii Ekonomicznej we Wrocławiu Nr 1076, 541-548.

2006

  1. M. Borgosz-Koczwara, A.Wyłomańska (2006) "A probability model for the electricity price duration curve", Proceedings of the International Conference "The European Electricity Market EEM-06", May 24-26, 2006, Warsaw, Poland, 21-28.
  2. M. Borgosz-Koczwara, A. Weron, A.Wyłomańska (2006) "Symulacje strategii wytworców" na rynku energii elektrycznej", Energetyka 12/2006, 904-908.
  3. E. Broszkiewicz-Suwaj, A.Weron (2006) "Calibration of the Multi-Factor HJM Model", Acta Physica Polonica B Vol. 37, No 5, 1455-1466. Full text PDF (168 KB)
    4.
  4. E. Broszkiewicz-Suwaj (2006) "Electricity Real Options Valuation", Acta Physica Polonica B Vol. 37,No 11, 1001-1011. Full text PDF (141 KB)
    5.
  5. E. Broszkiewicz-Suwaj (2006) "New Methodology of Pricing on Electricity Market - Theory and Practice", Proceedings of the International Conference "The European Electricity Market EEM-06", May 24-26, 2006, Warsaw, Poland, 29-33.
  6. K.Burnecki, J.Nowicka-Zagrajek (2006) "Skladka kwantylowa w modelu ryzyka kolektywnego a dane szkodowe z obcieciem dolnym", "Statystyka aktuarialna - stan i perspektywy rozwoju z Polsce" pod red. W. Ostasiewicza, Prace Naukowe Akademii Ekonomicznej we Wrocawiu Nr 1108 Wydawnictwo Akademii Ekonomicznej, Wrocław, 306-317. Full text PDF (368 KB)
    7.
  7. A.Chernobai, K.Burnecki, S.Rachev, S.Trueck, R.Weron (2006) "Modelling catastrophe claims with left-truncated severity distributions", Computational Statistics 21(3-4), 537-555. Full text PDF (230 KB)
    8.
  8. M.Magdziarz, K.Weron (2006) "Anomalous diffusion schemes underlying the Cole-Cole relaxation. The role of the inverse-time", Physica A 367, 1-6. Full text PDF (150 KB)
    9.
  9. M.Magdziarz, K.Weron (2006) "Anomalous diffusion schemes underlying the stretched exponential relaxation. The role of subordinators", Acta Physica Polonica B 37 no 5, 1617-1625. Full text PDF (141 KB)
    10.
  10. A.Misiorek (2006) "Ciężkie ogony cen, czyli dlaczego trudno mierzyć ryzyko na rynku energii", Proceedings of the XII-th Conference "Rynek Energii Elektrycznej", Kazimierz Dolny, 24-26 April 2006, (in Polish).
  11. A.Misiorek, M.Kozłowski (2006) "How to anticipate purchase of energy - and why good model sometimes causes loss", Proceedings of the International Conference "The European Electricity Market EEM-06", May 24-26, 2006, Warsaw, Poland, 51-56.
  12. A.Misiorek, R.Weron (2006) "Interval forecasting of spot electricity prices", Proceedings of the International Conference "The European Electricity Market EEM-06", May 24-26, 2006, Warsaw, Poland, 305-312. Full text PDF (290 KB)
    13.
  13. A.Misiorek, S. Trueck, R.Weron (2006) "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models", Studies in Nonlinear Dynamics and Econometrics 10(3), Article 2. Full text PDF (594 KB)
    14.
  14. A.Misiorek, R.Weron (2006) "Zwiększenie dokładności prognoz ceny energii poprzez zastosowanie preprocessingu oraz modeli nieliniowych ", Przegląd Elektrotechniczny LXXXII, vol. 9, 44-46. Full text PDF (491 KB)
    15.
  15. J. Nowicka-Zagrajek, A. Wyłomańska (2006) "Franszyza i górna granica odpowiedzialności a składka netto", Prace Naukowe Akademii Ekonomicznej im. Karola Adamieckiego w Katowicach. Matody matematyczne, ekonometryczne i informatyczne w finansach i ubezpieczeniach. Część 2, Wydawnictwo Akademii Ekonomicznej w Katowicach, Katowice, 279-287.
  16. J.Nowicka-Zagrajek , A.Wyłomańska (2006) "The Dependence Structure for PARMA Models with alpha-Stable Innovations", Acta Physica Polonica B, Vol.37 No 11, November 2006, 3071-3081 . Full text PDF (134 KB)
    17.
  17. R.Weron, A.Misiorek (2006) "Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market", Proceedings of the Modern Electric Power Systems MEPS'06 International Symposium, September 6-8, 2006, Wrocław, Poland, 34-38. Full text PDF (270 KB)
    18.
  18. R.Weron, A.Misiorek (2006) "Short-term Electricity Price Forecasting with Time Series Models: A Review and Evaluation", "Complex Electricity Markets", ed. W. Mielczarski, Chapter 10, 231-254. Full text PDF (670 KB)
    19.
  19. R.Weron, I.Simonsen (2006) "Blackouts, risk, and fat-tailed distributions", "Practical Fruits of Econophysics", ed. H. Takayasu, Springer-Tokyo, 215-219. Full text PDF (155 KB)
    20.
  20. A.Wyłomańska , M. Borgosz-Koczwara (2006) "Wykorzystanie inżynierii finansowej w optymalizacji strategii wytwórców", Proceedings of the XII-th Conference "Rynek Energii Elektrycznej", Kazimierz Dolny, 24-26 April 2006, 285-292 (in Polish).

2005

  1. Sz. Borak, W. Härdle, R.Weron (2005) "Stable distributions", in "Statistical Tools for Finance and Insurance",Springer, Berlin, 21-44.
  2. E.Gudowska-Nowak, K.Bochenek, A.Jurlewicz, K.Weron (2005) "Hopping models of charge transfer in a complex environment: Coupled memory continuous-time random walk approach", Phys. Rev. E, 72, 061101. Full text PDF (137 KB)
    3.
  3. M. Borgosz-Koczwara, A.Wyłomańska (2005) "Okresowe szeregi czasowe wykorzystywane w prognozowaniu wolumenu sprzedaży", Proceedings of the XI-th Conference "Rynek Energii Elektrycznej", Kazimierz Dolny, 25-27 kwietnia 2005, vol. 2, 269-276 (in Polish).
  4. M. Borgosz-Koczwara, A.Wyłomańska (2005) "Optimal biddding strategies on energy market under imperfect information", Proceedings of the International Conference "The European Electricity Market EEM-05", May 10-12, 2005, Lodz, Poland, 67-73. Full text PDF (249 KB)
    5.
  5. E. Broszkiewicz-Suwaj, A.Wyłomańska (2005) "Okresowa korelacja a integracja i kointegracja", Prace Naukowe Akademii Ekonomicznej we Wrocawiu Nr 1088. Inwestycje finansowe i ubezpieczenia - tendencje światowe a polski rynek. Wydawnictwo Akademii Ekonomicznej, Wrocław, 83-89.
  6. E. Broszkiewicz-Suwaj, A. Makagon, A. Weron (2005) "Wycena opcji na energię elektryczną. Model Blacka a model HJM", Energetyka , grudzień 2005, 855-859.
  7. K.Burnecki, P. Miśta, A.Weron (2005) "A new gamma type approximation of the ruin probability", Acta Physica Polonica B 36(5), s. 1473-1483. Full text PS (303 KB)
    8.
  8. K.Burnecki, A.Misiorek, R.Weron (2005) "Loss distributions", in "Statistical Tools for Finance and Insurance",Springer, Berlin, 289-317.
  9. K.Burnecki, R.Weron (2005) "Modeling of the risk process", in "Statistical Tools for Finance and Insurance",Springer, Berlin, 319-339.
  10. K.Burnecki, J.Nowicka-Zagrajek , A. Wyłomańska (2005) "Pure risk premiums under deductibles", in "Statistical Tools for Finance and Insurance",Springer, Berlin, 427-452.
  11. K.Burnecki, G. Kukla, D.Taylor (2005) "Pricing of catastrophe bonds", in "Statistical Tools for Finance and Insurance",Springer, Berlin, 93-114.
  12. K.Burnecki, P. Miśta, A.Weron (2005) "Ruin probabilities in finite and infinite time", in "Statistical Tools for Finance and Insurance",Springer, Berlin, 341-379.
  13. K.Burnecki, P.Miśta, A.Weron (2005) "What is the best approximation of the ruin probability in infinite time?", Applicationes Mathematicae 32,2 (2005), 155-176. Full text PDF (583 KB)
    14.
  14. K.Burnecki, J.Nowicka-Zagrajek (2005) "Wybrane rodzaje składek w modelu ryzyka kolektywnego", Prace Naukowe Akademii Ekonomicznej we Wrocławiu Nr 1088 .Inwestycje finansowe i ubezpieczenia - tendencje światowe a polski rynek. Tom 2, Wydawnictwo Akademii Ekonomicznej, Wrocław, 48-55. Full text PDF (255 KB)
    15.
  15. H.Furrer, Z.Michna, A.Weron (2005) "Stable diffusion approximation of the risk process", in "Statistical Tools for Finance and Insurance",Springer, Berlin, 381-393.
  16. J.Iwanik, J.Nowicka-Zagrajek (2005) "Premiums in the individual and collective risk models", in "Statistical Tools for Finance and Insurance",Springer, Berlin, 407-426.
  17. A. Jurlewicz (2005) "Limit theorems for randomly coarse grained continous-time random walks", Diss. Math. 431. Full text PDF (777 KB)
    18.
  18. A.Jurlewicz, K. Weron (2005) "Scaling properties of the diffusion process underlying the Havrilak-Negami relaxation function", Defect and Diffusion Forum Vols. 237-240, Part 2, 1093-1100. Full text PDF (355 KB)
    19.
  19. A.Jurlewicz, B. Szabat (2005) "Temperature dependent cluster model of the Cole-Davidson relaxation response", Defect and Diffusion Forum Vols. 237-240, 762-767. Full text PDF (305 KB)
    20.
  20. M.Kozłowski, A.Misiorek (2006) "Prognozowanie zapotrzebowania na energie w ujeciu Earnings at Risk (EaR)", Energetyka 12/2005, str. 860-862.
  21. M.Magdziarz (2005) "The dependence structure of the fractional Ornstein-Uhlenbeck process", Probability and Mathematical Statistics 25(1), 97-104 . Full text PDF (264 KB)
    22.
  22. A.Misiorek, R.Weron (2005) "Forecasting spot electricity prices using fundamental factors", Proceedings of the XI-th Conference "Rynek Energii Elektrycznej", Kazimierz Dolny, 25-27 kwietnia 2005, vol. 2, 277-284 (in Polish).
  23. A.Misiorek, R.Weron (2005) "Forecasting spot electricity prices with time series models", Proceedings of the International Conference "The European Electricity Market EEM-05", May 10-12, 2005, Lodz, Poland, 133-141. Full text PDF (335 KB)
    24.
  24. P.Miśta, W.Otto (2005) "Premiums, investments and reinsurance", in "Statistical Tools for Finance and Insurance",Springer, Berlin, 453-488.
  25. A.Weron, K.Burnecki, Sz.Mercik, K.Weron (2005) "Complete description of all self-similar models driven by Levy stable noise", Physical Review E 71, 016113. Full text PDF (986 KB)
    26.
  26. K.Weron, A. Jurlewicz, M.Magdziarz (2005) "Havriliak-Negami Response in the Framework of the Continuous-Time Random Walk", Acta Physica Polonica B 36 (5): 1855-1868. Full text PDF (217 KB)
    27.
  27. R.Weron, U. Wystup (2005) "Heston's model and the smile", in "Statistical Tools for Finance and Insurance",Springer, Berlin, 161-181.
  28. R.Weron, S.Wójcik (2005) "Analiza składowych głównych w modelowaniu powierzchni implikowanej zmienności", Rynek Terminowy 27, 103-108 (in Polish). Full text PDF (505 KB)
    29.

2004

  1. M. Bierbrauer, S. Trueck, R.Weron (2004) "Modeling electricity prices with regime switching models", Lecture Notes in Computer Science 3039, 859-867. Full text PDF (172 KB)
    2.
  2. M. Borgosz-Koczwara, A. Wyłomańska (2004) "The equilibrium models in oligopoly electricity market ", International Conference "The European Electricity Market EEM-04", pages 67-75. Full text PDF (233 KB)
    3.
  3. E. Broszkiewicz-Suwaj, A. Wyłomańska (2004) "Analiza wolumneu sprzedaży energii elektrycznej na giełdzie Nord Pool metodą szeregów czasowych", Rynek Terminowy 26, 4/04, 83-87. Full text PDF (201 KB)
    4.
  4. E. Broszkiewicz-Suwaj, A. Makagon, R.Weron, A. Wyłomańska (2004) "On detecting and modeling periodic correlation in financial data", Physica A 336, 196-205. Full text PDF (326 KB)
    5.
  5. K.Burnecki, R.Weron (2004) "Modeling the risk process in the XploRe computing environment", Lecture Notes in Computer Science 3039, 868-875. Full text PDF (216 KB)
    6.
  6. K.Burnecki, A.Weron (2004) "Levy stable processes. From stationary to self-similar dynamics and back. An application to finance.", Acta Physica Polonica B 35(4), s. 1343-1358. Full text PS ZIP (402 KB)
    7.
  7. K.Burnecki, A.Marciniuk, A.Weron (2004) "On annuities under random rates of interest with payments varying in arithmetic and geometric progression", Probability and Mathematical Statistics 24(1), 1-15. Full text PDF (516 KB)
    8.
  8. K.Burnecki, J.Nowicka-Zagrajek , A.Weron (2004) "Pure risk premiums under deductibles", Prace Naukowe Akademii Ekonomicznej we Wrocławiu Nr 1037. Inwestycje finansowe i ubezpieczenia - tendencje światowe a polski rynek. Wydawnictwo Akademii Ekonomicznej, Wrocław, 75-82. Full text PDF (155 KB)
    9.
  9. K.Burnecki, W.Härdle, R.Weron (2004) "Simulation of Risk Processes", in "Encyclopedia of Actuarial Science", eds. J.L. Teugels, B. Sundt, Wiley, Chichester, vol. 3, 1564-1570. Full text PDF (2770 KB)
    10.
  10. M.Kozłowski, T.Piesiewicz, A.Weron (2004) "Risk management tools for the polish electricity market", International Conference "The European Electricity Market EEM-04, pages 129-133. Full text PDF (417 KB)
    11.
  11. M.Magdziarz (2004) "Modelowanie struktury terminowej poprzez ułamkowe równania różniczkowe z losowym szumem", Rynek Terminowy (26) 4/2004.
  12. A.Makagon, A.Weron, A.Wyłomańska (2004) "Bounded Solutions of ARMA Models with Varying Coefficients", Applicationes Mathematicae 31 (3), 273-285.
  13. A.Misiorek, R.Weron (2004) "Modeling and forecasting electricity loads: A comparison", Proceedings of the International Conference "The European Electricity Market EEM-04", September 20-22, 2004, Lodz, Poland, 135-142. Full text PDF (255 KB)
    14.
  14. A.Misiorek, R.Weron (2004) "Modelowanie sezonowości a prognozowanie zapotrzebowania na energię elektryczną", Energetyka 12/2004, 780-785. Full text PDF (390 KB)
    15.
  15. S.T.Rachev, S.Trueck, R.Weron (2004) "Risk Management in Power Markets (Part III) - Advanced Spot Price Models and Value-at-Risk approaches (in German)", Risknews 05/2004, 67-71. Full text PDF (2690 KB)
    16.
  16. S.Trueck, R.Weron (2004) "Risk Management in Power Markets (Part I) - Trading in Germany and special Market Features", Risknews 03/2004, 65-69. Full text PDF (2301 KB)
    17.
  17. S.Trueck, R.Weron (2004) "Risikomanagement in Energiemärkten (Teil II) Modellierung von Strompreisen", Risknews 04/2004, 67-71. Full text PDF (2086 KB)
    18.
  18. A. Weron, A. Wyłomańska (2004) "On ARMA(1,q) Models with Bounded and Periodically Correlated Solutions", Probability and Mathematical Statistics 24, 2004, 165-172.
  19. R.Weron (2004) "Computationally intensive Value at Risk calculations", in "Handbook of Computational Statistics", eds. J.E. Gentle, W. Haerdle, Y. Mori, Springer, Berlin, 911-950.
  20. R.Weron, A.Misiorek (2004) "Modeling and forecasting electricity loads: a comparison", International Conference "The European Electricity Market EEM-04", pages 135-142. Full text PDF (256 KB)
    21.
  21. R.Weron, M.Bierbrauer, S.Trueck (2004) "Modeling electricity prices: jump diffusion and regime switching", Physica A 336, 39-48. Full text PDF (237 KB)
    22.
  22. R.Weron, I. Simonsen, P. Wilman (2004) "Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market", in “The Application of Econophysics”, ed. H. Takayasu, Springer-Tokyo, 182-191. Full text PDF (158 KB)
    23.
  23. R.Weron (2004) "Power markets in Poland and worldwide", Prace Naukowe Akademii Ekonomicznej we Wrocawiu Nr 1037. Inwestycje finansowe i ubezpieczenia - tendencje światowe a polski rynek. Wydawnictwo Akademii Ekonomicznej, Wrocaw, 325-333. Full text PDF (320 KB)
    24.
  24. R.Weron, S. Wójcik (2004) "Principal Components Analysis in implied volatility modeling", Prace Naukowe Akademii Ekonomicznej we Wrocawiu Nr 1037. Inwestycje finansowe i ubezpieczenia - tendencje światowe a polski rynek. Wydawnictwo Akademii Ekonomicznej, Wrocaw, 315-324. Full text PDF (380 KB)
    25.

2003

  1. M. Borgosz-Koczwara, A. Wyłomańska (2003) "Modele gry producentów na giełdzie energii", Rynek Terminowy 21, 68-73.
  2. M. Borgosz-Koczwara, A. Wyłomańska (2003) "Rownowaga nasha w grach niekooperacyjnych na rynku dnia następnego", Energetyka 12, 808-812.
  3. E. Broszkiewicz-Suwaj (2003) "Wykrywanie okresowej korelacji danych z TGE SA w oparciu o analizę spektralną", Rynek Terminowy 20, 92-95.
  4. K.Burnecki, A. Marciniuk, A.Weron (2003) "Annuities under random rates of interest – revisited", Insurance: Mathematics & Economics 32.3, 457-460. Full text PDF (67 KB)
    5.
  5. K.Burnecki, J.Nowicka-Zagrajek (2003) "Ocena ryzyka ubezpieczeniowego w ubezpieczeniach na życie (część I)", Asekuracja&Re 2(62), 20-22.
  6. K.Burnecki, G. Kukla (2003) "Obligacje katastroficzne. Krajobraz po wojnie", Asekuracja&Re nr 1(61), 29-30. Full text PDF (135 KB)
    7.
  7. K.Burnecki, G. Kukla (2003) "Pricing of zero-coupon and coupon CAT bonds", Applicationes Mathematicae 30(3), 315-324. Full text PDF (143 KB)
    8.
  8. A.K.Jonscher, A.Jurlewicz, K. Weron (2003) "Stochastic schemes of dielectric ralaxation in correlated-cluster systems''", Contemporary Physics Vol. 44, No. 4, 329-339. Full text PDF (2330 KB)
    9.
  9. A.Jurlewicz (2003) "Stochastic foundations of the universal dielectric response", Applicationes Mathematicae 30,3 325-336. Full text PDF (137 KB)
    10.
  10. Sz.Mercik, K. Weron, K.Burnecki, A.Weron (2003) "Enigma of self-similarity of fractional Levy stable motions", Acta Physica Polonica B 34(7), s. 3773-3793. Full text PS (290 KB)
    11.
  11. S. Ondruszko, A. Wyłomańska (2003) "Analiza porównawcza modelowania ceny energii elektrycznej przy użyciu różnych pakietów statystycznych", Rynek Terminowy 20, 87-92.
  12. K. Sznajd-Weron, R.Weron (2003) "How effective is advertising in duopoly markets?", Physica A 324, 437-444. Full text PDF (138 KB)
    13.

2002

  1. K.Burnecki, Z. Michna (2002) "Simulation of Pickands constants", Probability and Mathematical Statistics 22(1), 193-199. Full text PS (158 KB)
    2.
  2. A. Jurlewicz, K.Weron (2002) "Relaxation of dynamically correlated clusters", J. Non-Cryst. Solids 305, 112-121. Full text PDF (153 KB)
    3.
  3. B. Stawiarski (2002) "Dynamiczne zarządzanie wielkością depozytów zabezpieczających dla certyfikatów na indeksy giełd zagranicznych", Rynek Terminowy 15 (1/02), 125-128.
  4. J.Nowicka-Zagrajek , R.Weron (2002) "Modeling electricity loads in California: ARMA models with hyperbolic noise", Signal Processing 82 (12), 1903-1915 . Full text PDF (284 KB)
    5.
  5. K. Sznajd-Weron, R.Weron (2002) "A simple model of price formation", Int. J. Modern Physics C 13, 115-123. Full text PDF (288 KB)
    6.
  6. A.Weron, A. Wyłomańska (2002) "Minimalne prawdopodobienstwostraty producenta na rynku bilansujacym", Energetyka 12, 896-900.
  7. R.Weron (2002) "Estimating long-range dependence: finite sample properties and confidence intervals", Physica A 312, 285-299 . Full text PDF (141 KB)
    8.
  8. R.Weron (2002) "Measuring long-range dependence in electricity prices", in "Empirical Science of Financial Fluctuations", ed. H. Takayasu, Springer-Verlag, Tokyo, pp. 110-119 . Full text PS (173 KB)
    9.
  9. R.Weron (2002) "Pricing European options on instruments with a constant dividend yield: the randomized discrete-time approach", Probability and Mathematical Statistics 22.2, 417-430. Full text PDF (151 KB)
    10.

2001

  1. S.Bovelli, D.Fioretto, A.Jurlewicz (2001) "Light scattering relaxation function of glass-forming molecules: a general probabilistic approach", J. Phys.: Cond. Matter 13, 373-382. Full text PDF (228 KB)
    2.
  2. K.Burnecki, J.Nowicka-Zagrajek (2001) "Analiza umieralności", Asekuracja&Re 7(54), 29-30.
  3. K.Burnecki, J.Nowicka-Zagrajek (2001) "Czy straty mają ogony... czyli rozkłady żądań stosowane w matematyce ubezpieczeń majątkowych", Asekuracja&Re 3(50), 22-25.
  4. K.Burnecki, G. Kukla (2001) "Instrumenty finansowe a ryzyko pogodowe", Asekuracja&Re nr 10(57), 26-27. Full text PDF (145 KB)
    5.
  5. K.Burnecki, J.Nowicka-Zagrajek , A.Weron (2001) "Metoda pomiaru ryzyka (wartości zagrożonej - VaR) na rynku energii elektrycznej", Energetyka 12/2001, 743-747.
  6. A.Jurlewicz (2001) "CED Model I: Basic Theory", J. Math.Sci. Vol. 105, N0. 6, 2562-2568. Full text PDF (114 KB)
    7.
  7. K.Weron, A. Jurlewicz, A.K.Jonscher (2001) "Energy criterion in interacting cluster systems", IEEE Trans. Diel. Electr. Ins. 8(3), 352-358. Full text PDF (679 KB)
    8.
  8. M. Kozłowski, T. Piesiewicz, R.Weron (2001) "Zarządzanie ryzykiem finansowym: Symulator Rynku Instrumentów Pochodnych", Rynek Terminowy 13 (3/01), 31-34.
  9. J.Nowicka-Zagrajek , A.Weron (2001) "Dependence structure of stable R-GARCH processes", . Full text PS (183 KB)
    10.
  10. J.Nowicka-Zagrajek , R.Weron (2001) "Modelowanie cen i zapotrzebowania na energię elektryczną: szeregi czasowe z szumem hiperbolicznym", Rynek Terminowy 14 (4/01), 96-100.
  11. J.Nowicka-Zagrajek , K.Burnecki (2001) "Statystyczne metody oceny ryzyka ubezpieczeniowego. Część I", Asekuracja&Re 5(52), 20-21.
  12. J.Nowicka-Zagrajek , K.Burnecki (2001) "Statystyczne metody oceny ryzyka ubezpieczeniowego. Część II", Asekuracja&Re 9 (56), 24-25.
  13. J.Nowicka-Zagrajek , K.Burnecki (2001) "Statystyczne metody oceny ryzyka ubezpieczeniowego. Część III: Estymacja parametrów rozkładów", Asekuracja&Re 11 (58), 24-25.
  14. J.Nowicka-Zagrajek , K.Burnecki (2001) "Tablice trwania życia", Asekuracja&Re 4(51), 24-25.
  15. K. Sznajd-Weron, R.Weron (2001) "A new model of mass extinctions", Physica A 293, 559-565. Full text PDF (121 KB)
    16.
  16. R.Weron (2001) "Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime", Intern. J. Modern Phys. C 12 (2), 209-223. Full text PDF (413 KB)
    17.
  17. R.Weron, B. Kozłowska, J.Nowicka-Zagrajek (2001) "Modeling electricity loads in California: a continuous-time approach", Physica A 299, 344-350. Full text PDF (150 KB)
    18.

2000

  1. J. Bujko, J. Malko, A.Weron, R.Weron (2000) "Electricity market and tools for financial risk management in Poland. A case study", CIGRE’2000, Paris, 38-206, 1-5.
  2. K.Burnecki, G. Kukla, R.Weron (2000) "Property insurance loss distributions", Physica A 287, 269-278. Full text PDF (236 KB)
    3.
  3. K.Burnecki (2000) "Self-similar processes as weak limits of a risk reserve process", Probability and Mathematical Statistics 20(2), 261-272. Full text PDF (446 KB)
    4.
  4. A.Jurlewicz, K.Weron (2000) "Infinitely divisible waiting-time distributions underlying the empirical relaxation responses", Acta Physica Polonica B 31, 1077-1084. Full text PDF (190 KB)
    5.
  5. A.Jurlewicz, K.Weron (2000) "Relaxation dynamics of the fastest channel in multichannel parallel relaxation mechanism", Chaos, Solitons & Fractals 11, 303-308. Full text PDF (86 KB)
    6.
  6. M.Kotulska, A.Jurlewicz (2000) "How heterogenous structure of tissue effects its dielectric characteristics", Acta Physica Polonica B 31, 1085-1096. Full text PDF (202 KB)
    7.
  7. M. Kotulski (2000) "Mechanism of relaxation phenomena based on the negative binomial random walk", Chaos, Solitons & Fractals 11, 309-314.
  8. M.Kozłowski, H.A.Kołodziej, R.Wieczorek, Z.Latajka, A.Jurlewicz (2000) "Dielectric relaxation and molecular conformational energy of some arylazo benzothiazine derivatives", Chem.Phys 252, 289-299. Full text PDF (470 KB)
    9.
  9. A.Weron, R.Weron (2000) "Fractal Market Hypothesis and two power-laws", Chaos, Solitons & Fractals 11, 289-296. Full text PDF (162 KB)
    10.
  10. A.Weron, R.Weron (2000) "Ocena pakietu EPRI Electricity Book v. 0.75.1", Biuletyn Miesięczny PSE S.A. 4/00.
  11. A.Weron, R.Weron (2000) "Zarządzanie ryzykiem na rynku energii", Rynek Terminowy 10 (4/00), 68-70.
  12. A.Weron, R.Weron (2000) "Zarządzanie ryzykiem na rynku energii elektrycznej", Biuletyn Miesięczny PSE S.A. 5-6/00, 105-110.
  13. R.Weron (2000) "Energy price risk management", Physica A 285, 127-134. Full text PDF (212 KB)
    14.
  14. R.Weron, B.Przybyłowicz (2000) "Hurst analysis of electricity price dynamics", Physica A 283, 462-468. Full text PDF (151 KB)
    15.
  15. R.Weron (2000) "Mechanizmy finansowe w elektroenergetyce: Rynek terminowy i strategie zarządzania ryzykiem", Rynek Terminowy 7, 27-36.
  16. R.Weron, S. Staśkiewicz, P. Talar (2000) "Zastosowanie VaR na rynku energii", Rynek Terminowy 9, 66-69.

1999

  1. T.Garlinski, R.Weron (1999) "A short history of the VOLAX or how we tried to trade implied volatility", Rynek Terminowy 6/99 (in Polish).
  2. T.Garlinski, R.Weron (1999) "Eurex - exchange of the future", Rynek Terminowy 5/99, 81-86 (in Polish).
  3. A.Janicki (1999) "Approximation of finite dimensional distributions for stochastic integrals driven by alpha-stable Levy motion", Appl. Math. 25, 473-488.
  4. A.Jurlewicz, K.Weron (1999) "A general probabilistic approach to the universal relaxation response of complex systems", Cell. Molec.Biol.Letters 4, 55-86. Full text PDF (4575 KB)
    5.
  5. J.Malko, A.Weron (1999) "A proposition of introducing an electric energy market in Poland", Rynek Terminowy 5/99, 40-46 (in Polish).
  6. Sz.Mercik, R.Weron (1999) "Scaling in currency exchange: A Conditionally Exponential Decay approach", Physica A 267, 239-250. Full text PDF (169 KB)
    7.
  7. Z.Michna (1999) "On tail probabilities and first passage times for fractional Brownian motion", Math. Met. Oper. Res. 49, 335-354.
  8. S.T.Rachev, A.Weron, R.Weron (1999) "CED Model for Asset Returns and Fractal Market Hypothesis", Mathematical and Computer Modelling 29, 23-36. Full text PDF (748 KB)
    9.
  9. P. Sztuba, A.Weron (1999) "Numeric methods in financial modelling: calibration of the HJM model", Rynek Terminowy 5/99, 124-126 (in Polish).
  10. P. Sztuba (1999) "Pricing options on emerging markets", Proceedings of the Central European Conference: Financial Markets and Strategies for Regional Developments in the Face on European Integration, Oct. 1-4, 1998, Nowy Sacz, WSB-NLU.
  11. A.Weron, L.J.Wojakowski (1999) "Numeric methods in financial modelling: the Monte-Carlo method", Rynek Terminowy 4/99, 114-116 (in Polish).
  12. A.Weron, Sz.Mercik, R.Weron (1999) "Origins of the scaling behaviour in the dynamics of financial data", Physica A 264, 562-569. Full text PDF (147 KB)
    13.

1998

  1. K.Burnecki, J. Rosinski, A.Weron (1998) "Spectral representation and structure of self-similar processes", in I.Karatzas, B.Rajput and M.Taqqu eds., Stochastic Processes & Related Topics (Birhäuser, Boston), 1-14. Full text PS ZIP (466 KB)
    2.
  2. K.Debicki, Z.Michna, T.Rolski (1998) "On the supremum from Gaussian processes over infinite horizon", Prob. and Math. Stat. 18, 83-100.
  3. A.Jurlewicz (1998) "Relaxation phenomenon as a compound Bernoulli scheme", Dielectric and Related Phenomena, A.Wlochowicz, J.Ulanski, eds., SPIE Proceedings Series vol. 37DP. Full text PDF (1870 KB)
    4.
  4. K.Kosmulski, A.Jurlewicz (1998) "Numerical investigations of relaxing fractal systems", Dielectric and Related Phenomena, A.Wlochowicz, J.Ulanski, eds., SPIE Proceedings Series vol. 37DP. Full text PDF (1840 KB)
    5.
  5. Z.Michna (1998) "Self-similar processes in collective risk theory", J. Appl. Math. and Stoch. Analysis 11, 429-448.

1997

  1. K.Burnecki, M.Maejima, A.Weron (1997) "The Lamperti transformation for self-similar processes", Yokohama Math. J. 44, 25-42. Full text PDF (163 KB)
    2.
  2. H.Furrer, Z.Michna, A.Weron (1997) "Stable Levy motion approximation in collective risk theory", Insurance: Mathematics and Economisc 20, 97-114.
  3. A.Janicki, W.A.Woyczynski (1997) "Hausdorff dimension of regular points in stochastic Burgers' flows with Levy alpha-stable initial data", J. Stat. Physics. 86, 277-299.
  4. A.Janicki (1997) "On geometric structures of solutions of Burgers equation", Wiadomosci Matematyczne 32, 75-94 (in Polish).
  5. A.Janicki, I.Popova, P.H.Rithken, W.A.Woyczynski (1997) "Option pricing bounds in an alpha-stable security market", Stochastic Models 13, 12-33.
  6. A.Jurlewicz, K.Kosmulski, K.Weron (1997) "Interconnection between Havriliak-Negami and the theoretical 'first passage' relaxation function", in Proceedings of the 3-rd International Conference on Dielectric and Related Phenomena. DRP'94, edited by A.Wlochowicz, Zakopane, Poland, 12-16 September 1994, Bielsko-Biala, 31-40. Full text PDF (1280 KB)
    7.
  7. M.Kotulski (1997) "The rate of convergence to a stable law for the random sum of iid random variables", in: Monte Carlo and Quasi-Monte Carlo Methods 1996, edited by H. Niederreiter, P. Hellekalek, G. Larcher, and P. Zinterhof, Lecture Notes in Statistics 127, (Springer Verlag, New York), 300-307.
  8. J.Nowicka (1997) "Asymtpotic behavior of the covariation and the codifference for ARMA models with stable innovations", Stochastic Models 13, 673-686.
  9. J.Nowicka, A.Weron (1997) "Measures of dependence for ARMA models with stable innovations", Annales UMCS, Section A (Mathematica) 51, 133-144.
  10. J.Nowicka (1997) "Parameter estimation for ARCH-type models with normal and stable innovations", Proceedings of the 16th International Conference on Multivariate Statistical Analysis, Lodz, 13-21.
  11. A.Rejman, A.Weron, R.Weron (1997) "Some option pricing proposals: A comparison under the generalized hyperbolic model", Stochastic Models 13, 867-885.
  12. K.Weron, M.Kotulski (1997) "On the equivalence of the parallel channel and the correlated cluster relaxation models", J. Stat. Phys. 88, 1241-1256.

1996

  1. A.Janicki, Z.Michna, A.Weron (1996) "Approximation of stochastic differential equations driven by alpha-stable Levy motion", Applicationes Mathematicae 24, 149-168.
  2. A.Jurlewicz, A.Weron, K.Weron (1996) "Asymptotic behavior of stochastic systems with conditionally exponential decay property", Applicationes Mathematicae 23, 379-394. Full text PDF (232 KB)
    3.
  3. M.Kotulski, K.Weron (1996) "Random Walk Approach to Relaxation in Disordered Systems", in: Athens Conference on Applied Probability and Time Series Analysis. Volume I: Applied Probability", C. C. Heyde, Yu. V. Prohorov, R. Pyke, and S. T. Rachev, eds., Lecture Notes in Statistics 114 (Springer, New York), 379-388.
  4. A.Weron, R.Weron (1996) "Fischer Black and financial mathematics", Wiadomosci Matematyczne 32, 51-74 (in Polish).
  5. K.Weron, M.Kotulski (1996) "On the Cole-Cole Relaxation Function and Related Mittag-Leffler Distribution", Physica A 232, 180-188.
  6. R.Weron (1996) "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables", Statist. Probab. Lett. 28, 165-171. Full text PDF (250 KB)
    7.

1995

  1. S.Cambanis, K.Podgorski, A.Weron (1995) "Chaotic properties of infinitely divisible processes", Studia Math. 115, 109-127.
  2. A.Gross, A.Weron (1995) "On measure preserving transformations and doubly stationary symmetric stable processes", Studia Math. 114, 275-287.
  3. A.Janicki (1995) "Computer simulation of a nonlinear model for electrical circuits with stable noise", Appl. Math. 23, 95-105.
  4. A.Janicki, A.Weron (1995) "Computer simulation of attractors in stochastic models with alpha-stable noise", Math.& Comp. in Simulation 39, 9-19.
  5. A.Jurlewicz (1995) "Frequency-independent rules for the dielectric susceptibility derived from two form of self-similar dynamical behavior of dipolar systems", J. Stat. Phys. 79, 993-1003. Full text PDF (2190 KB)
    6.
  6. M.Kotulski (1995) "Asymptotic Behavior of Generalized Levy Walks", in Chaos - The Interplay between Stochastic and Deterministic Behaviour, edited by P. Garbaczewski, M. Wolf, and A. Weron, Lecture Notes in Physics Vol. 457 (Springer-Verlag, Berlin), 471-477.
  7. M.Kotulski (1995) "Asymptotic Distributions of the Continuous-Time Random Walks: A Probabilistic Approach", J. Stat. Phys. Vol. 81, 777-792.
  8. Z.Michna, I.Rychlik (1995) "The expected number of level crossings for certain symmetric stable prcesses", Stoch. Models 11, 1-20.
  9. A.Weron (1995) "Computer aided modeling and simulation of electrical circuits with stable noise", Applicationes Mathematicae 23, 83-93.
  10. A.Weron, R.Weron (1995) "Computer simulation of Levy stable variables and processes", Lecture Notes in Physics 457, 379-392. Full text PS ZIP (119 KB)
    11.
  11. A.Weron, K.Weron, W.A.Woyczynski (1995) "Relaxation function in dipolar materials", J. Stat. Phys. 78, 1027-1038.
  12. K.Weron, K.Kosmulski, A.Jurlewicz, Sz.Mercik (1995) "Levy-stable and extreme value distributions in modelling of dynamical phenomena in complex physical systems", in Chaos - The Interplay between Stochastic and Deterministic Behaviour, P.Garbaczewski, A.Weron and M.Wolf eds., Lecture Notes in Physics 457 (Springer-Verlag, Berlin), 545-558. Full text PDF (1770 KB)
    13.

Research reports:

2006, 2005, 2004, 2003, 2002-1995

2006

  1. Sz. Borak (2006) "Sz. Borak, W. Härdle, S. Trück, R.Weron (2006) Convenience yields for CO2 emission allowance futures contracts", SFB 649 Discussion Paper 2006-076. Full text PDF (1028 KB)
    2.

2005

  1. A. Chernobai, K. Burnecki, S. Rachev, S. Trueck, R.Weron (2005) "Modelling catastrophe claims with left-truncated severity distributions (extended version)", Research Report HSC/05/1, Wroclaw University of Technology. Full text PDF (330 KB)
    2.
  2. R.Weron (2005) "Heavy tails and electricity prices", Research Report HSC/05/2, Wroclaw University of Technology. Full text PDF (710 KB)
    3.
  3. Sz. Borak, R.Weron, W. Härdle (2005) "Stable distributions", SFB 649 Discussion Paper 2005-008. Full text PDF (628 KB)
    4.
  4. A. Wyłomańska , R.Weron, W. Härdle (2005) "Description of the spectral measures for periodically correlated solutions of PARMA sequences", Research Report HSC/05/3, Wroclaw University of Technology. Full text PDF ( KB)
    5.

2004

  1. E. Broszkiewicz-Suwaj , A. Wyłomańska (2004) "Periodic correlation - integration and cointegration", Research Report HSC/04/4, Wroclaw University of Technology. Full text PDF (307 KB)
    2.
  2. K.Burnecki, J.Nowicka-Zagrajek , A.Weron (2004) "Pure risk premiums under deductibles. A quantitative management in actuarial practice", Research Report HSC/04/5, Wroclaw University of Technology. Full text PDF (401 KB)
    3.
  3. B. Stawiarski (2004) "Wyznaczanie optymalnego momentu wykonania warrantów amerykańskich na kontrakty futures na indeks WIG20", Research Report HSC/04/1, Wroclaw University of Technology. Full text PDF (507 KB)
    4.
  4. R.Weron (2004) "Power markets in Poland and worldwide", Research Report HSC/04/2, Wroclaw University of Technology. Full text PDF (320 KB)
    5.
  5. R.Weron, S. Wójcik (2004) "Principal Components Analysis in implied volatility modeling", Research Report HSC/04/3, Wroclaw University of Technology. Full text PDF (380 KB)
    6.
  6. A. Wyłomańska (2004) "Asymptotic behaviour of measures of dependence for ARMA(1,2) models with stable innovations. Stationary and non-stationary coefficients", Research Report HSC/04/6, Wroclaw University of Technology. Full text PDF (253 KB)
    7.

2003

  1. E. Broszkiewicz-Suwaj (2003) "Methods for determining the presence of periodic correlation based on the bootstrap methodology", Research Report HSC/03/2, Wroclaw University of Technology. Full text PDF (170 KB)
    2.
  2. K.Burnecki, P. Miśta, A.Weron (2003) "A new De Vylder type approximation of the ruin probability in infinite time", Research Report HSC/03/5, Wroclaw University of Technology. Full text PDF (259 KB)
    3.
  3. K.Burnecki, W. Härdle, R.Weron (2003) "An Introduction to Simulation of Risk Processes", Research Report HSC/03/4, Wroclaw University of Technology. Full text PDF (215 KB)
    4.
  4. A.Weron, A. Wyłomańska (2003) "On ARMA(1,q) models with bounded and\par periodically correalted solutions", Research Report HSC/03/3, Wroclaw University of Technology. Full text PDF (201 KB)
    5.
  5. R.Weron (2003) "Pricing Asian options in the Nord Pool electricity market", Research Report HSC/03/1, Wroclaw University of Technology.

2002-1995

  1. K.Burnecki, A.Marciniuk, A.Weron (2002) "On annuities under random rates of interest", Research Report HSC/02/1, Wroclaw University of Technology. Full text PDF (196 KB)
    2.
  2. K.Burnecki (1999) "Weak convergence of the risk process to H-ss si processes", Research Report HSC/99/2, Wroclaw University of Technology.
  3. W. Kowalczyk, R.Weron (1995) "Analysis of ROBECO data by Neural Networks", Research Report HSC/95/2, Wroclaw University of Technology. Full text PDF (142 KB)
    4.
  4. Sz.Mercik, R.Weron (2002) "Origins of scaling in FX markets", Munich Personal RePEc Archive MPRA Paper No. 2294. Prepared as chapter 12 for 'International Finance from Macroeconomics to Econophysics', ed. S. Da Silva, Nova Publishers - publication cancelled by the publisher in 2007. Full text PDF (322 KB)
    5.
  5. K. Sznajd-Weron, R.Weron (1997) "Evolution in a changing environment", Research Report HSC/97/1, Wroclaw University of Technology. Full text PDF (222 KB)
    6.
  6. R.Weron (1996) "Correction to: On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables", Research Report HSC/96/1, Wroclaw University of Technology. Full text PDF (110 KB)
    7.
  7. R.Weron (1995) "Performance of the estimators of stable law parameters", Research Report HSC/95/1, Wroclaw University of Technology. Full text PDF (260 KB)
    8.
  8. R.Weron (1999) "Pricing options on dividend paying instruments under the generalized hyperbolic model", Research Report HSC/99/1, Wroclaw University of Technology. Full text PDF (217 KB)
    9.
- denotes support from the KBN Grant no. PBZ-KBN 016/P03/99