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Marcin Magdziarz

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This is information that was supplied by Marcin Magdziarz in registering through RePEc. If you are Marcin Magdziarz , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Marcin
Middle Name:
Last Name: Magdziarz
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RePEc Short-ID: pma1718

Email:
Homepage: http://www.im.pwr.wroc.pl/~magdziar/
Postal Address:
Phone:

Affiliation

Hugo Steinhaus Center for Stochastic Methods
Politechnika Wrocławska
Location: Wrocław, Poland
Homepage: http://www.im.pwr.wroc.pl/~hugo/
Email:
Phone: +48-71-3203530
Fax: +48-71-3202654
Postal: Wybrzeze Wyspianskiego 27, 50-370 Wroclaw
Handle: RePEc:edi:hspwrpl (more details at EDIRC)

Works

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Working papers

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

Articles

  1. Magdziarz, Marcin, 2009. "Stochastic representation of subdiffusion processes with time-dependent drift," Stochastic Processes and their Applications, Elsevier, 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, Elsevier, vol. 119(10), pages 3416-3434, October.

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