Marcin Magdziarz

14 papers Journal 12Unranked 2
YearRankTypeTitle / Venue / Authors
2021 J jnl
A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model.
Commun. Nonlinear Sci. Numer. Simul.
Grzegorz Krzyzanowski, Marcin Magdziarz
2021 J jnl
A tempered subdiffusive Black-Scholes model.
CoRR
Grzegorz Krzyzanowski, Marcin Magdziarz
2021 J jnl
About subordinated generalizations of 3 classical models of option pricing.
CoRR
Michal Balcerek, Grzegorz Krzyzanowski, Marcin Magdziarz
2020 J jnl
A weighted finite difference method for American and Barrier options in subdiffusive Black-Scholes Model.
CoRR
Grzegorz Krzyzanowski, Marcin Magdziarz
2020 J jnl
A weighted finite difference method for subdiffusive Black-Scholes model.
Comput. Math. Appl.
Grzegorz Krzyzanowski, Marcin Magdziarz, Lukasz Plociniczak
2020 J jnl
Lamperti transformation of scaled Brownian motion and related Langevin equations.
Commun. Nonlinear Sci. Numer. Simul.
Marcin Magdziarz
2019 J jnl
A weighted finite difference method for subdiffusive Black Scholes Model.
CoRR
Grzegorz Krzyzanowski, Marcin Magdziarz, Lukasz Plociniczak
2019 J jnl
Lamperti transformation - Cure for ergodicity breaking.
Commun. Nonlinear Sci. Numer. Simul.
Marcin Magdziarz, Tomasz Zorawik
2018 J jnl
Diffusion limit of Lévy-Lorentz gas is Brownian motion.
Commun. Nonlinear Sci. Numer. Simul.
Marcin Magdziarz, Wladyslaw Szczotka
2017 J jnl
Method of calculating densities for isotropic ballistic Lévy walks.
Commun. Nonlinear Sci. Numer. Simul.
Marcin Magdziarz, Tomasz Zorawik
2016 J jnl
Quenched trap model for Lévy flights.
Commun. Nonlinear Sci. Numer. Simul.
Marcin Magdziarz, Wladyslaw Szczotka
2015 J jnl
Asymptotic properties and numerical simulation of multidimensional Lévy walks.
Commun. Nonlinear Sci. Numer. Simul.
Marcin Magdziarz, Marek Teuerle
2008 — conf
From solar flare time series to fractional dynamics.
VALUETOOLS
Krzysztof Burnecki, Aleksander Weron, Joseph Klafter, Marcin Magdziarz
2008 — conf
Stochastic representations of anomalous diffusion processes: subordination approach.
VALUETOOLS
Marcin Magdziarz, Aleksander Weron