Marcin Magdziarz

Publication Activity (10 Years)

Years Active: 2008-2021
Publications (10 Years): 11

Top Topics

Finite Difference Method

Ornstein Uhlenbeck

Black Scholes Model

Top Venues

Commun. Nonlinear Sci. Numer. Simul.

Comput. Math. Appl.

Publications

Michal Balcerek, Grzegorz Krzyzanowski, Marcin Magdziarz
About subordinated generalizations of 3 classical models of option pricing. CoRR (2021)
Grzegorz Krzyzanowski, Marcin Magdziarz
A tempered subdiffusive Black-Scholes model. CoRR (2021)
Grzegorz Krzyzanowski, Marcin Magdziarz
A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model. Commun. Nonlinear Sci. Numer. Simul. 96 (2021)
Grzegorz Krzyzanowski, Marcin Magdziarz, Lukasz Plociniczak
A weighted finite difference method for subdiffusive Black-Scholes model. Comput. Math. Appl. 80 (5) (2020)
Marcin Magdziarz
Lamperti transformation of scaled Brownian motion and related Langevin equations. Commun. Nonlinear Sci. Numer. Simul. 83 (2020)
Grzegorz Krzyzanowski, Marcin Magdziarz
A weighted finite difference method for American and Barrier options in subdiffusive Black-Scholes Model. CoRR (2020)
Grzegorz Krzyzanowski, Marcin Magdziarz, Lukasz Plociniczak
A weighted finite difference method for subdiffusive Black Scholes Model. CoRR (2019)
Marcin Magdziarz, Tomasz Zorawik
Lamperti transformation - Cure for ergodicity breaking. Commun. Nonlinear Sci. Numer. Simul. 71 (2019)
Marcin Magdziarz, Wladyslaw Szczotka
Diffusion limit of Lévy-Lorentz gas is Brownian motion. Commun. Nonlinear Sci. Numer. Simul. 60 (2018)
Marcin Magdziarz, Tomasz Zorawik
Method of calculating densities for isotropic ballistic Lévy walks. Commun. Nonlinear Sci. Numer. Simul. 48 (2017)
Marcin Magdziarz, Wladyslaw Szczotka
Quenched trap model for Lévy flights. Commun. Nonlinear Sci. Numer. Simul. 30 (Issues) (2016)
Marcin Magdziarz, Marek Teuerle
Asymptotic properties and numerical simulation of multidimensional Lévy walks. Commun. Nonlinear Sci. Numer. Simul. 20 (2) (2015)
Krzysztof Burnecki, Aleksander Weron, Joseph Klafter, Marcin Magdziarz
From solar flare time series to fractional dynamics. VALUETOOLS (2008)
Marcin Magdziarz, Aleksander Weron
Stochastic representations of anomalous diffusion processes: subordination approach. VALUETOOLS (2008)