My recent Ph.D. students:

  • dr Agnieszka Szymańska - Liability hedging for the risk of interest-rate fluctuations: semi-deterministic and stochastic approach, Warsaw School of Economics 2007.
  • dr Mariusz Baryło - Stochastic particle systems, University of Warsaw 2009.
  • mgr Michał Legumina.

Master and bachelor thesis writen in last years under my supervision:

  • Chaos propagation in particle systems.
  • Analysis of market volatility in the Levy model.
  • Calibration of the BGM model.
  • Minimizing shortfall risk in portfolio optimization.
  • Optimization in bond portfolio.
  • On valuation of certain mortgage options.
  • On certain stochastic term structure models.
  • Credit risk models.
  • Calibration of the HJM model to Polish bond market.
  • On Levy models of financial markets.
  • Random walk as a method of construction of a harmonic function in a convex compact set with a smooth boundary.
© Andrzej Palczewski