Number one in the UK and eighth in the world in the Times Higher Education rankings of universities under 50 years old

Supporter of LMS Good Practice Award

Publications

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Filters: Author is Zastawniak, Tomasz  [Clear All Filters]
2012
Roux A, Zastawniak T, Zhang N.  2012.  Parallel Binomial American Option Pricing under Proportional Transaction Costs. Applied Mathematics. 3(11)
Capinski MJ, Zastawniak T.  2012.  Numerical Methods in Finance with C++. Mastering Mathematical Finance.
2011
Roux A, Tien C-Y, Zastawniak T.  2011.  Derivative Securities in Markets with Bid-Ask Spreads. Global and Stochastic Analysis. 1(2):35. Abstract
Roux A, Zastawniak T.  2011.  American and Bermudan options in currency markets under proportional transaction costs. Finance and Stochastics. Abstract
Capinski M, Zastawniak T.  2011.  Mathematics for Finance. An Introduction to Financial Engineering, 2nd edition.
Roux A, Zastawniak T, Zhang N.  2011.  Parallel binomial valuation of American options with proportional transaction costs. Advanced Parallel Processing Technology Symposium, Shanghai, China, September 2011. 6965:88--97.
2009
Roux A, Zastawniak T.  2009.  American options under proportional transaction costs: Pricing, hedging and stopping algorithms for long and short positions. Acta Applicandae Mathematicae. 106:199-228. Abstract
Capinski M, Zastawniak T.  2009.  Mathematics for Finance. An Introduction to Financial Engineering (translation into Mandarin Chinese).
2008
Roux A, Tokarz K, Zastawniak T.  2008.  Options under proportional transaction costs: An algorithmic approach to pricing and hedging. Acta Applicandae Mathematicae. 103:201-209. Abstract
Haranczyk G, Slomczynski W, Zastawniak T.  2008.  Relative and Discrete Utility Maximising Entropy. Open Systems and Information Dynamics. 15(4)
2006
Roux A, Zastawniak T.  2006.  American options under proportional transaction costs: seller's price algorithm, hedging strategy and optimal stopping.
Roux A, Zastawniak T.  2006.  A counter-example to an option pricing formula under transaction costs. Finance and Stochastics. 10:575-578. Abstract
Tokarz K, Zastawniak T.  2006.  American contingent claims under small proportional transaction costs. Journal of Mathematical Economics. 43:65-85. Abstract
Slomczynski W, Zastawniak T, Zyczkowski K.  2006.  Physics for fairer voting. Physics World. 19:35-37.
2004
Zastawniak T.  2004.  American contingent claims with physical delivery under small proportional transaction costs.
Tokarz K, Zastawniak T.  2004.  Dynamic programming algorithms for the ask and bid prices of American options under small proportional transaction costs.
Slomczynski W, Zastawniak T.  2004.  Utility maximizing entropy and the second law of thermodynamics. The Annals of Probability. 32:2261-2285. Abstract
2003
Antonelli P, Zastawniak T.  2003.  Fundamentals of Finslerian diffusion with applications. Handbook of Finsler Geometry. 1:177-355.
Capinski M, Zastawniak T.  2003.  Mathematics for Finance. An Introduction to Financial Engineering.
2001
Capinski M, Zastawniak T.  2001.  Probability Through Problems.
Truman A, Zastawniak T.  2001.  Stochastic Mehler kernels via oscillatory path integrals. J. Korean Math. Soc.. 38:469-483. Abstract

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