Marcin Magdziarz

According to our database, Marcin Magdziarz authored at least 13 papers between 2008 and 2021.

Collaborative distances:

• Dijkstra number of six.
• Erdős number of five.

2021

A tempered subdiffusive Black-Scholes model.

Grzegorz Krzyzanowski, Marcin Magdziarz

CoRR, 2021

About subordinated generalizations of 3 classical models of option pricing.

Michal Balcerek, Grzegorz Krzyzanowski, Marcin Magdziarz

CoRR, 2021

A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model.

Grzegorz Krzyzanowski, Marcin Magdziarz

Commun. Nonlinear Sci. Numer. Simul., 2021

2020

A weighted finite difference method for American and Barrier options in subdiffusive Black-Scholes Model.

Grzegorz Krzyzanowski, Marcin Magdziarz

CoRR, 2020

Lamperti transformation of scaled Brownian motion and related Langevin equations.

Marcin Magdziarz

Commun. Nonlinear Sci. Numer. Simul., 2020

A weighted finite difference method for subdiffusive Black-Scholes model.

Grzegorz Krzyzanowski, Marcin Magdziarz, Lukasz Plociniczak

Comput. Math. Appl., 2020

2019

Lamperti transformation - Cure for ergodicity breaking.

Marcin Magdziarz, Tomasz Zorawik

Commun. Nonlinear Sci. Numer. Simul., 2019

2018

Diffusion limit of Lévy-Lorentz gas is Brownian motion.

Marcin Magdziarz, Wladyslaw Szczotka

Commun. Nonlinear Sci. Numer. Simul., 2018

2017

Method of calculating densities for isotropic ballistic Lévy walks.

Marcin Magdziarz, Tomasz Zorawik

Commun. Nonlinear Sci. Numer. Simul., 2017

2016

Quenched trap model for Lévy flights.

Marcin Magdziarz, Wladyslaw Szczotka

Commun. Nonlinear Sci. Numer. Simul., 2016

2015

Asymptotic properties and numerical simulation of multidimensional Lévy walks.

Marcin Magdziarz, Marek Teuerle

Commun. Nonlinear Sci. Numer. Simul., 2015

2008

Stochastic representations of anomalous diffusion processes: subordination approach.

Marcin Magdziarz, Aleksander Weron

Proceedings of the 3rd International ICST Conference on Performance Evaluation Methodologies and Tools, 2008

From solar flare time series to fractional dynamics.

Krzysztof Burnecki, Aleksander Weron, Joseph Klafter, Marcin Magdziarz

Proceedings of the 3rd International ICST Conference on Performance Evaluation Methodologies and Tools, 2008