Most significant publications
- Damian Jelito, Marcin Pitera, Łukasz Stettner, Long-Run Risk-Sensitive Impulse Control, SIAM Journal on Control and Optimization 58(4) (2020), 2446–2468
- Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera, A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time, Mathematics of Operations Research 43, Issue 1 (2018), 204-221
- Marcin Pitera, Łukasz Stettner, Long run risk sensitive portfolio with general factors, Mathematical Methods of Operations Research 83, Issue 2 (2016), 265-293
- Piotr Jaworski, Marcin Pitera, The 20-60-20 Rule, Discrete and Continuous Dynamical Systems - Series B 21, Issue 4 (2016), 1149-1166
Recent publications
- Damian Jelito, Marcin Pitera, Piotr Jaworski, A note on the equivalence between the conditional uncorrelation and the independence of random variables, Electronic Journal of Statistics 18 (2024), 653-673
- Kewin Pączek, Damian Jelito, Marcin Pitera, Agnieszka Wyłomańska, Estimation of stability index for symmetric α-stable distribution using quantile conditional variance ratios, Test 33 (2024), 297-334
- Marcin Pitera, Łukasz Stettner, Discrete-time risk sensitive portfolio optimization with proportional transaction costs, Mathematical Finance 33 (4) (2023), 1287-1313
- Katarzyna Maraj-Zygmąt, Grzegorz Sikora, Marcin Pitera, Agnieszka Wyłomańska, Goodness-of-fit test for stochastic processes using even empirical moments statistic, Chaos 33 (2023), 20
- Marcin Pitera, Thorsten Schmidt, Estimating and backtesting risk under heavy tails, Insurance: Mathematics and Economics 104 (2022), 1-15
Interests
1) Financial Mathematics, Stochastic Control, Probability Theory and Statistics.
4) Stochastic control in discrete time, Markov decision processes, long-run optimal control
2) Risk quantification and estimation, dynamic risk measures, time-consistency, risk sensitive control.
3) Portfolio optimisation, RAROC, Robust optimisation.
5) Copula functions (dependence modelling), spatial contagion.
Marcin Pitera
academic degree/title Doctor of Philosophy (PhD) position- Department of Financial Mathematics
- Institute of Mathematics