Adam W. Kolkiewicz: search on Z-Library

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1

Projection pursuit based tests of normality with functional data

Kolkiewicz, Adam, Rice, Gregory, Xie, Yijun

Journal:

Journal of Statistical Planning and Inference

Year:

2021

File:

PDF, 2.23 MB

2021

2

Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products

Boyle, Phelim P., Kolkiewicz, Adam W., Tan, Ken Seng

Journal:

North American Actuarial Journal

Year:

2001

Language:

english

File:

PDF, 381 KB

english, 2001

3

On Suboptimality of Delta Hedging for Asian Options

Kolkiewicz, Adam W.

Journal:

SIAM Journal on Financial Mathematics

Year:

2015

Language:

english

File:

PDF, 360 KB

english, 2015

4

Discrete Time Ruin Probability for Takaful (Islamic Insurance) with Investment and Qard-Hasan (Benevolent Loan) Activities

Puspita, Dila, Kolkiewicz, Adam, Tan, Ken Seng

Journal:

Journal of Risk and Financial Management

Year:

2020

File:

PDF, 723 KB

2020

5

Pricing Bermudan options using low-discrepancy mesh methods

BOYLE, PHELIM P., KOLKIEWICZ, ADAM W., TAN, KEN SENG

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 535 KB

english, 2013

6

The impacts of financial crisis on sovereign credit risk analysis in Asia and Europe

Zhang, Min, Kolkiewicz, Adam W., Wirjanto, Tony S., Li, Xindan

Journal:

International Journal of Financial Engineering

Year:

2015

Language:

english

File:

PDF, 644 KB

english, 2015

7

An improved simulation method for pricing high-dimensional American derivatives

Phelim P. Boyle, Adam W. Kolkiewicz, Ken Seng Tan

Journal:

Mathematics and Computers in Simulation

Year:

2003

Language:

english

File:

PDF, 85 KB

english, 2003

8

Best Monotone M-Estimators

Adam W. Kolkiewicz

Journal:

Canadian Journal of Statistics

Year:

2003

Language:

english

File:

PDF, 1.18 MB

english, 2003

9

Semi-Static Hedging for GMWB in Variable Annuities

Kolkiewicz, Adam, Liu, Yan

Journal:

North American Actuarial Journal

Year:

2012

Language:

english

File:

PDF, 676 KB

english, 2012

10

Efficient Monte Carlo simulation for integral functionals of Brownian motion

Kolkiewicz, Adam W.

Journal:

Journal of Complexity

Year:

2014

Language:

english

File:

PDF, 583 KB

english, 2014

11

Selected Proceedings of the Symposium on Estimating Functions || Fitting Diffusion Models in Finance

Don L. McLeish and Adam W. Kolkiewicz

Journal:

IMS Lecture Notes--Monograph Series

Year:

1997

Language:

english

File:

PDF, 1.95 MB

english, 1997

12

Computation of Multivariate Barrier Crossing Probability and its Applications in Credit Risk Models

Huh, Joonghee, Kolkiewicz, Adam

Journal:

North American Actuarial Journal

Year:

2008

Language:

english

File:

PDF, 384 KB

english, 2008

13

Volatility Risk For Regime-Switching Models

Kolkiewicz, Adam W., Tan, Ken Seng

Journal:

North American Actuarial Journal

Year:

2004

Language:

english

File:

PDF, 475 KB

english, 2004

14

A parallel quasi-Monte Carlo approach to pricing multidimensional American options

Wan, Justin W.L., Lai, Kevin, Kolkiewicz, Adam W., Tan, Ken Seng

Journal:

International Journal of High Performance Computing and Networking

Year:

2006

Language:

english

File:

PDF, 298 KB

english, 2006

15

Sampling-based Inference of Time Deformation Models with Heavy Tail Distributions

Men, Zhongxian, Wirjanto, Tony S., Kolkiewicz, Adam W.

Journal:

Communications in Statistics - Simulation and Computation

Year:

2014

Language:

english

File:

PDF, 1.74 MB

english, 2014

16

Bayesian inference of asymmetric stochastic conditional duration models

Men, Zhongxian, Kolkiewicz, Adam W., Wirjanto, Tony S.

Journal:

Journal of Statistical Computation and Simulation

Year:

2016

Language:

english

File:

PDF, 1.43 MB

english, 2016

17

Bayesian Analysis of a Threshold Stochastic Volatility Model

Wirjanto, Tony S., Kolkiewicz, Adam W., Men, Zhongxian

Journal:

Journal of Forecasting

Year:

2016

Language:

english

File:

PDF, 1010 KB

english, 2016

18

Bayesian Analysis of Asymmetric Stochastic Conditional Duration Model

Men, Zhongxian, Kolkiewicz, Adam W., Wirjanto, Tony S.

Journal:

Journal of Forecasting

Year:

2015

Language:

english

File:

PDF, 2.17 MB

english, 2015

19

EFFICIENT HEDGING OF PATH–DEPENDENT OPTIONS

KOLKIEWICZ, ADAM W.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2016

Language:

english

File:

PDF, 500 KB

english, 2016

20

Comparison of asymmetric stochastic volatility models under different correlation structures

Men, Zhongxian, McLeish, Don, Kolkiewicz, Adam W., Wirjanto, Tony S.

Journal:

Journal of Applied Statistics

Year:

2016

Language:

english

File:

PDF, 1.66 MB

english, 2016

21

A MULTISCALE STOCHASTIC CONDITIONAL DURATION MODEL

MEN, ZHONGXIAN, WIRJANTO, TONY S., KOLKIEWICZ, ADAM W.

Journal:

Annals of Financial Economics

Year:

2016

Language:

english

File:

PDF, 1.86 MB

english, 2016

22

Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes

Kolkiewicz, Adam W., Lin, Fangyuan Sally

Journal:

North American Actuarial Journal

Year:

2017

Language:

english

File:

PDF, 634 KB

english, 2017

23

Threshold Stochastic Conditional Duration Model for Financial Transaction Data

Men, Zhongxian, Kolkiewicz, Adam W., Wirjanto, Tony S.

Journal:

Journal of Risk and Financial Management

Year:

2019

Language:

english

File:

PDF, 2.80 MB

english, 2019