Zbigniew Palmowski
Wrocław University of Science and Technology
Prof. Zbigniew Palmowski is a leading researcher in Applied Probability. He focuses in his research on solving theoretical questions regarding exit times of stochastic processes from some sets and applying these results in ruin theory, financial mathematics, optimisation and queuing theories. He as an author over 100 publications. He has been the leading scientist on a number of Ministry of Science and Higher Education, National Science Centre grants in Poland as well as on 4 international grants. He has given numerous presentations at international conferences and invited seminars at universities across Europe, Asia, USA, Canada, Mexico, South America, Africa and in Australia. He has supervised several PhD students. He was the Associate Editor of Stochastic Processes and their Applications, Journal of Applied Probability, Advances in Applied Probability and serves on editorial boards of European Actuarial Journal, Stochastic Models, JFRM, Risks, and Applicationes Mathematicae. In 2013 he derived from Polish Mathematical Society the Hugo Steinhaus Prize for series of papers concerning applications of Lévy processes theory in actuarial science. He also derived award of the Polish Minister of Education and Science for significant scientific achievements and scientific Hugo Steinhaus award given by Wrocław University of Science Technology. He has been a co-organizer of few conferences in Poland and abroad. Being a postdoc at Eurandom, Eindhoven (the Netherlands) he cooperated with Philips within the project PELICAN and with OCE Xerox Venlo. He also participated in a number of projects run with Polish banks and insurance companies.
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Articles by Zbigniew Palmowski
Pricing time-capped American options using a least squares Monte Carlo method
This paper uses a modified least squares Monte Carlo method to price time-capped American options.