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Dr Jan Palczewski

Associate Professor in Financial Mathematics
Financial Mathematics

Contact details

Room: 8.15
Tel: +44 (0)113 3435180
Email: J.Palczewski @ leeds.ac.uk

Research interests

Markov processes: ergodicity, optimal control theory, incomplete information (filtering); portfolio optimization; inference for continuous-time stochastic processes; estimation and control for energy markets

Useful links

My personal webpage

Current postgraduate students

Alessandro Balata (2015)
Lloyd Davies (2013)
Zeyu He (2013)
Samuel Sheen (2016)

Publications

Moriarty J, Palczewski J Real option valuation for reserve capacity European Journal of Operational Research, 257, 251-260, 2017
DOI:10.1016/j.ejor.2016.07.003
View abstract

Palczewski J, Stettner L Impulse control maximizing average cost per unit time: A nonuniformly ergodic case SIAM Journal on Control and Optimization, 55, 936-960, 2017
DOI:10.1137/16M1085991
View abstract

Palczewski J, Schenk-Hoppé KR, Wang T Itchy feet vs cool heads: Flow of funds in an agent-based financial market Journal of Economic Dynamics and Control, 63, 53-68, 2016
DOI:10.1016/j.jedc.2015.12.002
View abstract

Miasojedow B, Niemiro W, Palczewski J, Rejchel W Asymptotics of Monte Carlo maximum likelihood estimators Probability and Mathematical Statistics, 36, 295-310, 2016
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Ladley D, Lensberg T, Palczewski J, Schenk-Hoppé KR Fragmentation and stability of markets Journal of Economic Behavior and Organization, 119, 466-481, 2015
DOI:10.1016/j.jebo.2015.09.013
View abstract

Miasojedow B, Niemiro W, Miasojedow B, Palczewski J, Rejchel W Adaptive monte carlo maximum likelihood In Challenges in Computational Statistics and Data Mining, 605, 247-270, 2015
DOI:10.1007/978-3-319-18781-5_14
View abstract

Palczewski J, Poulsen R, Schenk-Hoppé KR, Wang H Dynamic portfolio optimization with transaction costs and state-dependent drift European Journal of Operational Research, 243, 921-931, 2015
DOI:10.1016/j.ejor.2014.12.040
View abstract

Palczewski J, Stettner L Infinite horizon stopping problems with (nearly) total reward criteria Stochastic Processes and their Applications, 124, 3887-3920, 2014
DOI:10.1016/j.spa.2014.07.009
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Palczewski A, Palczewski J Theoretical and empirical estimates of mean-variance portfolio sensitivity European Journal of Operational Research, 234, 402-410, 2014
DOI:10.1016/j.ejor.2013.04.018
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Aivaliotis G, Palczewski J Investment strategies and compensation of a mean-variance optimizing fund manager European Journal of Operational Research, 234, 561-570, 2014
DOI:10.1016/j.ejor.2013.04.038
View abstract

Palczewska AM, Palczewski J, Marchese Robinson R, Neagu D Interpreting random forest classification models using a feature contribution method In Integration of Reusable Systems, 263, 193-218, 2014
DOI:10.1007/978-3-319-04717-1_9
View abstract

Palczewska A; Palczewski J; Robinson RM; Neagu D Interpreting random forest models using a feature contribution methodInformation Reuse and Integration (IRI), 2013 IEEE 14th International Conference on, 112-119-112-119 2013
DOI:10.1109/IRI.2013.6642461
View abstract

Palczewski J, Stettner L Stopping of functionals with discontinuity at the boundary of an open set Stochastic Processes and their Applications, 121, 2361-2392, 2011
DOI:10.1016/j.spa.2011.05.013
View abstract

Palczewski J, Schenk-Hoppe KR From discrete to continuous time evolutionary finance models J ECON DYN CONTROL, 34, 913-931, 2010
DOI:10.1016/j.jedc.2009.12.005

Palczewski J, Schenk-Hoppe KR Market selection of constant proportions investment strategies in continuous time J MATH ECON, 46, 248-266, 2010
DOI:10.1016/j.jmateco.2009.11.011

Palczewski J, Stettner L Finite horizon optimal stopping of time-discontinuous functionals with applications to impulse control with delay SIAM Journal on Control and Optimization, 48, 4874-4909, 2010
DOI:10.1137/080737848
View abstract

Palczewski J, Schenk-Hoppe KR Market Selection of Self-financing Strategies in Continuous Time Journal of Mathematical Economics, 42, 248-266, 2010
DOI:10.1016/j.jmateco.2009.11.011

Palczewski J, Stettner L Growth-optimal portfolios under transaction costs Applicationes Mathematicae (Warsaw), 35, 1-31, 2008
DOI:10.4064/am35-1-1
View abstract

Palczewski J, Stettner L Impulsive control of portfolios Applied Mathematics and Optimization, 56, 67-103, 2007
DOI:10.1007/s00245-007-0880-y
View abstract

Palczewski J, Stettner L Maximization of the portfolio growth rate under fixed and proportional transaction costs Communications in Information and Systems, 7, 31-58, 2007
DOI:10.4310/CIS.2007.v7.n1.a3
View abstract

Palczewski J, Zabczyk J Portfolio diversification with Markovian prices Probability and Mathematical Statistics, 25, 75-95, 2005
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Palczewski J Arbitrage and pricing in a general model with flows Applicationes Mathematicae, 30, 413-440, 2003
DOI:10.4064/am30-4-4

Gonzalez J, Moriarty J, Palczewski J Bayesian calibration and number of jump components in electricity spot price models Energy Economics
DOI:10.1016/j.eneco.2017.04.022
View abstract