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Publications:

Software:

Standalone applications and Matlab toolboxes (including student projects)

Books

Post-PhD (4+), Pre-PhD (0)

R.Weron (2006) Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach, Wiley, Chichester + CD-ROM.

Pre-publication limited edition released in January 2006 as: Modeling and Forecasting Loads and Prices in Deregulated Electricity Markets, ARE, Warszawa.

"Dr. Weron's book provides an in-depth, up-to-date and very well organized review (...) and is highly recommended to any practitioner of the modern electricity markets" - V. Kaminski [from back cover]
P.Cizek, W.Härdle, R.Weron, eds. (2005) Statistical Tools for Finance and Insurance, Springer-Verlag, Berlin.
See also: html e-book version.

Volume II forthcoming in 2009/2010 with codes in Matlab and R.

"The book (...) is worth having for the range of topics and the references alone" - N.H.Bingham [Full text]
A. Weron, R. Weron (2000) Giełda Energii: Strategie zarządzania ryzykiem [Power Exchange: Risk management strategies], CIRE, Wrocław.

A. Weron, R. Weron (1998, 1999, 2005, 2009) Inżynieria finansowa: Wycena instrumentów pochodnych, Symulacje komputerowe, Statystyka rynku [Financial Engineering: Derivatives pricing, Computer simulations, Market statistics], WNT, Warszawa ( English summary).

Special Award for the best academic book in the area of finance, 5th Fair of the Academic Book ATENA'98.

Journal articles (*)

2010 (0+), 2009 (4), 2008 (4), 2007 (1), 2006 (3), 2005 (1), 2004 (6), 2003 (1), 2002 (4), 2001 (4), 2000 (8), 1999 (5), Pre-PhD (2)

  1. T. Czarnik, R. Gawda, W. Kołodziej, D. Łątka, K. Sznajd-Weron, R. Weron (2009) Associations between intracranial pressure, intraocular pressure and mean arterial pressure in patients with traumatic and non-traumatic brain injuries, Injury 40, 33-39. Full text PDF (260 KB)
  2. T. Czarnik, R. Gawda, T. Perkowski, R. Weron (2009) Supraclavicular approach is an easy and safe method of subclavian vein catheterization even in mechanically ventilated patients, Anesthesiology 111, 334-339. Full text PDF (330 KB)
  3. R. Weron (2009) Heavy-tails and regime-switching in electricity prices, Mathematical Methods of Operations Research 69(3), 457-473. Online First (2008) doi: 10.1007/s00186-008-0247-4. Available at MPRA: http://mpra.ub.uni-muenchen.de/10424/ Full text PDF (1.1 MB)
  4. P. Zielonka, P. Sawicki, R. Weron (2009) Rzecz o dyskontowaniu odroczonych wypłat [Discounting of delayed payoffs], Decyzje 11, 49-70. Full text PDF (170 KB)

  5. S. Borak, R. Weron (2008) A semiparametric factor model for electricity forward curve dynamics, Journal of Energy Markets 1(3), 3-16. Available at MPRA: http://mpra.ub.uni-muenchen.de/10421/ Full text PDF (1.1 MB)
  6. K. Sznajd-Weron, R. Weron, M. Włoszczowska (2008) Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland, Journal of Statistical Mechanics P11018 (doi: 10.1088/1742-5468/2008/11/P11018). Available at MPRA: http://mpra.ub.uni-muenchen.de/10422/ Full text PDF (760 KB)
  7. R. Weron (2008) Market price of risk implied by Asian-style electricity options and futures, Energy Economics 30, 1098-1115 (doi:10.1016/j.eneco.2007.05.004). Full text PDF (930 KB), Matlab codes ZIP (55 KB)
  8. R. Weron, A. Misiorek (2008) Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models, International Journal of Forecasting 24, 744-763 (doi:10.1016/j.ijforecast.2008.08.004). Available at MPRA: http://mpra.ub.uni-muenchen.de/10428/ Full text PDF (920 KB)

  9. T. Czarnik, R. Gawda, D. Łątka, W. Kołodziej, K. Sznajd-Weron, R. Weron (2007) Noninvasive measurement of intracranial pressure: Is it possible?, The Journal of Trauma: Injury, Infection and Critical Care 62(1), 207-211. Full text PDF (380 KB)

  10. A. Chernobai, K. Burnecki, S.T. Rachev, S. Trück, R. Weron (2006) Modelling catastrophe claims with left-truncated severity distributions, Computational Statistics 21(3-4); 537-555. Full text PDF (230 KB)
  11. A. Misiorek, S. Trück, R. Weron (2006) Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models, Studies in Nonlinear Dynamics and Econometrics 10(3), Article 2. Full text PDF (610 KB), Original SNDE Full text (PDF) and Software+Data (ZIP)
  12. A. Misiorek, R. Weron (2006) Zwiększenie dokładności prognoz ceny energii poprzez zastosowanie preprocessingu oraz modeli nieliniowych [Improving accuracy of electricity spot price forecasts by applying preprocessing and nonlinear time series models], Przegląd Elektrotechniczny LXXXII, vol. 9, 44-46. Full text PDF (490 KB)

  13. R. Weron, S. Wójcik (2005) Analiza składowych głównych w modelowaniu powierzchni implikowanej zmienności. Wprowadzenie [Principal components analysis in modeling implied volatility surfaces: An introduction], Rynek Terminowy 27, 103-108. Full text PDF (505 KB)

  14. E. Broszkiewicz-Suwaj, A. Makagon, R. Weron, A. Wyłomańska (2004) On detecting and modeling periodic correlation in financial data, Physica A 336, 196-205. Full text PDF (326 KB)
  15. A. Misiorek, R. Weron (2004)  Modelowanie sezonowości a prognozowanie zapotrzebowania na energię elektryczną [Modeling seasonality and electric load forecasting], Energetyka 12/2004, 794-799. Full text PDF (390 KB)
  16. S.T. Rachev, S. Trück, R. Weron (2004) Risikomanagement in Energiemärkten (Teil III): Fortgeschrittene Spotpreismodelle und VaR-Ansätze [Risk management in power markets (Part III): Advanced spot price models and VaR approaches], RISKNEWS 05/2004, 67-71. Full text PDF (2690 KB)
  17. S. Trück, R. Weron (2004) Risikomanagement in Energiemärkten (Teil I): Stromhandel in Deutschland und Besonderheiten des Energiemarktes [Risk management in power markets (Part I): Electricity trading in Germany and special market features], RISKNEWS 03/2004, 65-69. Full text PDF (2301 KB)
  18. S. Trück, R. Weron (2004) Risikomanagement in Energiemärkten (Teil II): Modellierung von Strompreisen [Risk management in power markets (Part II): Modeling of electricity prices], RISKNEWS 04/2004, 67-71. Full text PDF (2086 KB)
  19. R. Weron, M. Bierbrauer, S. Trück (2004) Modeling electricity prices: jump diffusion and regime switching, Physica A 336, 39-48. Full text PDF (237 KB)

  20. K. Sznajd-Weron, R. Weron (2003) How effective is advertising in duopoly markets?, Physica A 324, 437-444. Full text PDF (138 KB)

  21. J. Nowicka-Zagrajek, R. Weron (2002) Modeling electricity loads in California: ARMA models with hyperbolic noise, Signal Processing 82, 1903-1915. Full text PDF (284 KB)
  22. K. Sznajd-Weron, R.Weron (2002) A simple model of price formation, International Journal of Modern Physics C 13, 115-123. Full text PDF (288 KB)
  23. R. Weron (2002) Estimating long range dependence: finite sample properties and confidence intervals, Physica A 312, 285-299. Full text PDF (141 KB)
  24. R. Weron (2002) Pricing European options on instruments with a constant dividend yield: the randomized discrete-time approach, Probability and Mathematical Statistics 22.2, 417-430. Full text PDF (151 KB)

  25. J. Nowicka-Zagrajek, R. Weron (2001) Modelowanie cen i zapotrzebowania na energię elektryczną: szeregi czasowe z szumem hiperbolicznym [Modeling electricity loads and prices: time series models with hiperbolic noise], Rynek Terminowy 14 (4/01), 96-100.
  26. K. Sznajd-Weron, R. Weron (2001) A new model of mass extinctions, Physica A 293, 559-565. Full text PDF (121 KB)
  27. R. Weron (2001) Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime, International Journal of Modern Physics C 12 (2), 209-223. Full text PDF (413 KB)
  28. R. Weron, B. Kozłowska, J. Nowicka-Zagrajek (2001) Modeling electricity loads in California: a continuous-time approach, Physica A 299, 344-350. Full text PDF (150 KB)

  29. K. Burnecki, G. Kukla, R. Weron (2000) Property insurance loss distributions, Physica A 287, 269-278. Full text PDF (236 KB)
  30. A. Weron, R. Weron (2000) Fractal Market Hypothesis and two power-laws, Chaos, Solitons & Fractals 11, 289-296. Full text PDF (162 KB)
  31. A. Weron, R. Weron (2000) Zarządzanie ryzykiem na rynku energii elektrycznej [Risk management on the power market], Biuletyn Miesięczny PSE S.A. 5-6/00, 105-110.
  32. A. Weron, R. Weron (2000) Zmienność a ryzyko na rynku energii [Volatility and risk on the power market], Rynek Terminowy 10 (4/00), 68-70.
  33. R. Weron (2000) Energy price risk management, Physica A 285, 127-134. Full text PDF (212 KB)
  34. R. Weron (2000) Rynek terminowy energii i strategie zarządzania ryzykiem [Energy forward market and risk management strategies], Rynek Terminowy 7 (1/00), 27-36.
  35. R. Weron, B. Przybyłowicz (2000) Hurst analysis of electricity price dynamics, Physica A 283, 462-468. Full text PDF (151 KB)
  36. R. Weron, S. Staśkiewicz, P. Talar (2000) Zastosowanie VaR na rynku energii [Using VaR on the power market], Rynek Terminowy 9 (3/00), 66-69.

  37. T. Garlinski, R. Weron (1999) Krótka historia VOLAX-u - czyli jak próbowano handlować implikowaną zmiennością [A short history of the VOLAX - or how we tried to trade implied volatility], Rynek Terminowy 6 (4/99), 52-56.
  38. Sz. Mercik, R. Weron (1999) Scalling in currency exchange: A Conditionally Exponential Decay approach, Physica A 267, 239-250. Full text PDF (169 KB)
  39. Z. Rachev, A. Weron, R. Weron (1999) CED model for asset returns and Fractal Market Hypothesis,  Mathematical and Computer Modelling 29, 23-36. Full text PDF (748 KB)
  40. A. Weron, Sz. Mercik, R. Weron (1999) Origins of the scaling behaviour in the dynamics of financial data, Physica A 264, 562-569. Full text PDF (147 KB)
  41. R. Weron, K. Weron, A. Weron (1999) A Conditionally Exponential Decay approach to scaling in finance, Physica A 264, 551-561. Full text PDF (113 KB)

  42. A. Rejman, A. Weron, R. Weron (1997) Some option pricing proposals: A comparison under the generalized hyperbolic model, Communications in Statistics - Stochastic Models 13, 867-885.
  43. R. Weron (1996) On the Chambers-Mallows-Stuck method for simulating skewed stable random variables, Statistics and Probability Letters 28, 165-171. Full text PDF (1.04 MB)

Book chapters

2010 (0+), 2009 (0), 2008 (1), 2007 (0), 2006 (1), 2005 (4), 2004 (2)

  1. K. Burnecki, R. Weron (2008) Visualization Tools for Insurance Risk Processes, in "Handbook of Data Visualization", eds. Ch. Chen, W. Härdle, A. Unwin, Springer, Berlin, 899-920. Full text PDF (1.2 MB)

  2. R. Weron, A. Misiorek (2006) Short-term Electricity Price Forecasting with Time Series Models: A Review and Evaluation, in "Complex Electricity Markets", ed. W. Mielczarski, SEP Łódź, 231-254. Full text PDF (670 KB)

  3. Sz. Borak, W. Härdle, R. Weron (2005) Stable distributions, in "Statistical Tools for Finance and Insurance", eds. P. Cizek, W. Härdle, R. Weron, Springer-Verlag, Berlin, 21-44.
  4. K. Burnecki, A. Misiorek, R. Weron (2005) Loss distributions, in "Statistical Tools for Finance and Insurance", eds. P. Cizek, W. Härdle, R. Weron, Springer-Verlag, Berlin, 289-317.
  5. K. Burnecki, R. Weron (2005) Modeling of the Risk Process, in "Statistical Tools for Finance and Insurance", eds. P. Cizek, W. Härdle, R. Weron, Springer-Verlag, Berlin, 319-339.
  6. R. Weron, U. Wystup (2005) Heston's model and the smile, in "Statistical Tools for Finance and Insurance", eds. P. Cizek, W. Härdle, R. Weron, Springer-Verlag, Berlin, 161-181.

  7. K. Burnecki, W. Härdle, R. Weron (2004) Simulation of risk processes, in "Encyclopedia of Actuarial Science", eds. J. Teugels, B. Sundt, Wiley, Chichester, 1564-1570. Full text PDF (2770 KB)
  8. R. Weron (2004) Computationally intensive Value at Risk calculations, in "Handbook of Computational Statistics: Concepts and Methods", eds. J.E. Gentle, W. Härdle, Y. Mori, Springer, Heidelberg, 911-950.

Conference papers

2010 (0+), 2009 (2), 2008 (1), 2007 (2), 2006 (3), 2005 (3), 2004 (7), 2003 (0), 2002 (1), 2001 (0), 2000 (4), 1999 (0), Pre-PhD (2)

  1. J. Janczura, R. Weron (2009) An empirical comparison of alternate regime-switching models for electricity spot prices, IEEE Conference Proceedings, 6th International Conference on the European Energy Market (EEM'09), 27-29 May 2009, Leuven, Belgium (doi 10.1109/EEM.2009.5207175). Full text PDF (200 KB)
  2. R. Weron (2009) Forecasting wholesale electricity prices: A review of time series models, in "Financial Markets: Principles of Modelling, Forecasting and Decision-Making", eds. W. Milo, P. Wdowiński, FindEcon Monograph Series, WUŁ, Łódź, 71-82. Available at MPRA: http://mpra.ub.uni-muenchen.de/21299/ Full text PDF (320 KB)

  3. R. Weron (2008) Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo [Power security: Risk > Risk management > Security], Materiały II Ogólnopolskiej Konferencji "Polska Elektroenergetyka - Realia, Problemy, Dylematy", Warszawa, 28 maja 2008. Dostępny na MPRA: http://mpra.ub.uni-muenchen.de/18786/ Full text PDF (510 KB)

  4. S. Trück, R. Weron, R. Wolff (2007) Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices, Bulletin of the International Statistical Institute 62, 1524 (Proceedings of the 56th Session, Invited Paper Meeting IPM71 "Statistics of risk aversion", Aug. 22-29, 2007, Lisbon, Portugal). Available at MPRA: http://mpra.ub.uni-muenchen.de/4711/ Full text PDF (640 KB).
  5. R. Weron, A. Misiorek (2007) Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts?, Prace Naukowe Akademii Ekonomicznej we Wrocławiu Nr 1076, 472-480. Available at MPRA: http://mpra.ub.uni-muenchen.de/2292/ Full text PDF (310 KB)

  6. A. Misiorek, R. Weron (2006) Interval forecasting of spot electricity prices, Proceedings of the International Conference "The European Electricity Market EEM-06", May 24-26, 2006, Warsaw, Poland, 305-312. Full text PDF (290 KB)
  7. R. Weron, A. Misiorek (2006) Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market, Proceedings of the Modern Electric Power Systems MEPS'06 International Symposium, September 6-8, 2006, Wrocław, Poland, 34-38. Available at MPRA: http://mpra.ub.uni-muenchen.de/1363/ Full text PDF (270 KB)
  8. R. Weron, I. Simonsen (2006) Blackouts, risk and fat-tailed distributions, in "Practical Fruits of Econophysics", ed. H. Takayasu, Springer, Tokyo, 215-219. Full text PDF (210 KB)

  9. A. Misiorek, R. Weron (2005) Prognozowanie spotowych cen energii elektrycznej z wykorzystaniem czynników fundamentalnych [Forecasting spot electricity prices using fundamental factors], Materiały konferencyjne REE'2005 (Kazimierz Dolny, 25-27 kwietnia 2005), vol. 2, 277-284.
  10. A. Misiorek, R. Weron (2005) Zastosowanie zmiennych zewnętrznych w celu zwiększenia dokładności prognoz zapotrzebowania na energię elektryczną [Application of external variables to increase accuracy of system load forecasts], "Aktualne Problemy w Elektroenergetyce" APE05 materiały konferencyjne (Jurata, 8-10 czerwca 2005).
  11. R. Weron, A. Misiorek (2005) Forecasting spot electricity prices with time series models, Proceedings of the International Conference "The European Electricity Market EEM-05", May 10-12, 2005, Łódź, Poland, 133-141. Full text PDF (335 KB)

  12. M. Bierbrauer, S. Trück, R. Weron (2004) Modeling Electricity Prices with Regime Switching Models, Lecture Notes in Computer Science 3039, 859-867. Full text PDF (172 KB)
  13. K. Burnecki, R. Weron (2004) Modeling the Risk Process in the XploRe Computing Environment, Lecture Notes in Computer Science 3039, 868-875. Full text PDF (216 KB)
  14. R. Weron (2004) Rynki energii elektrycznej w Polsce i na świecie [Power markets in Poland and worldwide], Prace Naukowe Akademii Ekonomicznej we Wrocławiu Nr 1037, 325-333. Full text PDF (320 KB)
  15. R. Weron (2004) Pricing derivatives in electricity markets: The market price of risk implied by Asian options, Proceedings of the International Conference "Stochastic Finance 2004" (Lisbon, Portugal, Sept. 26-30, 2004), Thematic Session 2, Paper 7.
  16. R. Weron, A. Misiorek (2004) Modeling and forecasting electricity loads: A comparison, International Conference "The European Electricity Market EEM-04" proceedings (Łódź, 20-22 września 2004), 135-142. Full text PDF (255 KB)
  17. R. Weron, I. Simonsen, P. Wilman (2004) Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market, in "The Application of Econophysics", ed. H. Takayasu, Springer, Tokyo, 182-191. Full text PDF (158 KB)
  18. R. Weron, S. Wójcik (2004) Analiza Składowych Głównych w modelowaniu implikowanej zmienności [Principal components analysis in implied volatility modeling], Prace Naukowe Akademii Ekonomicznej we Wrocławiu Nr 1037, 315-324. Full text PDF (380 KB)

  19. R. Weron (2002) Measuring long-range dependence in electricity prices, in "Empirical Science of Financial Fluctuations", ed. H. Takayasu, Springer, Tokyo, 110-119. Full text PDF (270 KB)

  20. J. Bujko, J. Malko, A. Weron, R. Weron (2000) Electricity market and tools for risk management in Poland: A case study, Conseil International des Grands Réseaux Électriques (CIGRE) International Conference (Paris, France, Aug. 27 - Sept. 2, 2000), Group 38: Power System Analysis and Techniques, 38-206.
  21. A. Weron, J. Malko, R. Weron (2000) Polish power sector transitioning to the energy market, "Towards an Integrated European Energy Market", Annual European Energy Conference (Bergen, Norway, Aug. 31 - Sept. 1, 2000).
  22. A. Weron, R. Weron (2000) CED model III: Scaling law for high-frequency financial data, The 20th International Seminar on Stability Problems for Stochastic Models (Lublin - Nałęczów, 5-11.09.1999), Theory of Probability and its Applications 45(4), 800-802.
  23. A. Weron, R. Weron (2000) Mechanizmy finansowe w elektroenergetyce: Rynek terminowy i strategie zarządzania ryzykiem [Financial mechanisms in the power sector: Forward market and risk management strategies], "Rynek Energii Elektrycznej: Rozwój i Harmonizacja Struktur", VII Konferencja Naukowo-Techniczna (Kazimierz Dolny, 27-28 kwietnia 2000), 79-90.

  24. W. Śliwa, R. Weron (1997) Program SPINE do diagnozowania wad postawy i krzywizn kręgosłupa dzieci i młodzieży [SPINE software for diagnosing posture defects and spinal cord curvatures in children and youth], IV Krajowa Konferencja KOWBAN (Świeradów Zdrój, 16-18 października 1997), 201-205.
  25. A. Weron, R. Weron (1995) Computer simulation of Levy stable variables and processes, Lecture Notes in Physics 457, 379-392, Springer-Verlag. Full text PDF (810 KB)

Popular and miscellaneous articles

Post-PhD (6+), Pre-PhD (1)

  1. R. Weron (2008) Korporacyjne spojrzenie na zarządzanie ryzykiem [A corporate view on risk management], Energetyka Cieplna i Zawodowa 4/2008, 46-48. Full text PDF (280 KB)
  2. R. Weron (2007) Hugo Steinhaus - matematyk, humanista i ... popularyzator sprawiedliwego podziału tortu [Hugo Steinhaus - a mathematician, a humanist and ... an advocate of fair division of a cake], Decyzje 6, 113-118. Full text PDF (65 KB)
  3. R. Weron (2003) Matematyka finansowa [Financial mathematics], Wielka Encyklopedia PWN, tom. 17, PWN, Warszawa, 124-125.
  4. M. Kozłowski, T. Piesiewicz, R. Weron (2001) Zarządzanie ryzykiem finansowym: Symulator Rynku Instrumentów Pochodnych [Managing financial risk: Derivatives market simulator], Rynek Terminowy 13 (3/01), 31-34.
  5. A. Weron, R. Weron (2000) Programy do zarządzania ryzykiem: EPRI Electricity Book v. 0.75.1 [Risk management software: EPRI Electricity Book v. 0.75.1], Biuletyn Miesięczny PSE S.A. 4/00, 11-24.
  6. T. Garlinski, R. Weron (1999) Eurex - giełda przyszłości [Eurex - the exchange of the future], Rynek Terminowy 5 (3/99), 81-86.

  7. A. Weron, R. Weron (1996) Fischer Black i matematyka finansowa [Fisher Black and financial mathematics], Wiadomości Matematyczne 32, 51-74.

Forthcoming and submitted publications

  1. J. Janczura, R. Weron (2010) An empirical comparison of alternate regime-switching models for electricity spot prices, Energy Economics, under review. Available at MPRA: http://mpra.ub.uni-muenchen.de/20661/
  2. S. Trück, Sz. Borak, W. Härdle, R. Weron (2009) Convenience yields for CO2 emission allowance futures contracts, Energy Economics, revisions requested.

Theses

Research reports

2010-2006 (1+), 2005-1999 (10), Pre-PhD (4)

  1. Sz. Borak, W. Härdle, S. Trück, R.Weron (2006) Convenience yields for CO2 emission allowance futures contracts, SFB 649 Discussion Paper 2006-076.

  2. Sz. Borak, W. Härdle, R.Weron (2005) Stable distributions, SFB 649 Discussion Paper 2005-008.
  3. A.Chernobai, K.Burnecki, S.Rachev, S.Trück, R.Weron (2005) Modelling catastrophe claims with left-truncated severity distributions (extended version), Research Report HSC/05/1, Wroclaw University of Technology. Available at MPRA: http://mpra.ub.uni-muenchen.de/10423/. Also available as Universität Karlsruhe Technical Reports and UCSB Technical Reports. Full text PDF (385 KB).
  4. R. Weron (2005) Heavy tails and electricity prices, Research Report HSC/05/2, Wroclaw University of Technology. Invited paper presented at the Deutsche Bundesbank's 2005 Annual Fall Conference (Eltville, 10-12 November 2005). Full text PDF (710 KB)
  5. I. Simonsen, R. Weron, B. Mo (2004) Structure and stylized facts of a deregulated power market. Paper presented at the 1st Bonzenfreies Colloquium on Market Dynamics and Quantitative Economics, September 9-10, 2004, Alessandria, Italy. Available at MPRA: http://mpra.ub.uni-muenchen.de/1443/ Full text PDF (903 KB)
  6. R.Weron (2004) Rynki energii elektrycznej w Polsce i na świecie [Power markets in Poland and worldwide], Research Report HSC/04/2, Wroclaw University of Technology. Full text PDF (320 KB)
  7. R.Weron, S. Wójcik (2004) Analiza składowych głównych w modelowaniu implikowanej zmienności [Principal components analysis in implied volatility modeling], Research Report HSC/04/3, Wroclaw University of Technology. Full text PDF (380 KB)
  8. R.Weron (2003) Pricing Asian options in the Nord Pool electricity market, Research Report HSC/03/1, Wroclaw University of Technology.
  9. K.Burnecki, W. Härdle, R.Weron (2003) An Introduction to Simulation of Risk Processes, Research Report HSC/03/4, Wroclaw University of Technology. Full text PDF (215 KB)
  10. Sz. Mercik, R. Weron (2002) Origins of scaling in FX markets. Prepared as chapter 12 for 'International Finance from Macroeconomics to Econophysics', ed. S. Da Silva, Nova Publishers - publication cancelled by the publisher in 2007. Available at MPRA: http://mpra.ub.uni-muenchen.de/2294/ Full text PDF (322 KB)
  11. R.Weron (1999) Pricing options on dividend paying instruments under the generalized hyperbolic model, Research Report HSC/99/1, Wroclaw University of Technology. Full text PDF (217 KB)

  12. K. Sznajd-Weron, R.Weron (1997) Evolution in a changing environment, Research Report HSC/97/1, Wroclaw University of Technology. Full text PDF (222 KB)
  13. R.Weron (1996) Correction to: On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables, Research Report HSC/96/1, Wroclaw University of Technology. Available at MPRA: http://mpra.ub.uni-muenchen.de/20761/ Full text PDF (110 KB)
  14. W. Kowalczyk, R.Weron (1995) Analysis of ROBECO data by Neural Networks, Research Report HSC/95/2, Wroclaw University of Technology. Full text PDF (142 KB)
  15. R.Weron (1995) Performance of the estimators of stable law parameters, Research Report HSC/95/1, Wroclaw University of Technology. Full text PDF (260 KB)

Software

(*) Titles of journals from the Thomson Scientific Master Journal List are underlined.

Homepage

Last modified on 2010-03-11