Personal information

Activities

Employment (1)

University of Leeds: Leeds, Leeds, GB

2015-04-01 to present | Associate Professor (School of Mathematics)
Employment
Source: Self-asserted source
Jan Palczewski

Funding (3)

QuantiCode: Intelligent infrastructure for quantitative, coded longitudinal data

Source: Self-asserted source
Jan Palczewski via DimensionsWizard

Portfolio management for the non-Gaussianity distributions of returns

2015-02-18 to 2017-02-17 | Grant
National Science Centre (Kraków, PL)
GRANT_NUMBER:

2014/13/B/HS4/00176

Source: Self-asserted source
Jan Palczewski via DimensionsWizard

Stochastic control problems with applications to financial mathematics

2013-07-08 to 2016-07-07 | Grant
National Science Centre (Kraków, PL)
GRANT_NUMBER:

2012/07/B/ST1/03298

Source: Self-asserted source
Jan Palczewski via DimensionsWizard

Works (36)

Stopper vs. Singular Controller Games With Degenerate Diffusions

Applied Mathematics & Optimization
2025-02 | Journal article
Contributors: Andrea Bovo; Tiziano De Angelis; Jan Palczewski
Source: check_circle
Crossref

Exit Game with Private Information

Mathematics of Operations Research
2024-09-12 | Journal article
Contributors: H. Dharma Kwon; Jan Palczewski
Source: check_circle
Crossref

ON THE SOLUTION UNIQUENESS IN PORTFOLIO OPTIMIZATION AND RISK ANALYSIS

International Journal of Theoretical and Applied Finance
2024-08 | Journal article
Contributors: BOGDAN GRECHUK; ANDRZEJ PALCZEWSKI; JAN PALCZEWSKI
Source: check_circle
Crossref

Zero-Sum Stopper Versus Singular-Controller Games with Constrained Control Directions

SIAM Journal on Control and Optimization
2024-08-31 | Journal article
Contributors: Andrea Bovo; Tiziano De Angelis; Jan Palczewski
Source: check_circle
Crossref

On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions

SIAM Journal on Control and Optimization
2023-06-30 | Journal article
Contributors: Cheng Cai; Tiziano De Angelis; Jan Palczewski
Source: check_circle
Crossref

Automatic model training under restrictive time constraints

Statistics and Computing
2023-02 | Journal article
Contributors: Lukas Cironis; Jan Palczewski; Georgios Aivaliotis
Source: check_circle
Crossref

The American put with finite‐time maturity and stochastic interest rate

Mathematical Finance
2022-10 | Journal article
Contributors: Cheng Cai; Tiziano De Angelis; Jan Palczewski
Source: check_circle
Crossref

Statistical learning for probability-constrained stochastic optimal control

European Journal of Operational Research
2021-04 | Journal article
Part of ISSN: 0377-2217
Source: Self-asserted source
Jan Palczewski

Optimal Hedging of a Perpetual American Put with a Single Trade

SIAM Journal on Financial Mathematics
2021-01 | Journal article
Contributors: Cheng Cai; Tiziano De Angelis; Jan Palczewski
Source: check_circle
Crossref

Using electricity storage to reduce greenhouse gas emissions

Applied Energy
2021-01 | Journal article
Part of ISSN: 0306-2619
Source: Self-asserted source
Jan Palczewski

Community energy storage: A case study in the UK using a linear programming method

Energy Conversion and Management
2020-02 | Journal article
Part of ISSN: 0196-8904
Source: Self-asserted source
Jan Palczewski

Fast implementation of pattern mining algorithms with time stamp uncertainties and temporal constraints

Journal of Big Data
2019-12 | Journal article
Part of ISSN: 2196-1115
Source: Self-asserted source
Jan Palczewski

Imbalance Market Real Options and the Valuation of Storage in Future Energy Systems

Risks
2019-04-11 | Journal article
Contributors: John Moriarty; Jan Palczewski
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Black–Litterman model for continuous distributions

European Journal of Operational Research
2019-03 | Journal article
Contributors: Andrzej Palczewski; Jan Palczewski
Source: check_circle
Crossref

Comparison of the Predictive Performance and Interpretability of Random Forest and Linear Models on Benchmark Data Sets

Journal of Chemical Information and Modeling
2017 | Journal article
EID:

2-s2.0-85028576326

Contributors: Marchese Robinson, R.L.; Palczewska, A.; Palczewski, J.; Kidley, N.
Source: Self-asserted source
Jan Palczewski via Scopus - Elsevier

Impulse control maximizing average cost per unit time: A nonuniformly ergodic case

SIAM Journal on Control and Optimization
2017 | Journal article
EID:

2-s2.0-85018949270

Contributors: Palczewski, J.; Stettner, L.
Source: Self-asserted source
Jan Palczewski via Scopus - Elsevier

Bayesian calibration and number of jump components in electricity spot price models

Energy Economics
2017-06 | Journal article
Contributors: Jhonny Gonzalez; John Moriarty; Jan Palczewski
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Real option valuation for reserve capacity

European Journal of Operational Research
2017-02 | Journal article
Contributors: John Moriarty; Jan Palczewski
Source: check_circle
Crossref
grade
Preferred source (of 3)‎

Asymptotics of Monte Carlo maximum likelihood estimators

Probability and Mathematical Statistics
2016 | Journal article
EID:

2-s2.0-85007499562

Contributors: Miasojedow, B.; Niemiro, W.; Palczewski, J.; Rejchel, W.
Source: Self-asserted source
Jan Palczewski via Scopus - Elsevier

Itchy feet vs cool heads: Flow of funds in an agent-based financial market

Journal of Economic Dynamics and Control
2016-02 | Journal article
Contributors: Jan Palczewski; Klaus Reiner Schenk-Hoppé; Tongya Wang
Source: Self-asserted source
Jan Palczewski via Crossref Metadata Search
grade
Preferred source (of 2)‎

Fragmentation and stability of markets

Journal of Economic Behavior & Organization
2015-11 | Journal article
Contributors: Daniel Ladley; Terje Lensberg; Jan Palczewski; Klaus Reiner Schenk-Hoppé
Source: Self-asserted source
Jan Palczewski via Crossref Metadata Search
grade
Preferred source (of 2)‎

Adaptive Monte Carlo Maximum Likelihood

Challenges in Computational Statistics and Data Mining
2015-06 | Other
Contributors: Błażej Miasojedow; Wojciech Niemiro; Jan Palczewski; Wojciech Rejchel
Source: Self-asserted source
Jan Palczewski via Crossref Metadata Search
grade
Preferred source (of 2)‎

Dynamic portfolio optimization with transaction costs and state-dependent drift

European Journal of Operational Research
2015-06 | Journal article
Contributors: Jan Palczewski; Rolf Poulsen; Klaus Reiner Schenk-Hoppé; Huamao Wang
Source: Self-asserted source
Jan Palczewski via Crossref Metadata Search
grade
Preferred source (of 2)‎

Interpreting Random Forest Classification Models Using a Feature Contribution Method

Integration of Reusable Systems
2014 | Other
Contributors: Anna Palczewska; Jan Palczewski; Richard Marchese Robinson; Daniel Neagu
Source: Self-asserted source
Jan Palczewski via Crossref Metadata Search
grade
Preferred source (of 2)‎

Investment strategies and compensation of a mean-variance optimizing fund manager

European Journal of Operational Research
2014 | Journal article
WOSUID:

WOS:000330750400022

Contributors: Aivaliotis, Georgios; Palczewski, Jan
Source: Self-asserted source
Jan Palczewski via ResearcherID
grade
Preferred source (of 2)‎

Theoretical and empirical estimates of mean-variance portfolio sensitivity

European Journal of Operational Research
2014 | Journal article
WOSUID:

WOS:000330750400007

Contributors: Palczewski, Andrzej; Palczewski, Jan
Source: Self-asserted source
Jan Palczewski via ResearcherID
grade
Preferred source (of 2)‎

Infinite horizon stopping problems with (nearly) total reward criteria

Stochastic Processes and their Applications
2014-12 | Journal article
Contributors: Jan Palczewski; Łukasz Stettner
Source: check_circle
Crossref
grade
Preferred source (of 3)‎

Interpreting random forest models using a feature contribution method

2013 IEEE 14th International Conference on Information Reuse & Integration (IRI)
2013-08 | Conference paper
Contributors: Anna Palczewska; Jan Palczewski; Richard Marchese Robinson; Daniel Neagu
Source: Self-asserted source
Jan Palczewski via Crossref Metadata Search
grade
Preferred source (of 2)‎

Stopping of functionals with discontinuity at the boundary of an open set

Stochastic Processes and Their Applications
2011 | Journal article
WOSUID:

WOS:000294592000008

Contributors: Palczewski, Jan; Stettner, Lukasz
Source: Self-asserted source
Jan Palczewski via ResearcherID
grade
Preferred source (of 2)‎

Finite horizon optimal stopping of time-discontinuous functionals with applications to impulse control with delay

SIAM Journal on Control and Optimization
2010 | Journal article
EID:

2-s2.0-79251469395

Contributors: Palczewski, J.; Stettner, L.
Source: Self-asserted source
Jan Palczewski via Scopus - Elsevier
grade
Preferred source (of 2)‎

From discrete to continuous time evolutionary finance models

Journal of Economic Dynamics & Control
2010 | Journal article
WOSUID:

WOS:000277102000007

Contributors: Palczewski, Jan; Schenk-Hoppe, Klaus Reiner
Source: Self-asserted source
Jan Palczewski via ResearcherID
grade
Preferred source (of 2)‎

Market selection of constant proportions investment strategies in continuous time

Journal of Mathematical Economics
2010 | Journal article
WOSUID:

WOS:000274598800010

Contributors: Palczewski, Jan; Schenk-Hoppe, Klaus Reiner
Source: Self-asserted source
Jan Palczewski via ResearcherID
grade
Preferred source (of 2)‎

Growth-optimal portfolios under transaction costs

Applicationes Mathematicae
2008 | Journal article
Contributors: Jan Palczewski; Łukasz Stettner
Source: Self-asserted source
Jan Palczewski via Crossref Metadata Search

Impulsive control of portfolios

Applied Mathematics and Optimization
2007 | Journal article
WOSUID:

WOS:000247813300004

Contributors: Palczewski, Jan; Stettner, Lukasz
Source: Self-asserted source
Jan Palczewski via ResearcherID
grade
Preferred source (of 2)‎

Maximization of the portfolio growth rate under fixed and proportional transaction costs

Communications in Information and Systems
2007 | Journal article
Contributors: Jan Palczewski; Lukasz Stettner
Source: Self-asserted source
Jan Palczewski via Crossref Metadata Search

Arbitrage and pricing in a general model with flows

Applicationes Mathematicae
2003 | Journal article
Contributors: Jan Palczewski
Source: Self-asserted source
Jan Palczewski via Crossref Metadata Search

Peer review (6 reviews for 4 publications/grants)

Review activity for European journal of operational research. (1)
Review activity for Journal of commodity markets. (3)
Review activity for Journal of computational and applied mathematics. (1)
Review activity for Stochastic processes and their applications. (1)