dr Marcin Pitera
Jagiellonian University,
Faculty of Mathematics and Computer Science,
room: 2014, phone: +48126647655,
mail: marcin dot pitera at im dot uj dot edu dot pl,





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AREAS OF SCIENTIFIC ACTIVITY, INTERESTS
  1. Financial Mathematics, Stochastic Control, Probability Theory and Statistics.
  2. Risk quantification and estimation, dynamic risk measures, time-consistency, risk sensitive control.
  3. Portfolio optimisation, RAROC, robust optimisation.
  4. Stochastic control in discrete time, Markov decision processes.
  5. Copula functions (dependence modelling), spatial contagion.



PAPERS/PREPRINTS
  1. P. Jaworski, M. Pitera, On spatial contagion and multivariate GARCH models, Appl Stoch Model Bus Ind, Vol. 30 (2014), No 5, pp. 303-327.
  2. T. R. Bielecki, I. Cialenco, M. Pitera, Dynamic Limit Growth Indices in Dicrete Time, Stoch Models, Vol. 31 (2015), No 3, pp. 494-523.
  3. P. Jaworski, M. Pitera, The 20-60-20 Rule, Discrete Cont Dyn-B, Vol. 21 (2016), No 4,pp. 1149-1166.
  4. M. Pitera, L. Stettner, Long run risk sensitive portfolio with general factors, Math Method Oper Res, Vol. 83 (2016), No 2, pp. 265-293.
  5. T. R. Bielecki, I. Cialenco, M. Pitera, A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective, Probability, Uncertainty and Quantitative Risk, Vol. 2 (2017), No 3, pp. 1-52.
  6. P. Jaworski, M. Pitera, A note on conditional covariance matrices for elliptical distributions, Stat Probabil Lett, Vol. 129C (2017), pp. 230-235.
  7. T. R. Bielecki, I. Cialenco, M. Pitera, A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time, Math Oper Res, Vol. 43 (2018), No 1, pp. 203-221.
  8. M. Pitera, T. Schmidt Unbiased estimation of risk, J Bank Financ, Vol. 91 (2018), pp. 133-145.
  9. M. Klimek, M. Pitera, The least squares method for option pricing revisited, Applicationes Mathematicae, Vol. 45 (2018), No 1, pp. 5-29.
  10. M. Pitera, F. Moldenhauer, Backtesting Expected Shortfall: a simple recipe?, Journal of Risk, Vol. 22 (2019), No 1, pp. 17-42.
  11. T. R. Bielecki, I. Cialenco, M. Pitera, T. Schmidt, Fair Estimation of Capital Risk Allocation, Statistics & Risk Modeling, Vol. 37 (2020), No 1-2, pp. 1-24.
  12. P. Jaworski, M. Pitera, A note on conditional variance and characterization of probability distributions, Stat Probabil Lett, Vol. 163 (2020), pp. 1-5.
  13. D. Jelito, M. Pitera, L. Stettner, Long-run risk sensitive impulse control, SIAM J Control Optim, Vol. 58 (2020), No 4, pp. 2246-2468.
  14. J. Hebda-Sobkowicz, R. Zimroz, M. Pitera, A. Wylomanska, Informative frequency band selection in the presence of non-Gaussian noise - a novel approach based on the conditional variance statistic with application to bearing fault diagnosis, Mech Syst Signal Pr, Vol. 145 (2020), id. 106971.
  15. D. Jelito, M. Pitera, New fat-tail normality test based on conditional second moments with applications to finance, Stat Pap, Vol. 62 (2021), pp.2083-2108.
  16. M. Pitera, L. Stettner, Long-run risk sensitive dyadic impulse control, Appl Math Opt , Vol. 84 (2021), No 1, pp. 19-47.
  17. D. Jelito, M. Pitera, L. Stettner, Risk sensitive optimal stopping, Stoch Process Their Appl, Vol. 136 (2021), pp. 125-144.
  18. M. Pitera, A. Chechkin, A. Wylomanska, Goodness-of-fit test for α-stable distribution based on the quantile conditional variance statistics, Stat Method Appl, Vol. 31 (2022), pp. 387-424.
  19. M. Pitera, T. Schmidt, Estimating and backtesting risk under heavy tails, Insur Math Econ, Vol. 104 (2022), pp. 1-14.
  20. K. Maraj-Zygmat, G. Sikora, M. Pitera, and A. Wylomanska, Goodness-of-fit test for stochastic processes using even empirical moments statistic, Chaos, Vol. 33 (2023), id. 013128.
  21. M. Pitera, L. Stettner, Discrete-time risk sensitive portfolio optimization with proportional transaction costs, Math Financ, Vol. 33 (2023), No 4, pp. 1287-1313.
  22. P. Jaworski, D. Jelito, M. Pitera, A note on the equivalence between the conditional uncorrelation and the independence of random variables, Electron. J. Stat., Vol. 18 (2024), No 1, pp. 653-673.
  23. K. Paczek, D. Jelito, M. Pitera, A. Wylomanska, Estimation of stability index for symmetric alpha-stable distribution using quantile conditional variance ratios, TEST, Vol. 33 (2024), pp. 297-334.
  24. M. Pitera, M. Rasonyi, Short Communication: Utility-based acceptability indices, SIAM J Financ Math , Vol. 15 (2024), No 2, pp. SC28-SC40.
  25. K. Paczek, D. Jelito, M. Pitera, A. Wylomanska, Goodness-of-fit tests for the one-sided Levy distribution based on quantile conditional moments, J. Appl. Stat., Vol. 51 (2024), No 15, pp. 3154–3177.
  26. M. Pitera, L. Stettner, Existence of bounded solutions to multiplicative Poisson equations under mixing property, ESAIM Control Optim. Calc. Var., Vol. 30 (2024), id. 49.
  27. N. Bauerle, M. Pitera, L. Stettner, Blackwell optimality and policy stability for long-run risk sensitive stochastic control, to appear in SIAM J Control Optim (2025).
  28. J. Wozny, P. Jaworski, D. Jelito, M. Pitera, A. Wylomanska, Gaussian dependence structure pairwise goodness-of-fit testing based on conditional covariance and the 20/60/20 rule, to appear in J. Multivar. Anal. (2025).
  29. W. Ormaniec, M. Pitera, S. Safarveisi, T. Schmidt, Estimating value at risk: LSTM vs. GARCH, preprint, arXiv:2207.105398 (2022).
  30. M. Pitera, T. Schmidt, L. Stettner, A novel scaling approach for unbiased adjustment of risk estimators, preprint, arXiv:2312.05655 (2023).
  31. K. Paczek, D. Jelito, M. Pitera, A. Wylomanska, Conditional correlation estimation and serial dependence identification, preprint, arXiv:2406.14650 (2024).



PRESENTATIONS, INVITED TALKS, SEMINARS, ETC.
  1. 4th Workshop on Vine Copula Distributions and Applications, "Copula-based robust expected utility models for portfolio optimization", poster, Munich, Germany, 2011.
  2. XL Konferencja Zastosowan Matematyki, "Copula-based robust expected utility models for portfolio optimization", poster, Zakopane, Poland, 2011.
  3. The Financial Risks International Forum, "On Spatial Contagion and mGARCH models", Paris, France, 2012.
  4. 6th R/Rmetrics Meielisalp Workshop & Summer School on Computational Finance and Financial Engineering, "On Spatial Contagion and mGARCH models", talk, Meielisalp, Switzerland, 2012.
  5. Copulae in mathematical and quantitative finance, "On Spatial Contagion and mGARCH models", talk, Krakow, Poland, 2012.
  6. First German-Polish Joint Conference on Probability and Mathematical Statistics, "Dynamic limit growth indices", poster, Torun, Poland, 2013.
  7. Advances in Mathematics of Finance - 6th General AMaMeF and Banach Center Conference, "Dynamic limit growth indices", talk, Warsaw, Poland, 2013.
  8. AMS Fall Eastern Sectional Meeting #1093, "Dynamic limit growth indices", talk, Philadelphia, USA, 2013.
  9. XIII Konferencja z Probabilistyki, "Time consistency for dynamic risk and performance measures", talk, Bedlewo, Poland, 2014.
  10. CNRS-PAN Mathematics Summer Institute, "Time consistency for dynamic risk and performance measures", talk, Krakow, Poland, 2014.
  11. Joint Meeting of the German Mathematical Society and the Polish Mathematical Society (DMV-PTM 2014), "Time consistency for dynamic risk and performance measures", talk, Poznan, Poland, 2014.
  12. XLIV Konferencja Zastosowan Matematyki, "The 20-60-20 Rule", talk, Zakopane, Poland, 2015.
  13. XIV Konferencja z Probabilistyki, "Risk sensitive portfolio optimisation", talk, Bedlewo, Poland, 2016.
  14. IMPAN Stochastic Processes seminar, "Long-run Risk sensitive portfolio optimisation", talk, Institute of Mathematics, Polish Academy of Sciences, Warszawa, Poland, 2016.
  15. Mathematical Methods in Economy and Finance, "Portfolio optimisation for infinite time horizon", talk, Institute of Mathematics, University of Silesia, Katowice, Poland, 2016.
  16. Krakow Quant Hub seminar, "Optimising a risky portfolio in infinite time horizon", talk, Institute of Mathematics, Jagiellonian University, Krakow, Poland, 2016.
  17. IIT Department of Applied Mathematics Colloquia, "Unbiased Estimation of Risk", talk, Department of Applied Mathematics, Illinois Institute of Technology, Chicago, USA, 2017.
  18. Stochastic analysis and its applications conference, "Long run risk sensitive portfolio optimisation", talk, Bedlewo, Poland, 2017.
  19. International Conference on Computational Finance (2nd), "Why be biased? New lessons for backtesting and estimation of risk", talk, Lisbon, Portugal, 2017.
  20. Mini-conference on Large-scale portfolio investments (Beyond the Markowitz portfolio theory), "Why be biased? New lessons for backtesting and estimation of risk", talk, Warsaw, Poland, 2018.
  21. XV Konferencja z Probabilistyki, "Conditional covariance matrices for elliptical distributions", talk, Bedlewo, Poland, 2018.
  22. 28th IFIP TC 7 Conference on System Modelling and Optimization, "Risk-sensitve portfolio optimisation: weighted approach", talk, Essen, Germany, 2018.
  23. Joint meeting of the Italian Mathematical Union, the Italian Society of Industrial and Applied Mathematics and the Polish Mathematical Society (UMI-SIMAI-PTM), "Conditional Covariance Matrices: normality and ellipticity invariants", talk, Wroclaw, Poland, 2018.
  24. Faculty of Mathematics and Economics Colloquium at Ulm University, "Unbiased estimation and backtesting of risk measures", talk, Faculty of Mathematics and Economics, Ulm University, Ulm, Germany, 2018.
  25. Conference on stochastic modeling (in finance and insurance), "Backtesting Expected Shortfall - duality approach", talk, Bedlewo, Poland, 2019.
  26. Graduate school on Industrial applications of stochastic modeling, "Introduction to Traded Risk modelling framework", mini-course (4 lectures), Warsaw, Poland, 2019.
  27. 9th General AMaMeF Conference, "Risk sensitive dyadic impulse control for unbounded processes", talk, Paris, France, 2019.
  28. International Congress on Industrial and Applied Mathematics (ICIAM 2019), "Unbiased estimation and backtesting of risk measures", talk, Valencia, Spain, 2019.
  29. Jubilee Congress for the 100th anniversary of the Polish Mathematical Society, "Estimation and evaluation of risk measures", talk, Krakow, Poland, 2019.
  30. Dynamics, Equations and Applications conference (DEA 2019), "Risk sensitive dyadic impulse control for unbounded processes", talk, Krakow, Poland, 2019.
  31. XIV Konferencja z Probabilistyki, "Conditional second moments and their properties", talk, online, Poland, 2021.
  32. 29th IFIP TC 7 Conference on System Modelling and Optimization, "Long-run risk sensitive stochastic control: span-contraction approach", talk, Quito, Ecuador (online), 2021.
  33. IIT Mathematical Finance, Stochastic Analysis, and Machine Learning seminar, "Discrete-Time Risk Sensitive Portfolio Optimization with Proportional Transaction Costs", talk, Chicago, USA (online), 2022.
  34. Dynamic Assessment Indices, IMSI workshop, "Entropy as performance measure: long-run risk sensitive stochastic control in discrete time", talk, Chicago, USA, 2022.
  35. 30th IFIP TC 7 Conference on System Modelling and Optimization, "Long-run risk-sensitive stochastic control: entropic formulation and MPE existence", talk, Warsaw, Poland, 2022.
  36. L Konferencja Zastosowan Matematyki, "Between theory and practice: about Financial Mathematics in Banking and Risk Management", talk, Zakopane, Poland, 2022.
  37. Probability theory seminar (Renyi Institute of Mathematics), "Long-run risk-sensitive stochastic control: entropic formulation and MPE existence", talk, Budapest, Hungary, 2023.
  38. Stochastic modeling and control conference, "Discrete-time risk sensitive portfolio optimisation with proportional transaction costs", talk, Bedlewo, Poland, 2023.
  39. LI Konferencja Zastosowan Matematyki, "Utility-based acceptability indices", talk, Zakopane, Poland, 2023.
  40. Functional equation seminar, "Acceptability indices based on certainty equivalents", talk, Institute of Mathematics, University of Silesia, Katowice, Poland, 2023.
  41. Workshop on open mathematical problems in banking, "Estimation, validation and backtesting in market risk: do we need better statistics?", talk, Warsaw, Poland, 2023.
  42. 14th Workshop on Stochastic Models and Control (SMC 2024), "Existence of bounded solution to multiplicative Poisson equation under mixing property", talk, Graz, Austria, 2024.
  43. 31th IFIP TC 7 Conference on System Modelling and Optimization, "Discrete-time risk sensitive portfolio optimisation", talk, Hamburg, Germany, 2024.
  44. IIT Mathematical Finance, Stochastic Analysis, and Machine Learning seminar, "Discrete-time risk sensitive portfolio optimization and MDP control: regularity and Blackwell property", talk, Chicago, USA (online), 2024.



INTERNATIONAL SCIENTIFIC VISITS (>5 days)
  1. Department of Mathematics, Uppsala University, Sweden (2 months, 2013).
  2. Department of Applied Mathematics, Illinois Institute of Technology, USA (2x3 months, 2013).
  3. Department of Mathematical Stochastics, University of Freiburg, Germany (2 weeks, 2015).
  4. Department of Applied Mathematics, Illinois Institute of Technology, USA (2 weeks, 2015).
  5. Department of Applied Mathematics, Illinois Institute of Technology, USA (1 week, 2017).
  6. IMSI Institute, University of Chicago, USA (2 weeks, 2022).
  7. School of Mathematics, University of Leeds, UK (1 week, 2022).
  8. Alfred Renyi Institute of Mathematics, Hungarian Academy of Sciences, Hungary (1 week, 2023).



REVIEWER
  1. Scientific journal reviewer: Journal of Banking & Finance, International Journal of Theoretical and Applied Finance, Applicationes Mathematicae, Operations Research Letters, Mathematica Applicanda, SIAM Journal on Control and Optimization, International Journal of Applied Mathematics and Computer Science, Operations Research, Statistics & Probability Letters, Journal of Applied Statistics, Journal of Risk, Hacettepe Journal of Mathematics and Statistics, Methodology and Computing in Applied Probability.
  2. Scientific journal editor: Mathematica Applicanda (ISSN 1730-2668, PTM, Editor from 2023), Statistics & Risk Modeling (ISSN 2196-7040, De Gruyter, AE from 2024)
  3. Other review activities: SIAM (preceedings), Czech Science Foundation (grant proposals).



RESEARCH GRANTS
  1. 2016/23/B/ST1/00479: Stochastic Control Methods with applications, 2017 - 2021, NCN OPUS, investigator.
  2. 2020/37/B/ST1/00463: Analysis of asymptotical and non-convex stochastic control problems with applications, 2021 - 2024, NCN OPUS, investigator.
  3. 2020/37/B/HS4/00120: Market risk model identification and validation using novel statistical, probabilistic, and machine learning tools, 2021 - 2024, NCN OPUS, principal investigator.



ORGANISATIONAL ACTIVITIES
  1. Conference organisation:
    • XVI Konferencja z Probabilistyki, 26-30 April, 2021, Bedlewo, conference secretary.
    • IFIP TC7 System Modeling and Optimization, July 4-8, 2022, Warsaw, member of the local organising committee.
    • Stochastic Modeling and Control conference, May 8-13, 2023, Bedlewo, member of the scientific committee and the organising committee.
    • Simons Semester "Stochastic modeling and control", May-June 2023, Warsaw, member of the organising committee.
    • Workshop "Open mathematical problems in banking", November 2023, Warsaw, member of the scientific and organising committee.
    • Applied mathematics in Poland workshop, May 2024, Bedlewo, member of the organising committee.
    • 31th IFIP TC 7 Conference on System Modelling and Optimization, mini-symposium session co-organised
  2. Other:



ADDITIONAL INFORMATION
  1. Google scholar profile: http://scholar.google.com/citations?user=XuZJwMMAAAAJ.