Anton Yurchenko-Tytarenko

MaRDI QIDQ1641937zbMATH OpenFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Option pricing in sandwiched Volterra volatility model SIAM Journal on Financial Mathematics	2024-10-23	Paper
Optimal control in linear-quadratic stochastic advertising models with memory Decisions in Economics and Finance	2024-08-01	Paper
Sandwiched SDEs with unbounded drift driven by Hölder noises Advances in Applied Probability	2023-12-15	Paper
Power law in Sandwiched Volterra Volatility model	2023-11-02	Paper
From constant to rough: A survey of continuous volatility modeling	2023-09-02	Paper
Standard and fractional reflected Ornstein–Uhlenbeck processes as the limits of square roots of Cox–Ingersoll–Ross processes Stochastics	2023-06-26	Paper
Parameter estimation in rough Bessel model	2023-05-24	Paper
Drift-implicit Euler scheme for sandwiched processes driven by Hölder noises Numerical Algorithms	2023-05-11	Paper
Low-dimensional Cox-Ingersoll-Ross process	2023-03-22	Paper
Option pricing in Sandwiched Volterra Volatility model	2022-09-21	Paper
Optimal control in linear stochastic advertising models with memory	2021-06-22	Paper
Approximating expected value of an option with non-Lipschitz payoff in fractional Heston-type model International Journal of Theoretical and Applied Finance	2021-01-29	Paper
Fractional Cox-Ingersoll-Ross process with small Hurst indices Modern Stochastics. Theory and Applications	2019-10-08	Paper
Option pricing in fractional Heston-type model	2019-07-03	Paper
Fractional Cox-Ingersoll-Ross process with non-zero ``mean Modern Stochastics. Theory and Applications	2018-06-20	Paper

Research outcomes over time

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