| Publication | Date of Publication | Type |
|---|
| Financial Mathematics | 2023-02-13 | Paper |
| Financial mathematics. A comprehensive treatment in discrete time. Volume I | 2020-12-16 | Paper |
| Modelling asynchronous assets with jump-diffusion processes | 2019-06-11 | Paper |
| Optimal selection of assets and portfolios | 2019-06-11 | Paper |
Modern Challenges and Interdisciplinary Interactions via Mathematical, Statistical, and Computational Models
Recent Progress and Modern Challenges in Applied Mathematics, Modeling and Computational Science | 2018-03-06 | Paper |
Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts
SIAM Journal on Financial Mathematics | 2017-02-16 | Paper |
Pricing Options with Hybrid Stochastic Volatility Models
Mathematical and Computational Approaches in Advancing Modern Science and Engineering | 2017-02-03 | Paper |
Time series analysis and calibration to option data: a study of various asset pricing models
Springer Proceedings in Mathematics & Statistics | 2016-01-11 | Paper |
| Financial mathematics. A comprehensive treatment | 2014-04-29 | Paper |
Pricing step options under the CEV and other solvable diffusion models
International Journal of Theoretical and Applied Finance | 2013-10-21 | Paper |
Exact simulation of occupation times
Springer Proceedings in Mathematics & Statistics | 2013-07-31 | Paper |
On properties of analytically solvable families of local volatility diffusion models
Mathematical Finance | 2013-02-28 | Paper |
Exact simulation of Bessel diffusions
Monte Carlo Methods and Applications | 2011-01-13 | Paper |
Adaptive (quasi-)Monte Carlo methods for pricing path-dependent options
Monte Carlo and Quasi-Monte Carlo Methods 2008 | 2010-02-15 | Paper |
| Dual Stochastic Transformations of Solvable Diffusions | 2009-07-16 | Paper |
Stochastic Algorithms with Hermite Cubic Spline Interpolation for Global Estimation of Solutions of Boundary Value Problems
SIAM Journal on Scientific Computing | 2009-03-10 | Paper |
Path integral pricing of Asian options on state-dependent volatility models
Quantitative Finance | 2008-05-15 | Paper |
PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE
International Journal of Theoretical and Applied Finance | 2007-06-05 | Paper |
Numerical solution of quasilinear parabolic equations and backward stochastic differential equations
Russian Journal of Numerical Analysis and Mathematical Modelling | 2004-05-27 | Paper |
Solution of boundary value problem(s) of the second and third kind by Monte Carlo methods
Siberian Mathematical Journal | 2004-01-06 | Paper |
Combined estimates of the Monte Carlo method for the third boundary value problem for a parabolic-type equation
Russian Journal of Numerical Analysis and Mathematical Modelling | 2003-08-25 | Paper |
| scientific article; zbMATH DE number 1822419 (Why is no real title available?) | 2002-11-03 | Paper |
Statistical modelling of solutions of stochastic differential equations with reflection of trajectories from the boundary
Russian Journal of Numerical Analysis and Mathematical Modelling | 2001-07-29 | Paper |
Solving boundary-value problems by the method of ``walk over spheres with reflection from the boundary
Doklady Mathematics | 2001-05-06 | Paper |
Estimates for the eigenvalues of the operator \(\Delta+c(r)\) by calculating parametric derivatives by the Monte Carlo method
Doklady Mathematics | 2001-01-28 | Paper |
Solution of boundary value problems for nonlinear elliptic equations by the Monte Carlo method
Russian Journal of Numerical Analysis and Mathematical Modelling | 2000-08-02 | Paper |
| scientific article; zbMATH DE number 1354049 (Why is no real title available?) | 1999-10-28 | Paper |
Monte Carlo methods for solving boundary value problems of the second and third kinds
Russian Journal of Numerical Analysis and Mathematical Modelling | 1999-06-21 | Paper |
Parametric differentiation and estimation of eigenvalues by the Monte Carlo method
Siberian Mathematical Journal | 1999-05-11 | Paper |
