| Publication | Date of Publication | Type |
|---|
An optimal stopping problem for reflecting Brownian motions (edit)
Stochastic Processes and their Applications | 2026-04-01 | Paper |
Perpetual American compound fixed-strike lookback options on maxima drawdowns
Methodology and Computing in Applied Probability | 2025-10-22 | Paper |
Projections in enlargements of filtrations under Jacod's absolute continuity hypothesis for marked point processes
Journal of Theoretical Probability | 2025-10-14 | Paper |
Discounted optimal stopping zero-sum games in diffusion type models with maxima and minima
Advances in Applied Probability | 2025-03-21 | Paper |
Quickest change-point detection problems for multidimensional Wiener processes
Methodology and Computing in Applied Probability | 2025-02-14 | Paper |
Discounted nonzero-sum optimal stopping games under Poisson random intervention times
Stochastics | 2025-02-12 | Paper |
On the construction of conditional probability densities in the Brownian and compound Poisson filtrations
European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics | 2024-10-10 | Paper |
| On Watanabe's characterisation and change of intensity \`{a} la Girsanov for Cox processes | 2023-08-09 | Paper |
Discounted optimal stopping problems in first-passage time models with random thresholds
Journal of Applied Probability | 2022-09-21 | Paper |
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information
SIAM Journal on Financial Mathematics | 2022-08-22 | Paper |
Discounted optimal stopping problems in continuous hidden Markov models
Stochastics | 2022-07-08 | Paper |
Perpetual American double lookback options on drawdowns and drawups with floating strikes
Methodology and Computing in Applied Probability | 2022-07-07 | Paper |
Optimal double stopping problems for maxima and minima of geometric Brownian motions
Methodology and Computing in Applied Probability | 2022-07-07 | Paper |
Optimal stopping problems for maxima and minima in models with asymmetric information
Stochastics | 2022-05-31 | Paper |
Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis
Electronic Journal of Probability | 2022-02-22 | Paper |
Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs
Advances in Applied Probability | 2022-01-18 | Paper |
Optimal stopping games in models with various information flows
Stochastic Analysis and Applications | 2021-12-16 | Paper |
FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS
International Journal of Theoretical and Applied Finance | 2021-08-24 | Paper |
Markovian short rates in multidimensional term structure Lévy models
Banach Center Publications | 2021-05-20 | Paper |
Optimal stopping problems for running minima with positive discounting rates
Statistics & Probability Letters | 2020-12-18 | Paper |
On the problems of sequential statistical inference for Wiener processes with delayed observations
Statistical Papers | 2020-11-02 | Paper |
Credit default swaps in two-dimensional models with various informations flows
International Journal of Theoretical and Applied Finance | 2020-06-25 | Paper |
| Perpetual dual American barrier options for short sellers | 2020-05-13 | Paper |
On some functionals of the first passage times in jump models of stochastic volatility
Stochastic Analysis and Applications | 2019-12-18 | Paper |
Defaultable claims in switching models with partial information
International Journal of Theoretical and Applied Finance | 2019-06-24 | Paper |
On the pricing of perpetual American compound options
Inspired by Finance | 2018-12-13 | Paper |
Some extensions of Norros' lemma in models with several defaults
Inspired by Finance | 2018-12-13 | Paper |
On the sequential testing and quickest change-point detection problems for Gaussian processes
Stochastics | 2018-09-04 | Paper |
On some functionals of the first passage times in models with switching stochastic volatility
International Journal of Theoretical and Applied Finance | 2018-03-15 | Paper |
On the construction of non-affine jump-diffusion models
Stochastic Analysis and Applications | 2017-11-02 | Paper |
On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models
Statistics & Probability Letters | 2016-12-15 | Paper |
Bayesian switching multiple disorder problems
Mathematics of Operations Research | 2016-08-10 | Paper |
Perpetual American options in diffusion-type models with running maxima and drawdowns
Stochastic Processes and their Applications | 2016-04-20 | Paper |
On the drawdowns and drawups in diffusion-type models with running maxima and minima
Journal of Mathematical Analysis and Applications | 2015-11-10 | Paper |
Optimal stopping problems in diffusion-type models with running maxima and drawdowns
Journal of Applied Probability | 2014-10-15 | Paper |
Optimal stopping problems in diffusion-type models with running maxima and drawdowns
Journal of Applied Probability | 2014-10-15 | Paper |
Perpetual American options in a diffusion model with piecewise-linear coefficients
Statistics & Risk Modeling | 2013-04-23 | Paper |
Bayesian quickest detection problems for some diffusion processes
Advances in Applied Probability | 2013-04-11 | Paper |
Bayesian quickest detection problems for some diffusion processes
Advances in Applied Probability | 2013-04-11 | Paper |
Bayesian quickest detection problems for some diffusion processes
Advances in Applied Probability | 2013-04-11 | Paper |
Pricing of perpetual American options in a model with partial information
International Journal of Theoretical and Applied Finance | 2012-04-24 | Paper |
On the sequential testing problem for some diffusion processes
Stochastics | 2012-01-03 | Paper |
On the structure of discounted optimal stopping problems for one-dimensional diffusions
Stochastics | 2012-01-03 | Paper |
Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives
Contemporary Quantitative Finance | 2011-05-31 | Paper |
Robust replication in \(H\)-self-similar Gaussian market models under uncertainty
Statistics & Decisions | 2011-03-29 | Paper |
An iterative procedure for solving integral equations related to optimal stopping problems
Stochastics | 2011-03-11 | Paper |
On large deviations in testing Ornstein-Uhlenbeck-type models
Statistical Inference for Stochastic Processes | 2011-02-05 | Paper |
Pricing and filtering in a two-dimensional dividend switching model
International Journal of Theoretical and Applied Finance | 2011-01-13 | Paper |
PRICING OF CONTINGENT CLAIMS IN A TWO-DIMENSIONAL MODEL WITH RANDOM DIVIDENDS
International Journal of Theoretical and Applied Finance | 2010-02-05 | Paper |
The integral option in a model with jumps
Statistics & Probability Letters | 2008-11-14 | Paper |
On Markovian short rates in term structure models driven by jump-diffusion processes
Statistics & Decisions | 2008-05-14 | Paper |
Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
Journal of Applied Probability | 2008-02-05 | Paper |
Discounted optimal stopping for maxima in diffusion models with finite horizon
Electronic Journal of Probability | 2007-11-23 | Paper |
Perpetual barrier options in jump-diffusion models
Stochastics | 2007-03-30 | Paper |
The Wiener disorder problem with finite horizon
Stochastic Processes and their Applications | 2007-01-09 | Paper |
An optimal stopping problem in a diffusion-type model with delay
Statistics & Probability Letters | 2006-04-28 | Paper |
Perpetual convertible bonds in jump-diffusion models
Statistics & Risk Modeling | 2005-10-18 | Paper |
The disorder problem for compound Poisson processes with exponential jumps
The Annals of Applied Probability | 2005-04-29 | Paper |
On arbitrage and Markovian short rates in fractional bond markets
Statistics & Probability Letters | 2005-03-08 | Paper |
Problems in sequential decision between hypotheses for a combined Poisson process with exponential jumps
Russian Mathematical Surveys | 2004-09-10 | Paper |
The Wiener Sequential Testing Problem with Finite Horizon
Stochastics and Stochastic Reports | 2004-06-22 | Paper |
The Bayes problem of detecting a disorder with information criterion of delay
Russian Mathematical Surveys | 2004-01-14 | Paper |
Bayesian problems of sequential discrimination between hypotheses for continuous random processes
Russian Mathematical Surveys | 2000-11-23 | Paper |
Towards a proof of the first fundamental theorem of financial mathematics
Russian Mathematical Surveys | 2000-07-05 | Paper |
Calculation of the high and low prices of European-type options
Russian Mathematical Surveys | 1999-03-15 | Paper |
