Yan Dolinsky

Available identifiers

zbMath Open dolinsky.yanMaRDI QIDQ303966

List of research outcomes

Publication	Date of Publication	Type
Optimal investment with a noisy signal of future stock prices	2024-02-08	Paper
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework	2023-09-14	Paper
What if we knew what the future brings? Optimal investment for a frontrunner with price impact	2022-07-18	Paper
A scaling limit for utility indifference prices in the discretised Bachelier model	2022-04-01	Paper
Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact	2022-03-18	Paper
Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios	2021-12-02	Paper
On shortfall risk minimization for game options	2021-11-05	Paper
Short Communication: A Note on Utility Indifference Pricing with Delayed Information	2021-05-17	Paper
Continuity of utility maximization under weak convergence	2021-05-03	Paper
Extended weak convergence and utility maximisation with proportional transaction costs	2020-11-11	Paper
A Note on Utility Indifference Pricing with Delayed Information	2020-11-10	Paper
A note on costs minimization with stochastic target constraints	2020-05-26	Paper
Scaling limits for super-replication with transient price impact	2020-04-27	Paper
Continuous-time duality for superreplication with transient price impact	2020-02-21	Paper
Market delay and \(G\)-expectations	2020-01-24	Paper
Super-replication with fixed transaction costs	2019-04-24	Paper
Numerical scheme for Dynkin games under model uncertainty	2018-08-24	Paper
Recombining Tree Approximations for Optimal Stopping for Diffusions	2018-08-10	Paper
Super‐replication in fully incomplete markets	2018-05-25	Paper
Convex Duality with Transaction Costs	2017-06-02	Paper
The scaling limit of superreplication prices with small transaction costs in the multivariate case	2017-04-13	Paper
Risk minimization for game options in markets imposing minimal transaction costs	2016-11-01	Paper
Super-replication with nonlinear transaction costs and volatility uncertainty	2016-08-23	Paper
Corrigendum to: ``Martingale optimal transport in the Skorokhod space	2015-12-08	Paper
Martingale optimal transport in the Skorokhod space	2015-08-21	Paper
Robust hedging with proportional transaction costs	2014-11-07	Paper
Martingale optimal transport and robust hedging in continuous time	2014-10-31	Paper
Approximating stochastic volatility by recombinant trees	2014-09-25	Paper
Hedging of game options under model uncertainty in discrete time	2014-09-22	Paper
LIMIT THEOREMS FOR PARTIAL HEDGING UNDER TRANSACTION COSTS	2014-08-11	Paper
Hedging of game options with the presence of transaction costs	2014-01-17	Paper
Numerical schemes for \(G\)-expectations	2014-01-15	Paper
Duality and convergence for binomial markets with friction	2013-07-18	Paper
Weak approximation of \(G\)-expectations	2012-03-05	Paper
Error estimates for multinomial approximations of American options in a class of jump diffusion models	2012-01-03	Paper
Binomial Approximations for Barrier Options of Israeli Style	2011-08-08	Paper
PERFECT AND PARTIAL HEDGING FOR SWING GAME OPTIONS IN DISCRETE TIME	2011-06-16	Paper
Shortfall Risk Approximations for American Options in the Multidimensional Black-Scholes Model	2011-01-13	Paper
Applications of weak convergence for hedging of game options	2010-10-04	Paper
Binomial approximations of shortfall risk for game options	2008-11-27	Paper
Correction: Error estimates for binomial approximations of game options	2008-07-01	Paper
Hedging with risk for game options in discrete time	2007-03-30	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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