Roman Ivanov

Available identifiers

zbMath Open ivanov.roman-vMaRDI QIDQ309176

List of research outcomes

Publication	Date of Publication	Type
On lower partial moments for the investment portfolio with variance-gamma distributed returns	2022-03-14	Paper
Option pricing in time-changed Lévy models with compound Poisson jumps	2019-10-08	Paper
An open queueing network with a correlated input arrival process for broadband wireless network performance evaluation	2018-10-22	Paper
On computing the price of financial instruments in foreign currency	2018-10-17	Paper
Option pricing in the variance-gamma model under the drift jump	2018-06-29	Paper
On risk measuring in the variance-gamma model	2018-01-11	Paper
On identification of morbidity parameters in a heterogeneous model: the cases of complete and incomplete information	2017-11-03	Paper
Truncated moment-generating functions of the \(NIG\) process and their applications	2017-08-04	Paper
On the conditional moment-generating function of a three-factor variance gammas based process and its applications to forward and futures pricing	2017-04-04	Paper
On exact pricing of FX options in multivariate time-changed Lévy models	2016-12-02	Paper
Retraction note to: ``The distribution of the maximum of a variance gamma process and path-dependent option pricing	2016-09-07	Paper
Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications	2016-05-04	Paper
Retracted article: The distribution of the maximum of a variance gamma process and path-dependent option pricing	2015-11-09	Paper
On predicting the maximum of a semimartingale and the optimal moment to sell a stock	2015-10-02	Paper
Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes	2014-01-30	Paper
On duality principle for hedging strategies in diffusion models	2013-06-12	Paper
On predicting the ultimate maximum for exponential Lévy processes	2012-10-23	Paper
Optimal stopping problem in a model with compensated refusal of reward	2011-11-25	Paper
On the problem of optimal stopping for the composite Russian option	2011-01-03	Paper
Discrete approximation of American-type options	2008-04-28	Paper
On the Pricing of American Options in Exponential Lévy Markets	2008-02-22	Paper
Discrete approximation of finite-horizon American-style options	2008-01-16	Paper
Calculating the American options in the default model	2007-07-05	Paper
https://portal.mardi4nfdi.de/entity/Q3412418	2006-12-05	Paper

Research outcomes over time

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