| Publication | Date of Publication | Type |
|---|
On lower partial moments for the investment portfolio with variance-gamma distributed returns
Lithuanian Mathematical Journal | 2022-03-14 | Paper |
Option pricing in time-changed Lévy models with compound Poisson jumps
Modern Stochastics. Theory and Applications | 2019-10-08 | Paper |
An open queueing network with a correlated input arrival process for broadband wireless network performance evaluation
Communications in Computer and Information Science | 2018-10-22 | Paper |
On computing the price of financial instruments in foreign currency
Automation and Remote Control | 2018-10-17 | Paper |
Option pricing in the variance-gamma model under the drift jump
International Journal of Theoretical and Applied Finance | 2018-06-29 | Paper |
On risk measuring in the variance-gamma model
Statistics & Risk Modeling | 2018-01-11 | Paper |
On identification of morbidity parameters in a heterogeneous model: the cases of complete and incomplete information
Automation and Remote Control | 2017-11-03 | Paper |
Truncated moment-generating functions of the \(NIG\) process and their applications
Stochastics and Dynamics | 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
Review of Derivatives Research | 2016-12-02 | Paper |
Retraction note to: ``The distribution of the maximum of a variance gamma process and path-dependent option pricing
Finance and Stochastics | 2016-09-07 | Paper |
Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications
Stochastics | 2016-05-04 | Paper |
Retracted article: The distribution of the maximum of a variance gamma process and path-dependent option pricing
Finance and Stochastics | 2015-11-09 | Paper |
On predicting the maximum of a semimartingale and the optimal moment to sell a stock
Automation and Remote Control | 2015-10-02 | Paper |
Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes
Stochastic Models | 2014-01-30 | Paper |
On duality principle for hedging strategies in diffusion models
Theory of Probability & Its Applications | 2013-06-12 | Paper |
On predicting the ultimate maximum for exponential Lévy processes
Electronic Communications in Probability | 2012-10-23 | Paper |
Optimal stopping problem in a model with compensated refusal of reward
Mathematical Notes | 2011-11-25 | Paper |
On the problem of optimal stopping for the composite Russian option
Automation and Remote Control | 2011-01-03 | Paper |
Discrete approximation of American-type options
Russian Mathematical Surveys | 2008-04-28 | Paper |
On the Pricing of American Options in Exponential Lévy Markets
Journal of Applied Probability | 2008-02-22 | Paper |
Discrete approximation of finite-horizon American-style options
Lithuanian Mathematical Journal | 2008-01-16 | Paper |
Calculating the American options in the default model
Automation and Remote Control | 2007-07-05 | Paper |
| scientific article; zbMATH DE number 5077446 (Why is no real title available?) | 2006-12-05 | Paper |
