| Publication | Date of Publication | Type |
|---|
Multivariate Hawkes-based models in limit order book: European and spread option pricing
International Journal of Theoretical and Applied Finance | 2024-11-27 | Paper |
Discrete-Time Semi-Markov Random Evolutions and Their Applications
Probability and Its Applications | 2023-10-09 | Paper |
Stochastic modelling of big data in finance
Chapman & Hall/CRC Financial Mathematics Series | 2023-02-14 | Paper |
Hawkes processes in insurance: risk model, application to empirical data and optimal investment
Insurance Mathematics & Economics | 2021-11-19 | Paper |
Modelling of limit order books by general compound Hawkes processes with implementations
Methodology and Computing in Applied Probability | 2021-11-09 | Paper |
Stochastic modelling of big data in finance
Methodology and Computing in Applied Probability | 2021-01-18 | Paper |
A level-1 limit order book with time dependent arrival rates
Methodology and Computing in Applied Probability | 2020-01-13 | Paper |
| Inhomogeneous random evolutions and their applications | 2019-08-12 | Paper |
Convergence of random bounded linear operators in the Skorokhod space
Random Operators and Stochastic Equations | 2019-07-09 | Paper |
The LIBOR market model: a Markov-switching jump diffusion extension
International Series in Operations Research & Management Science | 2018-12-21 | Paper |
A semi-martingale representation for a semi-Markov chain with application to finance
Theory of Probability and Mathematical Statistics | 2018-10-10 | Paper |
The Markov-switching jump diffusion LIBOR market model
Quantitative Finance | 2018-09-19 | Paper |
The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options
Fuzzy Sets and Systems | 2018-02-21 | Paper |
A semi-Markovian modeling of limit order markets
SIAM Journal on Financial Mathematics | 2017-06-02 | Paper |
General semi-Markov model for limit order books
International Journal of Theoretical and Applied Finance | 2017-05-16 | Paper |
Delay Stochastic Models in Finance
Mathematical and Computational Approaches in Advancing Modern Science and Engineering | 2017-02-03 | Paper |
Change of time methods in quantitative finance
SpringerBriefs in Mathematics | 2016-04-13 | Paper |
Strong law of large numbers and central limit theorems for functionals of inhomogeneous semi-Markov processes
Stochastic Analysis and Applications | 2015-04-24 | Paper |
Pricing currency derivatives with Markov-modulated Lévy dynamics
Insurance Mathematics & Economics | 2015-01-28 | Paper |
COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH MARKOV-MODULATED VOLATILITIES
International Journal of Theoretical and Applied Finance | 2014-04-25 | Paper |
| Optimal Control of Stochastic Functional Differential Equations with Application to Finance | 2014-04-03 | Paper |
Filtering hidden semi-Markov chains
Statistics & Probability Letters | 2014-02-11 | Paper |
| Lévy-based Heath-Jarrow-Morton interest rate derivatives: change of time method and PIDEs | 2014-02-07 | Paper |
| Modeling and pricing of swaps for financial and energy markets with stochastic volatilities | 2013-11-01 | Paper |
| Random dynamical systems in finance | 2013-07-04 | Paper |
Normal deviation and Poisson approximation of a security market by the geometric Markov renewal processes
Communications in Statistics: Theory and Methods | 2013-06-13 | Paper |
| Optimal control of stochastic differential delay equations with application in economics | 2013-05-24 | Paper |
| Law of Large Numbers for Semi-Markov inhomogeneous Random Evolutions on Banach spaces | 2013-04-15 | Paper |
Discrete-time semi-Markov random evolutions and their applications
Advances in Applied Probability | 2013-04-11 | Paper |
Modelling and pricing of variance and volatility swaps for stochastic volatilities driven by fractional Brownian motion
Prykladna Statystyka. Aktuarna ta Finansova Matematyka | 2012-07-16 | Paper |
| Pricing of variance and volatility swaps with semi-Markov volatilities | 2011-12-28 | Paper |
| Multi-factor Lévy models for pricing financial and energy derivatives | 2011-11-25 | Paper |
The geometric Markov renewal processes with application to finance
Stochastic Analysis and Applications | 2011-08-10 | Paper |
Pricing variance swaps for stochastic volatilities with delay and jumps
International Journal of Stochastic Analysis | 2011-05-26 | Paper |
Diffusion approximations of the geometric Markov renewal processes and option price formulas
International Journal of Stochastic Analysis | 2011-03-08 | Paper |
| Lévy-based interest rate derivatives: change of time method and PIDEs | 2011-02-05 | Paper |
Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering
Mathematical Problems in Engineering | 2010-12-23 | Paper |
| Change of time method in mathematical finance | 2009-03-31 | Paper |
| Explicit option pricing formula for a mean-reverting asset in energy market | 2009-02-28 | Paper |
| Modelling and pricing of variance swaps for multi-factor stochastic volatilities with delay | 2008-04-03 | Paper |
Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets
International Series in Operations Research & Management Science | 2007-11-05 | Paper |
| A continuous-time GARCH model for stochastic volatility with delay | 2007-10-30 | Paper |
Theory, stochastic stability and applications of stochastic delay differential equations: a survey of results
Differential Equations and Dynamical Systems | 2007-09-07 | Paper |
Averaging and diffusion approximation of vector difference equations in random media with applications to biological systems
Differential Equations and Dynamical Systems | 2007-09-07 | Paper |
The pricing of options for securities markets with delayed response
Mathematics and Computers in Simulation | 2007-07-27 | Paper |
| scientific article; zbMATH DE number 2023365 (Why is no real title available?) | 2004-01-07 | Paper |
| Limit theorems for difference equations in random media with applications to biological systems | 2003-08-07 | Paper |
scientific article; zbMATH DE number 1833793 (Why is no real title available?)
Ukrainian Mathematical Journal | 2002-11-21 | Paper |
Stochastic stability of fractional \((B,S)\)-securities markets
Prykladna Statystyka. Aktuarna ta Finansova Matematyka | 2002-04-24 | Paper |
Stability of stochastic delay equations of Itô form with jumps and Markovian switchings, and their applications in finance
Teoriya Ĭmovirnosteĭ ta Matematychna Statystyka | 2002-02-17 | Paper |
The stochastic stability of interest rates with jump changes
Teoriya Ĭmovirnosteĭ ta Matematychna Statystyka | 2001-09-16 | Paper |
Black-Scholes formula for a market in a random environment
Teoriya Ĭmovirnosteĭ ta Matematychna Statystyka | 2001-09-11 | Paper |
| scientific article; zbMATH DE number 1487766 (Why is no real title available?) | 2001-08-29 | Paper |
Analog of the Black-Scholes formula for option pricing under conditions of \((B, S, X)\)-incomplete market of securities with jumps
Ukraïns'kyĭ Matematychnyĭ Zhurnal | 2001-07-11 | Paper |
On the creative contribution of V. S. Korolyuk to the development of probability theory
Ukraïns'kyĭ Matematychnyĭ Zhurnal | 2001-07-11 | Paper |
| Evolution stochastic systems. Averaging algorithms and diffusion approximation. | 2001-02-19 | Paper |
| scientific article; zbMATH DE number 1537557 (Why is no real title available?) | 2000-12-01 | Paper |
| scientific article; zbMATH DE number 1537452 (Why is no real title available?) | 2000-12-01 | Paper |
| scientific article; zbMATH DE number 1524277 (Why is no real title available?) | 2000-11-01 | Paper |
| scientific article; zbMATH DE number 1524426 (Why is no real title available?) | 2000-11-01 | Paper |
| scientific article; zbMATH DE number 1514779 (Why is no real title available?) | 2000-10-08 | Paper |
Stability of semi-Markov evolution systems and its application in financial mathematics
Ukrainian Mathematical Journal | 2000-08-16 | Paper |
| scientific article; zbMATH DE number 1414110 (Why is no real title available?) | 2000-03-13 | Paper |
On the monotonicity and constancy of signs of some rational explicit methods for nonlinear systems of ordinary differential equations
Ukrainian Mathematical Journal | 2000-03-02 | Paper |
| scientific article; zbMATH DE number 1409902 (Why is no real title available?) | 2000-03-02 | Paper |
Optimal control over evolution stochastic systems and its application to stochastic models of financial mathematics
Ukrainian Mathematical Journal | 1999-12-19 | Paper |
Filtration of components of processes of random evolution
Ukrainian Mathematical Journal | 1999-12-19 | Paper |
| scientific article; zbMATH DE number 1376674 (Why is no real title available?) | 1999-12-09 | Paper |
| scientific article; zbMATH DE number 1376676 (Why is no real title available?) | 1999-12-09 | Paper |
| scientific article; zbMATH DE number 1083615 (Why is no real title available?) | 1998-01-14 | Paper |
| scientific article; zbMATH DE number 1061187 (Why is no real title available?) | 1997-09-15 | Paper |
| scientific article; zbMATH DE number 928484 (Why is no real title available?) | 1996-09-18 | Paper |
The martingale problem and stochastic integral equations in a Banach space for limit semi-Markov random evolutions I
Random Operators and Stochastic Equations | 1996-06-16 | Paper |
| scientific article; zbMATH DE number 758244 (Why is no real title available?) | 1995-07-17 | Paper |
| scientific article; zbMATH DE number 711981 (Why is no real title available?) | 1995-01-15 | Paper |
Semi-Markov random evolutions: some ideas, methods and results
Exploring Stochastic Laws | 1995-01-01 | Paper |
| scientific article; zbMATH DE number 520106 (Why is no real title available?) | 1994-04-17 | Paper |
| scientific article; zbMATH DE number 176111 (Why is no real title available?) | 1993-05-18 | Paper |
Dual approximation of random evolutions in an averaging scheme
Ukrainian Mathematical Journal | 1993-01-16 | Paper |
| scientific article; zbMATH DE number 30700 (Why is no real title available?) | 1992-06-28 | Paper |
Dual approximation of random evolutions in an averaging scheme
Ukrainian Mathematical Journal | 1992-01-01 | Paper |
| scientific article; zbMATH DE number 4213177 (Why is no real title available?) | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4215111 (Why is no real title available?) | 1990-01-01 | Paper |
Phase averaging of nonhomogeneous semi-Markov random evolutions
Ukrainian Mathematical Journal | 1989-01-01 | Paper |
A central limit theorem for nonhomogeneous semi-Markov random evolutions
Ukrainian Mathematical Journal | 1989-01-01 | Paper |
Stability of the solutions of an axisymmetric problem regarding the convection of a viscous fluid
Ukrainian Mathematical Journal | 1989-01-01 | Paper |
Weak convergence of semi-Markov random evolutions in an averaging scheme (martingale approach)
Ukrainian Mathematical Journal | 1989-01-01 | Paper |
A central limit theorem for nonhomogeneous semi-Markov random evolutions
Ukrainian Mathematical Journal | 1989-01-01 | Paper |
Weak convergence of semi-Markov random evolutions in an averaging scheme (martingale approach)
Ukrainian Mathematical Journal | 1989-01-01 | Paper |
Limiting representation of continuous semi-Markov random evolutions in the series scheme
Ukrainian Mathematical Journal | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4174081 (Why is no real title available?) | 1989-01-01 | Paper |
Limiting representation of continuous semi-Markov random evolutions in the series scheme
Ukrainian Mathematical Journal | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4138880 (Why is no real title available?) | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4113704 (Why is no real title available?) | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4086704 (Why is no real title available?) | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4028577 (Why is no real title available?) | 1987-01-01 | Paper |
Central limit theorem in the phase extension scheme for semi-Markov random evolutions
Ukrainian Mathematical Journal | 1987-01-01 | Paper |
Central limit theorem for semi-Markov random evolutions
Ukrainian Mathematical Journal | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 4028576 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3925939 (Why is no real title available?) | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3883365 (Why is no real title available?) | 1984-01-01 | Paper |
| scientific article; zbMATH DE number 3854149 (Why is no real title available?) | 1983-01-01 | Paper |
