| Publication | Date of Publication | Type |
|---|
| Multivariate Hawkes-based models in limit order book: European and spread option pricing | 2024-11-27 | Paper |
| Discrete-Time Semi-Markov Random Evolutions and Their Applications | 2023-10-09 | Paper |
| Stochastic modelling of big data in finance | 2023-02-14 | Paper |
| Hawkes processes in insurance: risk model, application to empirical data and optimal investment | 2021-11-19 | Paper |
| Modelling of limit order books by general compound Hawkes processes with implementations | 2021-11-09 | Paper |
| Stochastic modelling of big data in finance | 2021-01-18 | Paper |
| A level-1 limit order book with time dependent arrival rates | 2020-01-13 | Paper |
| Inhomogeneous random evolutions and their applications | 2019-08-12 | Paper |
| Convergence of random bounded linear operators in the Skorokhod space | 2019-07-09 | Paper |
| The LIBOR market model: a Markov-switching jump diffusion extension | 2018-12-21 | Paper |
| A semi-martingale representation for a semi-Markov chain with application to finance | 2018-10-10 | Paper |
| The Markov-switching jump diffusion LIBOR market model | 2018-09-19 | Paper |
| The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options | 2018-02-21 | Paper |
| A semi-Markovian modeling of limit order markets | 2017-06-02 | Paper |
| General semi-Markov model for limit order books | 2017-05-16 | Paper |
| Delay Stochastic Models in Finance | 2017-02-03 | Paper |
| Change of time methods in quantitative finance | 2016-04-13 | Paper |
| Strong law of large numbers and central limit theorems for functionals of inhomogeneous semi-Markov processes | 2015-04-24 | Paper |
| Pricing currency derivatives with Markov-modulated Lévy dynamics | 2015-01-28 | Paper |
| COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH MARKOV-MODULATED VOLATILITIES | 2014-04-25 | Paper |
| Optimal Control of Stochastic Functional Differential Equations with Application to Finance | 2014-04-03 | Paper |
| Filtering hidden semi-Markov chains | 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 | 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 | 2013-04-11 | Paper |
| Modelling and pricing of variance and volatility swaps for stochastic volatilities driven by fractional Brownian motion | 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 | 2011-08-10 | Paper |
| Pricing variance swaps for stochastic volatilities with delay and jumps | 2011-05-26 | Paper |
| Diffusion approximations of the geometric Markov renewal processes and option price formulas | 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 | 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 | 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 | 2007-09-07 | Paper |
| Averaging and diffusion approximation of vector difference equations in random media with applications to biological systems | 2007-09-07 | Paper |
| The pricing of options for securities markets with delayed response | 2007-07-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4441736 | 2004-01-07 | Paper |
| Limit theorems for difference equations in random media with applications to biological systems | 2003-08-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4781037 | 2002-11-21 | Paper |
| Stochastic stability of fractional \((B,S)\)-securities markets | 2002-04-24 | Paper |
| Stability of stochastic delay equations of Itô form with jumps and Markovian switchings, and their applications in finance | 2002-02-17 | Paper |
| The stochastic stability of interest rates with jump changes | 2001-09-16 | Paper |
| Black-Scholes formula for a market in a random environment | 2001-09-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4494280 | 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 | 2001-07-11 | Paper |
| On the creative contribution of V. S. Korolyuk to the development of probability theory | 2001-07-11 | Paper |
| Evolution stochastic systems. Averaging algorithms and diffusion approximation. | 2001-02-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4518684 | 2000-12-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4518563 | 2000-12-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4512151 | 2000-11-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4512334 | 2000-11-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4507774 | 2000-10-08 | Paper |
| Stability of semi-Markov evolution systems and its application in financial mathematics | 2000-08-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4941708 | 2000-03-13 | Paper |
| On the monotonicity and constancy of signs of some rational explicit methods for nonlinear systems of ordinary differential equations | 2000-03-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4940320 | 2000-03-02 | Paper |
| Optimal control over evolution stochastic systems and its application to stochastic models of financial mathematics | 1999-12-19 | Paper |
| Filtration of components of processes of random evolution | 1999-12-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4702668 | 1999-12-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4702672 | 1999-12-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4365542 | 1998-01-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4354372 | 1997-09-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4893727 | 1996-09-18 | Paper |
| The martingale problem and stochastic integral equations in a Banach space for limit semi-Markov random evolutions I | 1996-06-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4834159 | 1995-07-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4320114 | 1995-01-15 | Paper |
| Semi-Markov random evolutions: some ideas, methods and results | 1995-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4283962 | 1994-04-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4035212 | 1993-05-18 | Paper |
| Dual approximation of random evolutions in an averaging scheme | 1993-01-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3986989 | 1992-06-28 | Paper |
| Dual approximation of random evolutions in an averaging scheme | 1992-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3359533 | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3361679 | 1990-01-01 | Paper |
| Phase averaging of nonhomogeneous semi-Markov random evolutions | 1989-01-01 | Paper |
| A central limit theorem for nonhomogeneous semi-Markov random evolutions | 1989-01-01 | Paper |
| Stability of the solutions of an axisymmetric problem regarding the convection of a viscous fluid | 1989-01-01 | Paper |
| Weak convergence of semi-Markov random evolutions in an averaging scheme (martingale approach) | 1989-01-01 | Paper |
| A central limit theorem for nonhomogeneous semi-Markov random evolutions | 1989-01-01 | Paper |
| Weak convergence of semi-Markov random evolutions in an averaging scheme (martingale approach) | 1989-01-01 | Paper |
| Limiting representation of continuous semi-Markov random evolutions in the series scheme | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3198662 | 1989-01-01 | Paper |
| Limiting representation of continuous semi-Markov random evolutions in the series scheme | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3471281 | 1988-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4729130 | 1988-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3814520 | 1988-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3769738 | 1987-01-01 | Paper |
| Central limit theorem in the phase extension scheme for semi-Markov random evolutions | 1987-01-01 | Paper |
| Central limit theorem for semi-Markov random evolutions | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3769737 | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3700558 | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3217398 | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3322969 | 1983-01-01 | Paper |
