Sergey Nadtochiy

Available identifiers

zbMath Open nadtochiy.sergeyMaRDI QIDQ670734

List of research outcomes

Publication	Date of Publication	Type
Scaling limits of external multi-particle DLA on the plane and the supercooled Stefan problem	2024-04-12	Paper
A simple microstructural explanation of the concavity of price impact	2023-09-28	Paper
Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact	2023-09-28	Paper
Stefan problem with surface tension: global existence of physical solutions under radial symmetry	2023-09-08	Paper
Stefan problem with surface tension: uniqueness of physical solutions under radial symmetry	2023-06-05	Paper
Reflected BSDEs in non-convex domains	2022-07-28	Paper
Global solutions to the supercooled Stefan problem with blow-ups: regularity and uniqueness	2022-05-16	Paper
Consistency of MLE for partially observed diffusions, with application in market microstructure modeling	2022-01-19	Paper
Control-Stopping Games for Market Microstructure and Beyond	2021-01-08	Paper
Mean field systems on networks, with singular interaction through hitting times	2020-07-31	Paper
Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints	2019-11-22	Paper
Particle systems with singular interaction through hitting times: application in systemic risk modeling	2019-03-20	Paper
A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility	2018-12-13	Paper
Liquidity effects of trading frequency	2018-08-16	Paper
Endogenous Formation of Limit Order Books: Dynamics Between Trades	2018-05-18	Paper
Simulation of Implied Volatility Surfaces via Tangent Lévy Models	2017-06-02	Paper
ROBUST TRADING OF IMPLIED SKEW	2017-04-13	Paper
LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES	2017-03-13	Paper
https://portal.mardi4nfdi.de/entity/Q2790463	2016-03-04	Paper
Weak reflection principle for Lévy processes	2015-11-24	Paper
An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets	2014-01-23	Paper
Optimal investment for all time horizons and Martin boundary of space-time diffusions	2013-08-09	Paper
Tangent Lévy market models	2012-11-15	Paper
Static Hedging under Time-Homogeneous Diffusions	2012-04-19	Paper
TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION	2011-03-30	Paper
Local volatility dynamic models	2009-08-08	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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