The following pages link to Sergey Nadtochiy (Q670734):
Displayed 26 items.
- Particle systems with singular interaction through hitting times: application in systemic risk modeling (Q670735) (← links)
- Mean field systems on networks, with singular interaction through hitting times (Q784182) (← links)
- Weak reflection principle for Lévy processes (Q894806) (← links)
- Tangent Lévy market models (Q1761433) (← links)
- Global solutions to the supercooled Stefan problem with blow-ups: regularity and uniqueness (Q2137785) (← links)
- Reflected BSDEs in non-convex domains (Q2159261) (← links)
- Local volatility dynamic models (Q2271723) (← links)
- (Q2790463) (← links)
- An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets (Q2873139) (← links)
- LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES (Q2968277) (← links)
- ROBUST TRADING OF IMPLIED SKEW (Q2976126) (← links)
- TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION (Q3086258) (← links)
- Control-Stopping Games for Market Microstructure and Beyond (Q3387925) (← links)
- A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility (Q4561947) (← links)
- Liquidity effects of trading frequency (Q4581291) (← links)
- Endogenous Formation of Limit Order Books: Dynamics Between Trades (Q4641739) (← links)
- Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints (Q4971978) (← links)
- Simulation of Implied Volatility Surfaces via Tangent Lévy Models (Q5266358) (← links)
- Static Hedging under Time-Homogeneous Diffusions (Q5388686) (← links)
- A simple microstructural explanation of the concavity of price impact (Q6054404) (← links)
- Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact (Q6054406) (← links)
- Stefan problem with surface tension: global existence of physical solutions under radial symmetry (Q6095839) (← links)
- Scaling limits of external multi-particle DLA on the plane and the supercooled Stefan problem (Q6127312) (← links)
- Optimal investment for all time horizons and Martin boundary of space-time diffusions (Q6243989) (← links)
- Consistency of MLE for partially observed diffusions, with application in market microstructure modeling (Q6388652) (← links)
- Stefan problem with surface tension: uniqueness of physical solutions under radial symmetry (Q6439258) (← links)