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Publications in Math-Net.Ru |
Citations |
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2021 |
| 1. |
M. M. Dyshaev, V. E. Fedorov, “The accounting of illiquidity and transaction costs during the delta-hedging”, Applied Mathematics & Physics, 53:2 (2021), 132–143  |
| 2. |
M. M. Dyshaev, D. B. Izergin, V. E. Fedorov, “Approximation and comparison of the empirical liquidity cost function for various futures contracts”, Mathematical notes of NEFU, 28:4 (2021), 101–113 |
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2020 |
| 3. |
M. M. Dyshaev, “On measuring the cost of liquidity in the limit order book”, Chelyab. Fiz.-Mat. Zh., 5:1 (2020), 96–104 |
| 4. |
M. M. Dyshaev, V. E. Fedorov, “The optimal rehedging interval for the options portfolio within the RAMP, taking into account transaction costs and liquidity costs”, Bulletin of Irkutsk State University. Series Mathematics, 31 (2020), 3–17  |
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2019 |
| 5. |
M. M. Dyshaev, “Accounting of transaction costs for delta-hedging of options”, Chelyab. Fiz.-Mat. Zh., 4:4 (2019), 375–386  |
| 6. |
M. M. Dyshaev, V. E. Fedorov, “Time decay comparison for option straddle in case of insufficient liquidity or transaction costs”, Applied Mathematics & Physics, 51:3 (2019), 451–459 |
| 7. |
M. M. Dyshaev, V. E. Fedorov, “Comparing of some sensitivities for nonlinear models comparing of some sensitivities (Greeks) for nonlinear models of option pricing with market illiquidity”, Mathematical notes of NEFU, 26:2 (2019), 94–108 |
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2018 |
| 8. |
M. M. Dyshaev, V. E. Fedorov, A. S. Avilovich, D. A. Pletnev, “Simulation of feedback effects for futures-style options pricing on Moscow Exchange”, Chelyab. Fiz.-Mat. Zh., 3:4 (2018), 379–394 |
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2017 |
| 9. |
M. M. Dyshaev, “On some option pricing models on illiquid markets”, Chelyab. Fiz.-Mat. Zh., 2:1 (2017), 18–29  |
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| 10. |
M. M. Dyshaev, V. E. Fedorov, “Symmetries and exact solutions of a nonlinear pricing options equation”, Ufimsk. Mat. Zh., 9:1 (2017), 29–41 ; Ufa Math. J., 9:1 (2017), 29–40  |
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2016 |
| 11. |
M. M. Dyshaev, “Group analysis of a nonlinear generalization for Black — Scholes equation”, Chelyab. Fiz.-Mat. Zh., 1:3 (2016), 7–14 |
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| 12. |
M. M. Dyshaev, V. E. Fedorov, “Symmetry analysis and exact solutions for a nonlinear model of the financial markets theory”, Mathematical notes of NEFU, 23:1 (2016), 28–45 |
| 13. |
Vladimir E. Fedorov, Mikhail M. Dyshaev, “Group classification for a general nonlinear model of option pricing”, Ural Math. J., 2:2 (2016), 37–44  |
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2021 |
| 14. |
M. M. Dyshaev, N. E. Ratanov, V. P. Dergilev, A. A. Lazarev, “Yield crop simulation for options pricing”, Chelyab. Fiz.-Mat. Zh., 6:4 (2021), 512–528 |
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2013 |
| 15. |
M. M. Dyshaev, I. M. Sokolinskaya, “Representation of trading signals based Kaufman adaptive moving average as a system of linear inequalities”, Vestn. YuUrGU. Ser. Vych. Matem. Inform., 2:4 (2013), 103–108 |
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