- A.N. Shiryaev, M.V. Zhitlukhin, W.T. Ziemba, “When to Sell Apple and the Nasdaq? Trading Bubbleswith a Stochastic Disorder Model”, JPM, 40, № 2, 2014, 54
- Albert N. Shiryaev, 93, Stochastic Disorder Problems, 2019, 367
- Erik Ekström, Martin Vannestål, “Momentum liquidation under partial information”, J. Appl. Probab., 53, № 2, 2016, 341
- Dimitri O. Ledenyov, Viktor O. Ledenyov, “Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities”, SSRN Journal, 2014
- Roman V. Ivanov, “The Risk Measurement under the Variance-Gamma Process with Drift Switching”, JRFM, 15, № 1, 2022, 22
- Goran Peskir, “Quickest detection of a hidden target and extremal surfaces”, Ann. Appl. Probab., 24, № 6, 2014
- A.N. Shiryaev, Mikhail Zitlukhin, William T. Ziemba, “When to Sell Apple and the NASDAQ? Trading Bubbles with a Stochastic Disorder Model”, SSRN Journal, 2013
- Pavel V. Gapeev, “Pricing of Perpetual American Options in a Model with Partial Information”, SSRN Journal, 2010
- Erik Ekström, Carl Lindberg, “Optimal Closing of a Momentum Trade”, Journal of Applied Probability, 50, № 2, 2013, 374
- Luu H. Duc, Jürgen Jost, “How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost”, SIAM J. Finan. Math., 14, № 3, 2023, 879