112 citations to https://www.mathnet.ru/rus/tvp3771
  1. Takuji Matsumoto, Derek Bunn, Yuji Yamada, “Pricing electricity day-ahead cap futures with multifactor skew-t densities”, Quantitative Finance, 22:5 (2022), 835  crossref
  2. Dong Yan, Sha Lin, Zhihao Hu, Ben-Zhang Yang, “Pricing American options with stochastic volatility and small nonlinear price impact: A PDE approach”, Chaos, Solitons & Fractals, 163 (2022), 112581  crossref
  3. Katlego Kola, Tumellano Sebehela, “The Capitalized Generalized Autoregressive Conditional Heteroskedasticity”, Rev. Pac. Basin Finan. Mark. Pol., 25:03 (2022)  crossref
  4. Anup Biswas, Somnath Pradhan, “Ergodic risk-sensitive control for regime-switching diffusions”, Systems & Control Letters, 170 (2022), 105399  crossref
  5. Alessandro Gnoatto, Silvia Lavagnini, Athena Picarelli, “Deep Quadratic Hedging”, SSRN Journal, 2022  crossref
  6. И. Г. Поспелов, С. А. Радионов, “Решение задачи оптимизации выплаты дивидендов фирмой, прибыль которой определяется телеграфным процессом”, Матем. заметки, 109:1 (2021), 135–149  mathnet  crossref  mathscinet; I. G. Pospelov, S. A. Radionov, “Optimal Dividend Policy when Cash Surplus Follows the Telegraph Process”, Math. Notes, 109:1 (2021), 125–135  crossref  isi  elib
  7. Anatoliy A. Pogorui, Anatoliy Swishchuk, Ramón M. Rodríguez-Dagnino, “Transformations of Telegraph Processes and Their Financial Applications”, Risks, 9:8 (2021), 147  crossref
  8. Anastasiya Ellanskaya, Yuri Kabanov, “On ruin probabilities with risky investments in a stock with stochastic volatility”, Extremes, 24:4 (2021), 687  crossref
  9. Xiaoping Lu, Song-Ping Zhu, Dong Yan, “Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility”, Communications in Nonlinear Science and Numerical Simulation, 103 (2021), 105986  crossref
  10. Yuji Yamada, Takuji Matsumoto, “Going for Derivatives or Forwards? Minimizing Cashflow Fluctuations of Electricity Transactions on Power Markets”, Energies, 14:21 (2021), 7311  crossref
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