112 citations to https://www.mathnet.ru/rus/tvp3771
-
Takuji Matsumoto, Derek Bunn, Yuji Yamada, “Pricing electricity day-ahead cap futures with multifactor skew-t densities”, Quantitative Finance, 22:5 (2022), 835
-
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
-
Katlego Kola, Tumellano Sebehela, “The Capitalized Generalized Autoregressive Conditional Heteroskedasticity”, Rev. Pac. Basin Finan. Mark. Pol., 25:03 (2022)
-
Anup Biswas, Somnath Pradhan, “Ergodic risk-sensitive control for regime-switching diffusions”, Systems & Control Letters, 170 (2022), 105399
-
Alessandro Gnoatto, Silvia Lavagnini, Athena Picarelli, “Deep Quadratic Hedging”, SSRN Journal, 2022
-
И. Г. Поспелов, С. А. Радионов, “Решение задачи оптимизации выплаты дивидендов фирмой,
прибыль которой определяется телеграфным процессом”, Матем. заметки, 109:1 (2021), 135–149 ; I. G. Pospelov, S. A. Radionov, “Optimal Dividend Policy when Cash Surplus Follows the Telegraph Process”, Math. Notes, 109:1 (2021), 125–135
-
Anatoliy A. Pogorui, Anatoliy Swishchuk, Ramón M. Rodríguez-Dagnino, “Transformations of Telegraph Processes and Their Financial Applications”, Risks, 9:8 (2021), 147
-
Anastasiya Ellanskaya, Yuri Kabanov, “On ruin probabilities with risky investments in a stock with stochastic volatility”, Extremes, 24:4 (2021), 687
-
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
-
Yuji Yamada, Takuji Matsumoto, “Going for Derivatives or Forwards? Minimizing Cashflow Fluctuations of Electricity Transactions on Power Markets”, Energies, 14:21 (2021), 7311