46 citations to https://www.mathnet.ru/rus/tvp594
-
Zhenyu Cui, “Magnitude and Speed of Consecutive Market Crashes in a Diffusion Model”, SSRN Journal, 2016
-
Landriault D., Li B., Li Sh., “Analysis of a Drawdown-Based Regime-Switching Levy Insurance Model”, Insur. Math. Econ., 60 (2015), 98–107
-
Vardar-Acar C., Bulut H., “Bounds on the Expected Value of Maximum Loss of Fractional Brownian Motion”, Stat. Probab. Lett., 104 (2015), 117–122
-
Landriault D., Li B., Zhang H., “on the Frequency of Drawdowns For Brownian Motion Processes”, J. Appl. Probab., 52:1 (2015), 191–208
-
David Landriault, Bin Li, Hongzhong Zhang, “On the Frequency of Drawdowns for Brownian Motion Processes”, Journal of Applied Probability, 52:1 (2015), 191
-
Ola Mahmoud, “The Two Dimensions of Drawdown: Magnitude and Duration”, SSRN Journal, 2015
-
Alvarez L.H.R. Matomaki P., “Optimal Stopping of the Maximum Process”, J. Appl. Probab., 51:3 (2014), 818–836
-
Luis H. R. Alvarez, Pekka Matomäki, “Optimal Stopping of the Maximum Process”, J. Appl. Probab., 51:03 (2014), 818
-
Lisa R. Goldberg, Ola Mahmoud, “On a Convex Measure of Drawdown Risk”, SSRN Journal, 2014
-
Vardar-Acar C., Zirbel C.L., Szekely G.J., “On the Correlation of the Supremum and the Infimum and of Maximum Gain and Maximum Loss of Brownian Motion with Drift”, J. Comput. Appl. Math., 248 (2013), 61–75