Browsing by Author Novikov, A

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Issue DateTitleAuthor(s)
Jan-2002On a new approach to calculating expectations for option pricingBorovkov, K; Novikov, A
1-Jul-2001On a piece-wise deterministic Markov process modelBorovkov, K; Novikov, A
1-Jun-2007On a solution of the optimal stopping problem for processes with independent incrementsNovikov, A; Shiryaev, A
Jan-2009On a stochastic version of the trading rule 'Buy and Hold'Shiryaev, AN; Novikov, A
1-Nov-2017On distibutions of first passage times of martingales arising in some gambling problemsNovikov, A; Kaji, S
Jan-2006On EWMA procedure for detection of a change in observation via Martingale approachSukparungsee, S; Novikov, A
1-Sep-2008On exit times of Levy-driven Ornstein-Uhlenbeck processesBorovkov, K; Novikov, A
Jan-2010On fair pricing of emission-related derivativesHinz, J; Novikov, A
1-Nov-2010On fair pricing of emission-related derivativesHinz, J; Novikov, A
-On lower and upper bounds for Asian-type options: a unified approachNovikov, A; Kordzakhia, N
1-Jan-2014On moments of pitman estimators: The case of fractional Brownian motionNovikov, A; Kordzakhia, N; Ling, T
1-Dec-2012On ruin probabilities in risk models with interest rateKordzakhia, N; Novikov, A; Tsitsiashvili, G
-On tail distributions of supremum and quadratic variation of local martingalesLiptser, R; Novikov, A
1-Jul-2017Optimal consumption, investment and housing with means-tested public pension in retirementAndréasson, JG; Shevchenko, PV; Novikov, A
3-Jul-2017Optimal consumption, investment and housing with means-tested public pension in retirement.Novikov, A; Andreasson; Shevchenko
19-Sep-2013Pitman estimators: An asymptotic variance revisitedNovikov, A; Kordzakhia, N
Jan-2005Pricing European and discretely monitored exotic options under the Levy process frameworkRoberts, DO; Novikov, A; Abbott, P; McCarthy, S
1-Jan-2017Pricing of asian-type and basket options via boundsNovikov, A; Alexander, S; Kordzakhia, N; Ling, T
Jan-2008Pricing of Defaultable Securities under Stochastic InterestKordzakhia, N; Novikov, A; Sarychev, A; Shiryaev, A; Guerra, M; Grossinho, M
1-Apr-2013Remarks on moment inequalities and identities for martingalesNovikov, A; Shiryaev, A