Browsing by Author Novikov, A

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Issue DateTitleAuthor(s)
1-Jan-2005First passage time of filtered Poisson process with exponential shape functionNovikov, A; Melchers, RE; Shinjikashvili, E; Kordzakhia, N
2002Geometric Levy Process Pricing ModelMiyahara, Y; Novikov, A
Jan-2010Lognormal forward market model (LFM) volatility function approximationChung, I; Dun, T; Schlogl, E; Chiarella, C; Novikov, A
1-Jan-2010M-6-On Minimal Market Models and Minimal Martingale MeasuresHulley, H; Schweizer, M; Chiarella, C; Novikov, A
1-Apr-2008Martingales and first passage times of AR(1) sequencesNovikov, A; Kordzakhia, N
Jan-2003Martingales and first-exit times for the Ornstein-Uhlenbeck process with jumpsNovikov, A
1-Jun-2018New and refined bounds for expected maxima of fractional Brownian motionBorovkov, K; Mishura, Y; Novikov, A; Zhitlukhin, M
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