Browsing by Author Kordzakhia, N

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Showing results 1 to 15 of 15
Issue DateTitleAuthor(s)
1-Nov-2017Approximations for weighted Kolmogorov–Smirnov distributions via boundary crossing probabilitiesKordzakhia, N; Novikov, A; Ycart, B
1-Jan-2017Bounds and approximations for distributions of weighted Kolmogorov-Smirnov testsKordzakhia, N; Novikov, A
1-Jan-2016BOUNDS on PRICES for ASIAN OPTIONS VIA FOURIER METHODSAlexander, S; Novikov, A; Kordzakhia, N
1-Jul-2018Estimation of cusp location of stochastic processes: a surveyDachian, S; Kordzakhia, N; Kutoyants, YA; Novikov, A
1-Jan-2005First passage time of filtered Poisson process with exponential shape functionNovikov, A; Melchers, RE; Shinjikashvili, E; Kordzakhia, N
1-Apr-2008Martingales and first passage times of AR(1) sequencesNovikov, A; Kordzakhia, N
-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
19-Sep-2013Pitman estimators: An asymptotic variance revisitedNovikov, A; Kordzakhia, N
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-Jan-2014Pricing of volume-weighted average options: Analytical approximations and numerical resultsNovikov, AA; Ling, TG; Kordzakhia, N
1-Jan-2003Time-Dependent Barrier Options and Boundary Crossing ProbabilitiesNovikov, A; Frishling, V; Kordzakhia, N
1-Jul-2018Translation invariant statistical experiments with independent incrementsGushchin, A; Kordzakhia, N; Novikov, A