Dolinsky, Yan
- Martingale Optimal Transport and Robust Hedging in Continuous Time
2012/08/24 by Dolinsky, Yan, Soner, H. Mete · 7 citations
#60G44 #91G10 #FOS: Mathematics #Probability (math.PR)
- Duality and Convergence for Binomial Markets with Friction
2011/06/10 by Yan Dolinsky, H. Meté Soner, Dolinsky, Yan +1 · 1 citation
Economics, Econometrics and Finance · Business, Management and Accounting · #Stochastic processes and financial applications #Economic theories and models #Advanced Queuing Theory Analysis
- Robust Hedging with Proportional Transaction Costs
2013/02/04 by Yan Dolinsky, H. Meté Soner, Dolinsky, Yan +1 · 1 citation
Economics, Econometrics and Finance · Social Sciences · #60G42 #91G10 #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Portfolio Management (q-fin.PM) #Probability (math.PR) #Stochastic processes and financial applications
- Hedging of Game Options under Model Uncertainty in Discrete Time
2013/04/12 by Dolinsky, Yan · 1 citation
#60G40 #91G10 60F05 #FOS: Economics and business #FOS: Mathematics #Pricing of Securities (q-fin.PR) #Probability (math.PR)
- Super-replication in Fully Incomplete Markets
2015/08/21 by Dolinsky, Yan, Neufeld, Ariel · 1 citation
#91G10 #91G20 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Probability (math.PR)
- Continuous-time Duality for Super-replication with Transient Price Impact
2018/08/29 by Peter Bank, Bank, Peter, Yan Dolinsky +1 · 1 citation
Economics, Econometrics and Finance · #91G10 #91G20 #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Financial Markets and Investment Strategies #Optimization and Control (math.OC) #Pricing of Securities (q-fin.PR) #Stochastic processes and financial applications
- What if we knew what the future brings? Optimal investment for a frontrunner with price impact
2021/08/09 by Bank, Peter, Dolinsky, Yan, Rásonyi, Miklós · 3 citations
#91B16 #91G10 #FOS: Economics and business #Mathematical Finance (q-fin.MF)
- Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs
2019/12/18 by Bayraktar, Erhan, Dolinskyi, Leonid, Dolinsky, Yan · 1 citation
#60F05 #91B16 #91G10 #FOS: Economics and business #Mathematical Finance (q-fin.MF)
- Weak Approximation of G-Expectations
2011/03/02 by Yan Dolinsky, Dolinsky, Yan, Marcel Nutz +3 · 1 citation
Economics, Econometrics and Finance · #60F05 #60G44 #91B25 #91B30 #Complex Systems and Time Series Analysis #FOS: Mathematics #Financial Risk and Volatility Modeling #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications
- Optimal investment with a noisy signal of future stock prices
2023/02/21 by Peter Bank, Bank, Peter, Yan Dolinsky +1 · 1 citation
Economics, Econometrics and Finance · #91B16 #91G10 #Complex Systems and Time Series Analysis #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Stochastic processes and financial applications