Sergey Nadtochiy

1. Mean field systems on networks, with singular interaction through\n hitting times
   2018/07/05 by Sergey Nadtochiy, Mykhaylo Shkolnikov, Nadtochiy, Sergey +1 · 4 citations
   Biochemistry, Genetics and Molecular Biology · Neuroscience · Physics and Astronomy · #15A80 #35K40 #54H25 #82C22 #91A25 #Advanced Thermodynamics and Statistical Mechanics #Analysis of PDEs (math.AP) #FOS: Economics and business #FOS: Mathematics #Gene Regulatory Network Analysis #General Topology (math.GN) #Mathematical Finance (q-fin.MF) #Neural dynamics and brain function #Probability (math.PR)
2. Utility-based pricing and hedging of contingent claims in Almgren-Chriss\n model with temporary price impact
   2019/10/03 by Ibrahim Ekren, Ekren, Ibrahim, Sergey Nadtochiy +1 · 2 citations
   Economics, Econometrics and Finance · Environmental Science · Physics and Astronomy · #Stochastic processes and financial applications #Atmospheric and Environmental Gas Dynamics #Advanced Thermodynamics and Statistical Mechanics
3. Local Variance Gamma and Explicit Calibration to Option Prices
   2013/08/10 by Peter Carr, Carr, Peter, Sergey Nadtochiy +1 · 1 citation
   Economics, Econometrics and Finance · #Analysis of PDEs (math.AP) #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Pricing of Securities (q-fin.PR) #Probability (math.PR) #Stochastic processes and financial applications
4. Particle systems with singular interaction through hitting times:\n application in systemic risk modeling
   2017/05/01 by Sergey Nadtochiy, Nadtochiy, Sergey, Mykhaylo Shkolnikov +1 · 1 citation
   Mathematics · Medicine · Physics and Astronomy · #35K10 #35K60 #60H30 #82C22 #91G80 #Analysis of PDEs (math.AP) #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Mathematical and Theoretical Epidemiology and Ecology Models #Probability (math.PR) #Stochastic processes and statistical mechanics #Theoretical and Computational Physics