Yan Dolinsky
- 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
- 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
- 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