Yan Dolinsky
Yan Dolinsky
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Процитировано
Процитировано
Год
Martingale optimal transport and robust hedging in continuous time
Y Dolinsky, HM Soner
Probability Theory and Related Fields 160 (1-2), 391-427, 2014
1772014
Robust hedging with proportional transaction costs
Y Dolinsky, HM Soner
Finance and Stochastics 18 (2), 327-347, 2014
652014
Martingale optimal transport in the Skorokhod space
Y Dolinsky, HM Soner
Stochastic Processes and their Applications 125 (10), 3893-3931, 2015
602015
Weak approximation of G-expectations
Y Dolinsky, M Nutz, HM Soner
Stochastic Processes and their Applications 122 (2), 664-675, 2012
452012
Hedging with risk for game options in discrete time
Y Dolinsky, Y Kifer
Stochastics An International Journal of Probability and Stochastic Processes …, 2007
402007
Duality and convergence for binomial markets with friction
Y Dolinsky, HM Soner
Finance and Stochastics 17 (3), 447-475, 2013
372013
Approximating stochastic volatility by recombinant trees
E Akyıldırım, Y Dolinsky, HM Soner
The Annals of Applied Probability 24 (5), 2176-2205, 2014
222014
Numerical schemes for G-expectations
Y Dolinsky
Electronic Journal of Probability 17, 1-15, 2012
212012
Super-replication with nonlinear transaction costs and volatility uncertainty
P Bank, Y Dolinsky, S Gökay
The Annals of Applied Probability 26 (3), 1698-1726, 2016
172016
Super‐replication in fully incomplete markets
Y Dolinsky, A Neufeld
Mathematical Finance 28 (2), 483-515, 2018
152018
Hedging of game options under model uncertainty in discrete time
Y Dolinsky
Electronic Communications in Probability 19, 1-11, 2014
152014
Hedging of game options with the presence of transaction costs
Y Dolinsky
The Annals of Applied Probability 23 (6), 2212-2237, 2013
152013
Continuity of utility maximization under weak convergence
E Bayraktar, Y Dolinsky, J Guo
Mathematics and Financial Economics 14 (4), 725-757, 2020
142020
Perfect and partial hedging for swing game options in discrete time
Y Dolinsky, Y Iron, Y Kifer
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2011
132011
Applications of weak convergence for hedging of game options
Y Dolinsky
The Annals of Applied Probability 20 (5), 1891-1906, 2010
122010
Binomial approximations of shortfall risk for game options
Y Dolinsky, Y Kifer
The Annals of Applied Probability 18 (5), 1737-1770, 2008
122008
Convex duality with transaction costs
Y Dolinsky, HM Soner
Mathematics of Operations Research 42 (2), 448-471, 2017
102017
Extended weak convergence and utility maximisation with proportional transaction costs
E Bayraktar, L Dolinskyi, Y Dolinsky
Finance and Stochastics 24 (4), 1013-1034, 2020
82020
Recombining tree approximations for optimal stopping for diffusions
E Bayraktar, Y Dolinsky, J Guo
SIAM Journal on Financial Mathematics 9 (2), 602-633, 2018
72018
The scaling limit of superreplication prices with small transaction costs in the multivariate case
P Bank, Y Dolinsky, AP Perkkiö
Finance and Stochastics 21 (2), 487-508, 2017
72017
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