Gayduk, Roman; Nadtochiy, Sergey Control-stopping games for market microstructure and beyond. (English) Zbl 07291317 Math. Oper. Res. 45, No. 4, 1289-1317 (2020). MSC: 91A55 91A05 91A80 91B26 PDF BibTeX XML Cite \textit{R. Gayduk} and \textit{S. Nadtochiy}, Math. Oper. Res. 45, No. 4, 1289--1317 (2020; Zbl 07291317) Full Text: DOI
Nadtochiy, Sergey; Shkolnikov, Mykhaylo Mean field systems on networks, with singular interaction through hitting times. (English) Zbl 1448.82032 Ann. Probab. 48, No. 3, 1520-1556 (2020). Reviewer: Claudia Simionescu-Badea (Wien) MSC: 82C22 05C57 54H25 92C20 PDF BibTeX XML Cite \textit{S. Nadtochiy} and \textit{M. Shkolnikov}, Ann. Probab. 48, No. 3, 1520--1556 (2020; Zbl 1448.82032) Full Text: DOI Euclid
Nadtochiy, Sergey; Zariphopoulou, Thaleia Optimal contract for a fund manager with capital injections and endogenous trading constraints. (English) Zbl 1430.91087 SIAM J. Financ. Math. 10, No. 3, 698-722 (2019). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G10 91B41 91G80 60H15 PDF BibTeX XML Cite \textit{S. Nadtochiy} and \textit{T. Zariphopoulou}, SIAM J. Financ. Math. 10, No. 3, 698--722 (2019; Zbl 1430.91087) Full Text: DOI Link
Nadtochiy, Sergey; Shkolnikov, Mykhaylo Particle systems with singular interaction through hitting times: application in systemic risk modeling. (English) Zbl 1417.35204 Ann. Appl. Probab. 29, No. 1, 89-129 (2019). Reviewer: Rodica Luca (Iaşi) MSC: 35Q91 35B65 35K20 82C22 91G80 35B44 PDF BibTeX XML Cite \textit{S. Nadtochiy} and \textit{M. Shkolnikov}, Ann. Appl. Probab. 29, No. 1, 89--129 (2019; Zbl 1417.35204) Full Text: DOI Euclid arXiv
Gayduk, Roman; Nadtochiy, Sergey Liquidity effects of trading frequency. (English) Zbl 1411.91501 Math. Finance 28, No. 3, 839-876 (2018). MSC: 91G10 91A80 PDF BibTeX XML Cite \textit{R. Gayduk} and \textit{S. Nadtochiy}, Math. Finance 28, No. 3, 839--876 (2018; Zbl 1411.91501) Full Text: DOI
Gayduk, Roman; Nadtochiy, Sergey Endogenous formation of limit order books: dynamics between trades. (English) Zbl 1388.91144 SIAM J. Control Optim. 56, No. 3, 1577-1619 (2018). MSC: 91G80 91A13 93E20 PDF BibTeX XML Cite \textit{R. Gayduk} and \textit{S. Nadtochiy}, SIAM J. Control Optim. 56, No. 3, 1577--1619 (2018; Zbl 1388.91144) Full Text: DOI
Carmona, Rene; Ma, Yi; Nadtochiy, Sergey Simulation of implied volatility surfaces via tangent Lévy models. (English) Zbl 1410.91478 SIAM J. Financ. Math. 8, 171-213 (2017). MSC: 91G60 91G20 91G70 91G10 65C05 60G51 PDF BibTeX XML Cite \textit{R. Carmona} et al., SIAM J. Financ. Math. 8, 171--213 (2017; Zbl 1410.91478) Full Text: DOI
Nadtochiy, Sergey; Obłój, Jan Robust trading of implied skew. (English) Zbl 1422.91717 Int. J. Theor. Appl. Finance 20, No. 2, Article ID 1750008, 41 p. (2017). Reviewer: Gianluca Cassese (Milano) MSC: 91G20 91G10 PDF BibTeX XML Cite \textit{S. Nadtochiy} and \textit{J. Obłój}, Int. J. Theor. Appl. Finance 20, No. 2, Article ID 1750008, 41 p. (2017; Zbl 1422.91717) Full Text: DOI
Carr, Peter; Nadtochiy, Sergey Local variance gamma and explicit calibration to option prices. (English) Zbl 1422.91685 Math. Finance 27, No. 1, 151-193 (2017). MSC: 91G20 60G44 35Q91 PDF BibTeX XML Cite \textit{P. Carr} and \textit{S. Nadtochiy}, Math. Finance 27, No. 1, 151--193 (2017; Zbl 1422.91685) Full Text: DOI arXiv
Bayraktar, Erhan; Nadtochiy, Sergey Weak reflection principle for Lévy processes. (English) Zbl 1330.60064 Ann. Appl. Probab. 25, No. 6, 3251-3294 (2015). MSC: 60G51 60J75 60J60 91G20 91G80 45Q05 PDF BibTeX XML Cite \textit{E. Bayraktar} and \textit{S. Nadtochiy}, Ann. Appl. Probab. 25, No. 6, 3251--3294 (2015; Zbl 1330.60064) Full Text: DOI Euclid arXiv
Nadtochiy, Sergey; Zariphopoulou, Thaleia A class of homothetic forward investment performance processes with non-zero volatility. (English) Zbl 1418.91483 Kabanov, Yuri (ed.) et al., Inspired by finance. The Musiela Festschrift. Cham: Springer. 475-504 (2014). MSC: 91G10 60H30 PDF BibTeX XML Cite \textit{S. Nadtochiy} and \textit{T. Zariphopoulou}, in: Inspired by finance. The Musiela Festschrift. Cham: Springer. 475--504 (2014; Zbl 1418.91483) Full Text: DOI
Nadtochiy, Sergey; Zariphopoulou, Thaleia An approximation scheme for solution to the optimal investment problem in incomplete markets. (English) Zbl 1282.91307 SIAM J. Financ. Math. 4, 494-538 (2013). Reviewer: Yuri Kifer (Jerusalem) MSC: 91G10 91G80 49L25 93E20 PDF BibTeX XML Cite \textit{S. Nadtochiy} and \textit{T. Zariphopoulou}, SIAM J. Financ. Math. 4, 494--538 (2013; Zbl 1282.91307) Full Text: DOI
Carmona, René; Nadtochiy, Sergey Tangent Lévy market models. (English) Zbl 1259.91047 Finance Stoch. 16, No. 1, 63-104 (2012). MSC: 91B24 PDF BibTeX XML Cite \textit{R. Carmona} and \textit{S. Nadtochiy}, Finance Stoch. 16, No. 1, 63--104 (2012; Zbl 1259.91047) Full Text: DOI
Carr, Peter; Nadtochiy, Sergey Static hedging under time-homogeneous diffusions. (English) Zbl 1247.91182 SIAM J. Financ. Math. 2, 794-838 (2011). Reviewer: Weiping Li (Stillwater) MSC: 91G20 45Q05 60J60 PDF BibTeX XML Cite \textit{P. Carr} and \textit{S. Nadtochiy}, SIAM J. Financ. Math. 2, 794--838 (2011; Zbl 1247.91182) Full Text: DOI
Carmona, René; Nadtochiy, Sergey Tangent models as a mathematical framework for dynamic calibration. (English) Zbl 1208.91169 Int. J. Theor. Appl. Finance 14, No. 1, 107-135 (2011). MSC: 91G80 60G51 91G20 PDF BibTeX XML Cite \textit{R. Carmona} and \textit{S. Nadtochiy}, Int. J. Theor. Appl. Finance 14, No. 1, 107--135 (2011; Zbl 1208.91169) Full Text: DOI
Carmona, René; Nadtochiy, Sergey Local volatility dynamic models. (English) Zbl 1199.91202 Finance Stoch. 13, No. 1, 1-48 (2009). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G20 91G30 60H10 PDF BibTeX XML Cite \textit{R. Carmona} and \textit{S. Nadtochiy}, Finance Stoch. 13, No. 1, 1--48 (2009; Zbl 1199.91202) Full Text: DOI
Carmona, R.; Nadtochiy, S. An infinite dimensional stochastic analysis approach to local volatility dynamic models. (English) Zbl 1331.91201 Commun. Stoch. Anal. 2, No. 1, 109-123 (2008). MSC: 91G70 91B24 91B70 PDF BibTeX XML Cite \textit{R. Carmona} and \textit{S. Nadtochiy}, Commun. Stoch. Anal. 2, No. 1, 109--123 (2008; Zbl 1331.91201)