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
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