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
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
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
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