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
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
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