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Swishchuk, Anatoliy

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Author ID: swishchuk.anatoliy-v Recent zbMATH articles by "Swishchuk, Anatoliy"
Published as: Svishchuk, A. V.; Svishchuk, Anatolij; Swishchuk, A.; Swishchuk, A. V.; Swishchuk, Anatoliy; Swishchuk, Anatoliy V.; Swishchuk, Anatoly; Swishchuk, Anatoly V.
Homepage: http://people.ucalgary.ca/~aswish/
External Links: GND
Documents Indexed: 96 Publications since 1983, including 10 Books
Reviewing Activity: 368 Reviews
all top 5

Serials

13 Ukraïns’kyĭ Matematychnyĭ Zhurnal
8 Ukrainian Mathematical Journal
6 The Canadian Applied Mathematics Quarterly
5 Teoriya Ĭmovirnosteĭ ta Matematychna Statystyka
3 Random Operators and Stochastic Equations
2 Doklady Akademii Nauk Ukrainskoĭ SSR, Seriya A
2 Stochastic Analysis and Applications
2 Dopovidi Akademiï Nauk Ukraïni
2 Theory of Probability and Mathematical Statistics
2 Differential Equations and Dynamical Systems
2 International Journal of Theoretical and Applied Finance
2 Methodology and Computing in Applied Probability
2 Prykladna Statystyka. Aktuarna ta Finansova Matematyka
2 International Journal of Stochastic Analysis
1 Advances in Applied Probability
1 Fuzzy Sets and Systems
1 Mathematics and Computers in Simulation
1 Insurance Mathematics & Economics
1 Statistics & Probability Letters
1 Communications in Statistics. Theory and Methods
1 Mathematical Problems in Engineering
1 Neliniĭni Kolyvannya
1 Visnyk. Matematyka. Mekhanika. Kyïvs’kyĭ Universytet Imeni Tarasa Shevchenka
1 Visnyk. Seriya: Fizyko-Matematychni Nauky. Kyïvs’kyĭ Universytet Imeni Tarasa Shevchenka
1 Dopovidi Natsional’noï Akademiï Nauk Ukraïny. Matematyka, Pryrodoznavstvo, Tekhnichni Nauky
1 Zhurnal Obchyslyuval’noïta Prykladnoï Matematyky
1 International Journal of Differential Equations and Applications
1 Quantitative Finance
1 International Journal of Qualitative Theory of Differential Equations and Applications
1 SIAM Journal on Financial Mathematics
1 SpringerBriefs in Mathematics

Publications by Year

Citations contained in zbMATH

44 Publications have been cited 183 times in 137 Documents Cited by Year
The pricing of options for securities markets with delayed response. Zbl 1301.91053
Kazmerchuk, Yuriy; Swishchuk, Anatoliy; Wu, Jianhong
17
2007
Semi-Markov random evolutions. Transl. from the Russian by V. Zayatas. Zbl 0813.60083
Korolyuk, V. S.; Swishchuk, A. V.
15
1994
Theory, stochastic stability and applications of stochastic delay differential equations: a survey of results. Zbl 1231.34144
Ivanov, A. F.; Kazmerchuk, Y. I.; Swishchuk, A. V.
13
2003
Stability of stochastic delay equations of Itô form with jumps and Markovian switchings, and their applications in finance. Zbl 0998.60059
Svishchuk, A. V.; Kazmerchuk, Yu. I.
11
2001
A continuous-time GARCH model for stochastic volatility with delay. Zbl 1311.91197
Kazmerchuk, Yuriy; Swishchuk, Anatoliy; Wu, Jianhong
10
2005
Optimal control of stochastic differential delay equations with application in economics. Zbl 1263.34116
Ivanov, Anatoli F.; Swishchuk, Anatoly V.
8
2008
Evolution of biological systems in random media: limit theorems and stability. Zbl 1116.60061
Swishchuk, Anatoly; Wu, Jianhong
7
2003
The stochastic stability of interest rates with jump changes. Zbl 0990.60059
Svishchuk, A. V.; Kalemanova, A. V.
7
2000
Random dynamical systems in finance. Zbl 1279.37050
Swishchuk, Anatoliy; Islam, Shafiqul
6
2013
Pricing options and variance swaps in Markov-modulated Brownian markets. Zbl 1311.91178
Elliott, Robert J.; Swishchuk, Anatoliy V.
6
2007
Modelling and pricing of variance swaps for multi-factor stochastic volatilities with delay. Zbl 1144.91329
Swishchuk, Anatoliy
6
2006
Random evolutions and their applications. New trends. Zbl 0973.60002
Swishchuk, Anatoly
6
2000
Modeling and pricing of swaps for financial and energy markets with stochastic volatilities. Zbl 1298.91017
Swishchuk, Anatoliy
5
2013
The geometric Markov renewal processes with application to finance. Zbl 1223.60072
Swishchuk, Anatoliy; Islam, Md Shafiqul
5
2011
Central limit theorem for semi-Markov random evolutions. Zbl 0609.60035
Korolyuk, V. S.; Svishchuk, A. V.
5
1986
A semi-Markovian modeling of limit order markets. Zbl 1370.60155
Swishchuk, Anatoliy; Vadori, Nelson
4
2017
Pricing currency derivatives with Markov-modulated Lévy dynamics. Zbl 1403.91352
Swishchuk, Anatoliy; Tertychnyi, Maksym; Elliott, Robert
4
2014
Semi-Markov random evolutions: some ideas, methods and results. Zbl 1171.60380
Swishchuk, A. V.
4
1995
Strong law of large numbers and central limit theorems for functionals of inhomogeneous semi-Markov processes. Zbl 1315.60095
Vadori, N.; Swishchuk, A.
3
2015
Discrete-time semi-Markov random evolutions and their applications. Zbl 1271.90106
Limnios, Nikolaos; Swishchuk, Anatoliy
3
2013
Pricing variance swaps for stochastic volatilities with delay and jumps. Zbl 1217.91187
Swishchuk, Anatoliy; Xu, Li
3
2011
Random evolutions and their applications. Zbl 0892.60089
Swishchuk, Anatoly
3
1997
General semi-Markov model for limit order books. Zbl 1396.91764
Swishchuk, Anatoliy; Hofmeister, Tyler; Cera, Katharina; Schmidt, Julia
2
2017
Pricing of variance and volatility swaps with semi-Markov volatilities. Zbl 1259.91085
Swishchuk, Anatoly V.
2
2010
Diffusion approximations of the geometric Markov renewal processes and option price formulas. Zbl 1216.60057
Swishchuk, Anatoliy; Islam, M. Shafiqul
2
2010
Explicit option pricing formula for a mean-reverting asset in energy market. Zbl 1164.60047
Swishchuk, Anatoly
2
2008
Evolution stochastic systems. Averaging algorithms and diffusion approximation. Zbl 0968.60004
Korolyuk, V. S.; Svishchuk, A. V.
2
2000
Hedging of options under mean-square criterion and semi-Markov volatility. Zbl 0977.91021
Swishchuk, A. V.
2
1995
Semi-Markov random evolutions. Zbl 0851.60086
Korolyuk, V. S.; Svishchuk, A. V.
2
1992
Weak convergence of semi-Markov random evolutions in an averaging scheme (martingale approach). Zbl 0704.60090
Svishchuk, A. V.
2
1989
Phase averaging of inhomogeneous semi-Markov random evolutions. Zbl 0678.60085
Korolyuk, V. S.; Svishchuk, A. V.
2
1989
Semi-Markov random evolutions-phase aggregation and applications. Zbl 0900.60077
Koroljuk, V. S.; Swishchuk, A. V.
2
1988
Change of time methods in quantitative finance. Zbl 1391.91004
Swishchuk, Anatoliy
1
2016
The Markov-switching jump diffusion LIBOR market model. Zbl 1398.91631
Steinruecke, L.; Zagst, R.; Swishchuk, A.
1
2015
Covariance and correlation swaps for financial markets with Markov-modulated volatilities. Zbl 1290.91167
Salvi, Giovanni; Swishchuk, Anatoliy V.
1
2014
Normal deviation and Poisson approximation of a security market by the geometric Markov renewal processes. Zbl 1267.60100
Swishchuk, Anatoliy; Islam, Md Shafiqul
1
2013
Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering. Zbl 1202.91355
Swishchuk, Anatoliy; Manca, Raimondo
1
2010
Black-Scholes formula for a market in a random environment. Zbl 0989.60056
Griego, R. J.; Svishchuk, A. V.
1
2000
Analog of the Black-Scholes formula for option pricing under conditions of \((B, S, X)\)-incomplete market of securities with jumps. Zbl 0971.60069
Svishchuk, A. V.; Zhuravitskyj, D. G.; Kalemanova, A. V.
1
2000
Weak convergence of semi-Markov random evolutions (martingale approach). Zbl 0733.60101
Korolyuk, V. S.; Svishchuk, A. V.
1
1990
Solution of the martingale problem for semi-Markov random evolutions. Zbl 0785.60042
Svishchuk, A. V.
1
1990
Weak convergence of semi-Markov random evolutions in an averaging scheme. Zbl 0747.60025
Korolyuk, V. S.; Svishchuk, A. V.
1
1990
Limit representation of continuous semi-Markovian random evolutions in a scheme of series. Zbl 0694.60082
Korolyuk, V. S.; Svishchuk, A. V.
1
1989
A central limit theorem in a scheme of phase extension for semi-Markovian random evolutions. Zbl 0632.60091
Korolyuk, V. S.; Svishchuk, A. V.; Korolyuk, V. V.
1
1987
A semi-Markovian modeling of limit order markets. Zbl 1370.60155
Swishchuk, Anatoliy; Vadori, Nelson
4
2017
General semi-Markov model for limit order books. Zbl 1396.91764
Swishchuk, Anatoliy; Hofmeister, Tyler; Cera, Katharina; Schmidt, Julia
2
2017
Change of time methods in quantitative finance. Zbl 1391.91004
Swishchuk, Anatoliy
1
2016
Strong law of large numbers and central limit theorems for functionals of inhomogeneous semi-Markov processes. Zbl 1315.60095
Vadori, N.; Swishchuk, A.
3
2015
The Markov-switching jump diffusion LIBOR market model. Zbl 1398.91631
Steinruecke, L.; Zagst, R.; Swishchuk, A.
1
2015
Pricing currency derivatives with Markov-modulated Lévy dynamics. Zbl 1403.91352
Swishchuk, Anatoliy; Tertychnyi, Maksym; Elliott, Robert
4
2014
Covariance and correlation swaps for financial markets with Markov-modulated volatilities. Zbl 1290.91167
Salvi, Giovanni; Swishchuk, Anatoliy V.
1
2014
Random dynamical systems in finance. Zbl 1279.37050
Swishchuk, Anatoliy; Islam, Shafiqul
6
2013
Modeling and pricing of swaps for financial and energy markets with stochastic volatilities. Zbl 1298.91017
Swishchuk, Anatoliy
5
2013
Discrete-time semi-Markov random evolutions and their applications. Zbl 1271.90106
Limnios, Nikolaos; Swishchuk, Anatoliy
3
2013
Normal deviation and Poisson approximation of a security market by the geometric Markov renewal processes. Zbl 1267.60100
Swishchuk, Anatoliy; Islam, Md Shafiqul
1
2013
The geometric Markov renewal processes with application to finance. Zbl 1223.60072
Swishchuk, Anatoliy; Islam, Md Shafiqul
5
2011
Pricing variance swaps for stochastic volatilities with delay and jumps. Zbl 1217.91187
Swishchuk, Anatoliy; Xu, Li
3
2011
Pricing of variance and volatility swaps with semi-Markov volatilities. Zbl 1259.91085
Swishchuk, Anatoly V.
2
2010
Diffusion approximations of the geometric Markov renewal processes and option price formulas. Zbl 1216.60057
Swishchuk, Anatoliy; Islam, M. Shafiqul
2
2010
Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering. Zbl 1202.91355
Swishchuk, Anatoliy; Manca, Raimondo
1
2010
Optimal control of stochastic differential delay equations with application in economics. Zbl 1263.34116
Ivanov, Anatoli F.; Swishchuk, Anatoly V.
8
2008
Explicit option pricing formula for a mean-reverting asset in energy market. Zbl 1164.60047
Swishchuk, Anatoly
2
2008
The pricing of options for securities markets with delayed response. Zbl 1301.91053
Kazmerchuk, Yuriy; Swishchuk, Anatoliy; Wu, Jianhong
17
2007
Pricing options and variance swaps in Markov-modulated Brownian markets. Zbl 1311.91178
Elliott, Robert J.; Swishchuk, Anatoliy V.
6
2007
Modelling and pricing of variance swaps for multi-factor stochastic volatilities with delay. Zbl 1144.91329
Swishchuk, Anatoliy
6
2006
A continuous-time GARCH model for stochastic volatility with delay. Zbl 1311.91197
Kazmerchuk, Yuriy; Swishchuk, Anatoliy; Wu, Jianhong
10
2005
Theory, stochastic stability and applications of stochastic delay differential equations: a survey of results. Zbl 1231.34144
Ivanov, A. F.; Kazmerchuk, Y. I.; Swishchuk, A. V.
13
2003
Evolution of biological systems in random media: limit theorems and stability. Zbl 1116.60061
Swishchuk, Anatoly; Wu, Jianhong
7
2003
Stability of stochastic delay equations of Itô form with jumps and Markovian switchings, and their applications in finance. Zbl 0998.60059
Svishchuk, A. V.; Kazmerchuk, Yu. I.
11
2001
The stochastic stability of interest rates with jump changes. Zbl 0990.60059
Svishchuk, A. V.; Kalemanova, A. V.
7
2000
Random evolutions and their applications. New trends. Zbl 0973.60002
Swishchuk, Anatoly
6
2000
Evolution stochastic systems. Averaging algorithms and diffusion approximation. Zbl 0968.60004
Korolyuk, V. S.; Svishchuk, A. V.
2
2000
Black-Scholes formula for a market in a random environment. Zbl 0989.60056
Griego, R. J.; Svishchuk, A. V.
1
2000
Analog of the Black-Scholes formula for option pricing under conditions of \((B, S, X)\)-incomplete market of securities with jumps. Zbl 0971.60069
Svishchuk, A. V.; Zhuravitskyj, D. G.; Kalemanova, A. V.
1
2000
Random evolutions and their applications. Zbl 0892.60089
Swishchuk, Anatoly
3
1997
Semi-Markov random evolutions: some ideas, methods and results. Zbl 1171.60380
Swishchuk, A. V.
4
1995
Hedging of options under mean-square criterion and semi-Markov volatility. Zbl 0977.91021
Swishchuk, A. V.
2
1995
Semi-Markov random evolutions. Transl. from the Russian by V. Zayatas. Zbl 0813.60083
Korolyuk, V. S.; Swishchuk, A. V.
15
1994
Semi-Markov random evolutions. Zbl 0851.60086
Korolyuk, V. S.; Svishchuk, A. V.
2
1992
Weak convergence of semi-Markov random evolutions (martingale approach). Zbl 0733.60101
Korolyuk, V. S.; Svishchuk, A. V.
1
1990
Solution of the martingale problem for semi-Markov random evolutions. Zbl 0785.60042
Svishchuk, A. V.
1
1990
Weak convergence of semi-Markov random evolutions in an averaging scheme. Zbl 0747.60025
Korolyuk, V. S.; Svishchuk, A. V.
1
1990
Weak convergence of semi-Markov random evolutions in an averaging scheme (martingale approach). Zbl 0704.60090
Svishchuk, A. V.
2
1989
Phase averaging of inhomogeneous semi-Markov random evolutions. Zbl 0678.60085
Korolyuk, V. S.; Svishchuk, A. V.
2
1989
Limit representation of continuous semi-Markovian random evolutions in a scheme of series. Zbl 0694.60082
Korolyuk, V. S.; Svishchuk, A. V.
1
1989
Semi-Markov random evolutions-phase aggregation and applications. Zbl 0900.60077
Koroljuk, V. S.; Swishchuk, A. V.
2
1988
A central limit theorem in a scheme of phase extension for semi-Markovian random evolutions. Zbl 0632.60091
Korolyuk, V. S.; Svishchuk, A. V.; Korolyuk, V. V.
1
1987
Central limit theorem for semi-Markov random evolutions. Zbl 0609.60035
Korolyuk, V. S.; Svishchuk, A. V.
5
1986
all top 5

Cited by 215 Authors

21 Swishchuk, Anatoliy
5 Islam, Mohammad Shafiqul
5 Korolyuk, Volodymyr Semenovych
4 Chang, Mouhsiung
4 Cordoni, Francesco Giuseppe
4 Di Persio, Luca
4 Kolesnik, Alexander D.
4 Luo, Jiaowan
3 Anisimov, Vladimir Vladislavovič
3 Birkin, Mark
3 Cui, Zhenyu
3 Elliott, Robert James
3 Frank, Till Daniel
3 Jiang, Feng
3 Luo, Jingjing
3 Manca, Raimondo
3 Nie, Xiaokai
3 SenGupta, Indranil
3 Zhu, Songping
2 Ademola, Adeleke Timothy
2 Badescu, Alexandru M.
2 Bretó, Carles
2 Coca, Daniel
2 D’Amico, Guglielmo
2 Fei, Weiyin
2 Ionides, Edward L.
2 Janssen, Jacques
2 Lei, Jinzhi
2 Li, Xiong
2 Limnios, Nikolaos
2 Pang, Tao
2 Pemy, Moustapha
2 Pogorui, Anatoliy A.
2 Ricciuti, Costantino
2 Rodríguez-Dagnino, Ramón Martín
2 Toaldo, Bruno
2 Wang, Zhen
2 Wu, Zhen
2 Yang, Hua
2 Youree, Roger K.
2 Yue, Chao
1 Abou-El-Ela, A. M. A.
1 Adesina, Olufemi Adeyinka
1 Akhtari, Bahar
1 Al-Obaidi, Ali H. M.
1 Antonio, Katrien
1 Artalejo, Jesus R.
1 Askes, Harm
1 Au, Chi Yan
1 Babolian, Esmail
1 Baños, David R.
1 Beek, Peter J.
1 Bhat, Harish S.
1 Bo, Lijun
1 Boyarsky, Abraham
1 Burdeinyi, A. G.
1 Burrage, Kevin
1 Cadenillas, Abel
1 Cera, Katharina
1 Chabanyuk, Yaroslav M.
1 Chang, Pei-Chann
1 Chavez-Casillas, Jonathan A.
1 Chen, Chuchu
1 Chen, Jing
1 Chen, Li
1 Chen, Yuyu
1 Couch, Matthew
1 Crauel, Hans
1 Crevecoeur, Jonas
1 De Gregorio, Alessandro
1 Di Nunno, Giulian
1 Doan, Thai Son
1 Domínguez de la Iglesia, Manuel
1 Dshalalow, Jewgeni H.
1 Du, Ying
1 El-Gohary, Awad I.
1 Filip, Silviu-Ioan
1 Foroush Bastani, Ali
1 Fung, Eric S.
1 Ge, Xiangyu
1 Gianfelice, Michele
1 Gitman, Inna M.
1 Gitman, Michael B.
1 Góra, Paweł
1 Guedda, Lahcene
1 Guo, Yongfeng
1 Hao, Tao
1 He, Daihai
1 He, Xinjiang
1 Hmissi, Mohamed
1 Hofmeister, Tyler
1 Hou, Zhenting
1 Huang, Chengming
1 Ihsan, Atif
1 Issaka, Aziz
1 Ivanov, Anatoli F.
1 Javeed, Aurya
1 Jiang, Daqing
1 Jordan, Richard
1 Kazmerchuk, Yuriĭ Ivanovich
...and 115 more Authors
all top 5

Cited in 84 Serials

8 Ukrainian Mathematical Journal
5 Stochastic Processes and their Applications
5 International Journal of Theoretical and Applied Finance
4 Journal of Statistical Physics
4 Journal of Computational and Applied Mathematics
4 Stochastic Analysis and Applications
4 Mathematical Problems in Engineering
3 Physics Letters. A
3 Abstract and Applied Analysis
3 Methodology and Computing in Applied Probability
3 International Journal of Stochastic Analysis
2 Applied Mathematics and Computation
2 Automatica
2 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
2 Insurance Mathematics & Economics
2 Statistics & Probability Letters
2 Journal of Applied Mathematics and Stochastic Analysis
2 Communications in Statistics. Theory and Methods
2 European Journal of Operational Research
2 Theory of Probability and Mathematical Statistics
2 Random Operators and Stochastic Equations
2 Top
2 Journal of Difference Equations and Applications
2 Communications in Nonlinear Science and Numerical Simulation
2 Differentsial’nye Uravneniya i Protsessy Upravleniya
2 Quantitative Finance
2 Discrete and Continuous Dynamical Systems. Series B
2 Journal of Probability and Statistics
1 Advances in Applied Probability
1 International Journal of Control
1 Inverse Problems
1 Journal of Mathematical Analysis and Applications
1 Lithuanian Mathematical Journal
1 Chaos, Solitons and Fractals
1 Applied Mathematics and Optimization
1 Journal of Applied Probability
1 Journal of Differential Equations
1 Journal of Functional Analysis
1 Journal of Optimization Theory and Applications
1 Mathematics and Computers in Simulation
1 SIAM Journal on Numerical Analysis
1 Cybernetics
1 Acta Applicandae Mathematicae
1 Journal of Economic Dynamics & Control
1 Applied Mathematics Letters
1 Mathematical and Computer Modelling
1 Annals of Operations Research
1 Journal of Global Optimization
1 Numerical Algorithms
1 Applied Mathematical Modelling
1 Journal of Statistical Computation and Simulation
1 SIAM Review
1 Journal of Dynamics and Differential Equations
1 Archive of Applied Mechanics
1 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering
1 Journal of Nonlinear Science
1 Cybernetics and Systems Analysis
1 Applied Mathematics. Series B (English Edition)
1 Applicationes Mathematicae
1 NoDEA. Nonlinear Differential Equations and Applications
1 European Journal of Control
1 Mathematical Finance
1 Soft Computing
1 Journal of Applied Mathematics and Decision Sciences
1 Discrete Dynamics in Nature and Society
1 Brazilian Journal of Probability and Statistics
1 Dynamics of Continuous, Discrete & Impulsive Systems. Series A. Mathematical Analysis
1 Dynamical Systems
1 Journal of Systems Science and Complexity
1 Journal of Applied Mathematics
1 Mediterranean Journal of Mathematics
1 Advances in Difference Equations
1 Stochastics
1 Chebyshevskiĭ Sbornik
1 Frontiers of Mathematics in China
1 Mathematics and Financial Economics
1 Nonlinear Analysis. Hybrid Systems
1 The Annals of Applied Statistics
1 SIAM Journal on Financial Mathematics
1 Set-Valued and Variational Analysis
1 Advances in Decision Sciences
1 Annals of Finance
1 International Journal of Analysis
1 The Scientific World Journal. Probability and Statistics

Citations by Year