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1

PERFECT AND PARTIAL HEDGING FOR SWING GAME OPTIONS IN DISCRETE TIME

Yan Dolinsky, Yonathan Iron, Yuri Kifer

Journal:

Mathematical Finance

Année:

2011

Langue:

english

Fichier:

PDF, 253 KB

english, 2011

2

Corrigendum to “Martingale optimal transport in the Skorokhod space” [Stochastic Process. Appl. 125(10) (2015) 3893–3931]

Dolinsky, Yan, Soner, H. Mete

Journal:

Stochastic Processes and their Applications

Année:

2016

Langue:

english

Fichier:

PDF, 141 KB

english, 2016

3

Recombining Tree Approximations for Optimal Stopping for Diffusions

Bayraktar, Erhan, Dolinsky, Yan, Guo, Jia

Journal:

SIAM Journal on Financial Mathematics

Année:

2018

Langue:

english

Fichier:

PDF, 550 KB

english, 2018

4

Duality and convergence for binomial markets with friction

Yan Dolinsky, Halil Mete Soner

Journal:

Finance and Stochastics

Année:

2013

Langue:

english

Fichier:

PDF, 885 KB

english, 2013

5

Martingale optimal transport and robust hedging in continuous time

Dolinsky, Yan, Soner, H. Mete

Journal:

Probability Theory and Related Fields

Année:

2014

Langue:

english

Fichier:

PDF, 376 KB

english, 2014

6

Robust hedging with proportional transaction costs

Dolinsky, Yan, Soner, H. Mete

Journal:

Finance and Stochastics

Année:

2014

Langue:

english

Fichier:

PDF, 715 KB

english, 2014

7

Another Correction: Error Estimates for Binomial Approximations of Game Options

Yan Dolinsky and Yuri Kifer

Journal:

The Annals of Applied Probability

Année:

2008

Langue:

english

Fichier:

PDF, 865 KB

english, 2008

8

Martingale optimal transport in the Skorokhod space

Dolinsky, Yan, Soner, H. Mete

Journal:

Stochastic Processes and their Applications

Année:

2015

Langue:

english

Fichier:

PDF, 388 KB

english, 2015

9

Binomial Approximations of Shortfall Risk for Game Options

Yan Dolinsky and Yuri Kifer

Journal:

The Annals of Applied Probability

Année:

2008

Langue:

english

Fichier:

PDF, 1.89 MB

english, 2008

10

Super-replication in fully incomplete markets

Dolinsky, Yan, Neufeld, Ariel

Journal:

Mathematical Finance

Année:

2017

Langue:

english

Fichier:

PDF, 669 KB

english, 2017

11

Extended weak convergence and utility maximisation with proportional transaction costs

Bayraktar, Erhan, Dolinskyi, Leonid, Dolinsky, Yan

Journal:

Finance and Stochastics

Année:

2020

Fichier:

PDF, 823 KB

2020

12

Weak approximation of -expectations

Yan Dolinsky, Marcel Nutz, H. Mete Soner

Journal:

Stochastic Processes and their Applications

Année:

2012

Langue:

english

Fichier:

PDF, 233 KB

english, 2012

13

LIMIT THEOREMS FOR PARTIAL HEDGING UNDER TRANSACTION COSTS

Journal:

Mathematical Finance

Année:

2012

Langue:

english

Fichier:

PDF, 744 KB

english, 2012

14

Evaluating TBK1 as a Therapeutic Target in Cancers with Activated IRF3

Muvaffak, A., Pan, Q., Yan, H., Fernandez, R., Lim, J., Dolinski, B., Nguyen, T. T., Strack, P., Wu, S., Chung, R., Zhang, W., Hulton, C., Ripley, S., Hirsch, H., Nagashima, K., Wong, K.-K., Janne, P.

Journal:

Molecular Cancer Research

Année:

2014

Langue:

english

Fichier:

PDF, 1.90 MB

english, 2014

15

Hedging of game options with the presence of transaction costs

Journal:

The Annals of Applied Probability

Année:

2013

Langue:

english

Fichier:

PDF, 278 KB

english, 2013

16

Hedging with risk for game options in discrete time

Dolinsky, Yan, Kifer, Yuri

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Année:

2007

Langue:

english

Fichier:

PDF, 305 KB

english, 2007

17

Genetic and Pharmacological Inhibition of PDK1 in Cancer Cells: CHARACTERIZATION OF A SELECTIVE ALLOSTERIC KINASE INHIBITOR

Nagashima, K., Shumway, S. D., Sathyanarayanan, S., Chen, A. H., Dolinski, B., Xu, Y., Keilhack, H., Nguyen, T., Wiznerowicz, M., Li, L., Lutterbach, B. A., Chi, A., Paweletz, C., Allison, T., Yan, Y.

Journal:

Journal of Biological Chemistry

Année:

2011

Langue:

english

Fichier:

PDF, 7.27 MB

english, 2011

18

SPIE Proceedings [SPIE IS&T/SPIE Electronic Imaging - San Francisco Airport, California, USA (Sunday 23 January 2011)] Three-Dimensional Imaging, Interaction, and Measurement - Flash trajectory imaging of target 3D motion

Wang, Xinwei, Beraldin, J. Angelo, Cheok, Geraldine S., Zhou, Yan, Fan, Songtao, McCarthy, Michael B., Neuschaefer-Rube, Ulrich, He, Jun, Liu, Yuliang, Baskurt, Atilla M., McDowall, Ian E., Dolinsky,

Année:

2011

Langue:

english

Fichier:

PDF, 320 KB

english, 2011

19

Error estimates for multinomial approximations of American options in a class of jump diffusion models

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Année:

2011

Langue:

english

Fichier:

PDF, 158 KB

english, 2011

20

SHORTFALL RISK APPROXIMATIONS FOR AMERICAN OPTIONS IN THE MULTIDIMENSIONAL BLACK—SCHOLES MODEL

Journal:

Journal of Applied Probability

Année:

2010

Langue:

english

Fichier:

PDF, 1.09 MB

english, 2010

21

APPLICATIONS OF WEAK CONVERGENCE FOR HEDGING OF GAME OPTIONS

Journal:

The Annals of Applied Probability

Année:

2010

Langue:

english

Fichier:

PDF, 1.12 MB

english, 2010

22

Approximating stochastic volatility by recombinant trees

Akyıldırım, Erdinç, Dolinsky, Yan, Soner, H. Mete

Journal:

The Annals of Applied Probability

Année:

2014

Langue:

english

Fichier:

PDF, 244 KB

english, 2014

23

Hedging of game options under model uncertainty in discrete time

Journal:

Electronic Communications in Probability

Année:

2014

Langue:

english

Fichier:

PDF, 268 KB

english, 2014

24

Numerical schemes for G-Expectations

Journal:

Electronic Journal of Probability

Année:

2012

Langue:

english

Fichier:

PDF, 299 KB

english, 2012

25

Applications of weak convergence for hedging of game options

Journal:

The Annals of Applied Probability

Année:

2010

Langue:

english

Fichier:

PDF, 180 KB

english, 2010

26

Shortfall risk approximations for American options in the multidimensional Black-Scholes model

Journal:

Journal of Applied Probability

Année:

2010

Langue:

english

Fichier:

PDF, 174 KB

english, 2010

27

Convex Duality with Transaction Costs

Dolinsky, Yan, Soner, H. Mete

Journal:

Mathematics of Operations Research

Année:

2016

Langue:

english

Fichier:

PDF, 342 KB

english, 2016

28

The scaling limit of superreplication prices with small transaction costs in the multivariate case

Peter Bank,Yan Dolinsky,Ari-Pekka Perkkiö

Journal:

Finance and Stochastics

Année:

2017

Langue:

english

Fichier:

PDF, 832 KB

english, 2017

29

Martingale Optimal Transport and Robust Hedging in Continuous Time

Dolinsky, Yan, Soner, Halil Mete

Journal:

SSRN Electronic Journal

Année:

2013

Langue:

english

Fichier:

PDF, 530 KB

english, 2013

30

Recombining Tree Approximations for Optimal Stopping for Diffusions

Bayraktar, Erhan, Dolinsky, Yan, Guo, Jia

Journal:

SSRN Electronic Journal

Année:

2017

Langue:

english

Fichier:

PDF, 497 KB

english, 2017

31

Numerical scheme for Dynkin games under model uncertainty

Dolinsky, Yan, Gottesman, Benjamin

Journal:

Electronic Journal of Probability

Année:

2018

Langue:

english

Fichier:

PDF, 328 KB

english, 2018

32

Shortfall Risk Approximations for American Options in the Multidimensional Black-Scholes Model

Journal:

Journal of Applied Probability

Année:

2010

Langue:

english

Fichier:

PDF, 178 KB

english, 2010

33

Shortfall Risk Approximations for American Options in the Multidimensional Black-Scholes Model

Journal:

Journal of Applied Probability

Année:

2010

Fichier:

PDF, 178 KB

2010

34

-expectations

Dolinsky, Yan, Zouari, Jonathan

Journal:

Stochastic Processes and their Applications

Année:

2019

Langue:

english

Fichier:

PDF, 347 KB

english, 2019

35

Continuity of utility maximization under weak convergence

Bayraktar, Erhan, Dolinsky, Yan, Guo, Jia

Journal:

Mathematics and Financial Economics

Année:

2020

Fichier:

PDF, 715 KB

2020

36

The value of insider information for super-replication with quadratic transaction costs

Dolinsky, Yan, Zouari, Jonathan

Journal:

Stochastic Processes and their Applications

Année:

2021

Fichier:

PDF, 1.71 MB

2021