Dyshaev Mikhail Mikhaylovich

Publications in Math-Net.Ru

1. The accounting of illiquidity and transaction costs during the delta-hedging
   
   Applied Mathematics & Physics, 53:2 (2021),  132–143
2. Approximation and comparison of the empirical liquidity cost function for various futures contracts
   
   Mathematical notes of NEFU, 28:4 (2021),  101–113
3. On measuring the cost of liquidity in the limit order book
   
   Chelyab. Fiz.-Mat. Zh., 5:1 (2020),  96–104
4. The optimal rehedging interval for the options portfolio within the RAMP, taking into account transaction costs and liquidity costs
   
   Bulletin of Irkutsk State University. Series Mathematics, 31 (2020),  3–17
5. Accounting of transaction costs for delta-hedging of options
   
   Chelyab. Fiz.-Mat. Zh., 4:4 (2019),  375–386
6. Time decay comparison for option straddle in case of insufficient liquidity or transaction costs
   
   Applied Mathematics & Physics, 51:3 (2019),  451–459
7. Comparing of some sensitivities for nonlinear models comparing of some sensitivities (Greeks) for nonlinear models of option pricing with market illiquidity
   
   Mathematical notes of NEFU, 26:2 (2019),  94–108
8. Simulation of feedback effects for futures-style options pricing on Moscow Exchange
   
   Chelyab. Fiz.-Mat. Zh., 3:4 (2018),  379–394
9. On some option pricing models on illiquid markets
   
   Chelyab. Fiz.-Mat. Zh., 2:1 (2017),  18–29
10. Symmetries and exact solutions of a nonlinear pricing options equation
    
    Ufimsk. Mat. Zh., 9:1 (2017),  29–41
11. Group analysis of a nonlinear generalization for Black — Scholes equation
    
    Chelyab. Fiz.-Mat. Zh., 1:3 (2016),  7–14
12. Symmetry analysis and exact solutions for a nonlinear model of the financial markets theory
    
    Mathematical notes of NEFU, 23:1 (2016),  28–45
13. Group classification for a general nonlinear model of option pricing
    
    Ural Math. J., 2:2 (2016),  37–44


14. Yield crop simulation for options pricing
    
    Chelyab. Fiz.-Mat. Zh., 6:4 (2021),  512–528
15. Representation of trading signals based Kaufman adaptive moving average as a system of linear inequalities
    
    Vestn. YuUrGU. Ser. Vych. Matem. Inform., 2:4 (2013),  103–108