Ivanov Roman Valer'evich

Publications in Math-Net.Ru

1. On computing the price of financial instruments in foreign currency
   
   Avtomat. i Telemekh., 2018, no. 4,  123–137
2. On predicting the maximum of a semimartingale and the optimal moment to sell a stock
   
   Avtomat. i Telemekh., 2015, no. 7,  69–77
3. On identification of morbidity parameters in heterogeneous model: cases of complete and incomplete information
   
   UBS, 57 (2015),  138–157
4. Optimal Stopping Problem in a Model with Compensated Refusal of Reward
   
   Mat. Zametki, 89:2 (2011),  241–248
5. On the duality principle of hedging in diffusion models
   
   Teor. Veroyatnost. i Primenen., 56:3 (2011),  417–448
6. On the problem of optimal stopping for the composite Russian option
   
   Avtomat. i Telemekh., 2010, no. 8,  105–110
7. Calculating the American options in the default model
   
   Avtomat. i Telemekh., 2007, no. 3,  154–164
8. Discrete approximation of American-type options
   
   Uspekhi Mat. Nauk, 61:1(367) (2006),  179–180
9. Convergence of discrete approximation of some Gaussian processes
   
   Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2005, no. 6,  54–55