49 citations to https://www.mathnet.ru/rus/tvp594
-
Paavo Salminen, Pierre Vallois, “Drawdowns of Diffusions”, ESAIM: PS, 29 (2025), 357
-
Yifan Li, “On the Brownian range and the Brownian reversal”, J. Appl. Probab., 2024, 1
-
M. Salcı‐Bilici, F. P{\i}nar Erdem, İbrahim Ünalmış, C. Vardar‐Acar, “Has the Last Super Cycle in Crude Oil Price Ended? a Maximum Drawdown Approach Using Fractional Brownian Motion”, Appl Stoch Models Bus & Ind, 2024
-
Gongqiu Zhang, Lingfei Li, “A general method for analysis and valuation of drawdown risk”, Journal of Economic Dynamics and Control, 152 (2023), 104669
-
Brinker L.V., “Minimal Expected Time in Drawdown Through Investment For An Insurance Diffusion Model”, Risks, 9:1 (2021), 17
-
Zhang X., Li L., Zhang G., “Pricing American Drawdown Options Under Markov Models”, Eur. J. Oper. Res., 293:3 (2021), 1188–1205
-
Gongqiu Zhang, Lingfei Li, “A General Method for Analysis and Valuation of Drawdown Risk under Markov Models”, SSRN Journal, 2021
-
Van Hemert O., Ganz M., Harvey C.R., Rattray S., Martin E.S., Yawitch D., “Drawdowns”, J. Portf. Manage., 46:8 (2020), 34–50
-
Otto van Hemert, Mark Ganz, Campbell R. Harvey, Sandy Rattray, Eva Sanchez Martin, Darrel Yawitch, “Drawdowns”, SSRN Journal, 2020
-
Bai L., Liu P., “Drawdown and Drawup For Fractional Brownian Motion With Trend”, J. Theor. Probab., 32:3 (2019), 1581–1612