49 citations to https://www.mathnet.ru/rus/tvp594
  1. Paavo Salminen, Pierre Vallois, “Drawdowns of Diffusions”, ESAIM: PS, 29 (2025), 357  crossref
  2. Yifan Li, “On the Brownian range and the Brownian reversal”, J. Appl. Probab., 2024, 1  crossref
  3. 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  crossref
  4. Gongqiu Zhang, Lingfei Li, “A general method for analysis and valuation of drawdown risk”, Journal of Economic Dynamics and Control, 152 (2023), 104669  crossref
  5. Brinker L.V., “Minimal Expected Time in Drawdown Through Investment For An Insurance Diffusion Model”, Risks, 9:1 (2021), 17  crossref  isi
  6. Zhang X., Li L., Zhang G., “Pricing American Drawdown Options Under Markov Models”, Eur. J. Oper. Res., 293:3 (2021), 1188–1205  crossref  isi
  7. Gongqiu Zhang, Lingfei Li, “A General Method for Analysis and Valuation of Drawdown Risk under Markov Models”, SSRN Journal, 2021  crossref
  8. Van Hemert O., Ganz M., Harvey C.R., Rattray S., Martin E.S., Yawitch D., “Drawdowns”, J. Portf. Manage., 46:8 (2020), 34–50  crossref  isi
  9. Otto van Hemert, Mark Ganz, Campbell R. Harvey, Sandy Rattray, Eva Sanchez Martin, Darrel Yawitch, “Drawdowns”, SSRN Journal, 2020  crossref
  10. Bai L., Liu P., “Drawdown and Drawup For Fractional Brownian Motion With Trend”, J. Theor. Probab., 32:3 (2019), 1581–1612  crossref  isi
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