49 citations to https://www.mathnet.ru/rus/tvp594
  1. Luis H. R. Alvarez, Pekka Matomäki, “Optimal Stopping of the Maximum Process”, J. Appl. Probab., 51:03 (2014), 818  crossref
  2. Lisa R. Goldberg, Ola Mahmoud, “On a Convex Measure of Drawdown Risk”, SSRN Journal, 2014  crossref
  3. Vardar-Acar C., Zirbel C.L., Szekely G.J., “On the Correlation of the Supremum and the Infimum and of Maximum Gain and Maximum Loss of Brownian Motion with Drift”, J. Comput. Appl. Math., 248 (2013), 61–75  crossref  mathscinet  zmath  isi  elib  scopus
  4. Caglar M., Vardar-Acar C., “Distribution of Maximum Loss of Fractional Brownian Motion with Drift”, Stat. Probab. Lett., 83:12 (2013), 2729–2734  crossref  mathscinet  zmath  isi  elib  scopus
  5. Zhang H., Leung T., Hadjiliadis O., “Stochastic Modeling and Fair Valuation of Drawdown Insurance”, Insur. Math. Econ., 53:3 (2013), 840–850  crossref  mathscinet  zmath  isi  scopus
  6. Mijatovic A., Pistorius M.R., “On the Drawdown of Completely Asymmetric Levy Processes”, Stoch. Process. Their Appl., 122:11 (2012), 3812–3836  crossref  mathscinet  zmath  isi  elib  scopus
  7. Zhang H., Hadjiliadis O., “Drawdowns and the Speed of Market Crash”, Methodol. Comput. Appl. Probab., 14:3 (2012), 739–752  crossref  mathscinet  zmath  isi  elib  scopus
  8. Cheridito P., Nikeghbali A., Platen E., “Processes of Class Sigma, Last Passage Times, and Drawdowns”, SIAM J. Financ. Math., 3:1 (2012), 280–303  crossref  mathscinet  zmath  isi  elib  scopus
  9. Vardar C., “Results on the Supremum of Fractional Brownian Motion”, Hacet J Math Stat, 40:2 (2011), 255–264  mathscinet  zmath  isi  elib
  10. PETER CARR, HONGZHONG ZHANG, OLYMPIA HADJILIADIS, “MAXIMUM DRAWDOWN INSURANCE”, Int. J. Theor. Appl. Finan., 14:08 (2011), 1195  crossref
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