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