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Publications by M. V. Bratyk

Convergence of the Maximum Probability of Success in the Problem of Quantile Hedging for a Model of an Asset Price Process With Long-Range Dependence

Theory of Probability and Mathematical Statistics

English

Related publications

Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model

Journal of Applied Probability

English

Long-Range Dependence in Earthquake-Moment Release and Implications for Earthquake Occurrence Probability

Scientific Reports

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English

A Model for Hedging Load and Price Risk in the Texas Electricity Market

SSRN Electronic Journal

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A Model for Hedging Load and Price Risk in the Texas Electricity Market

Energy Economics

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Static Hedging of Barrier Options With a Smile: An Inverse Problem

ESAIM - Control, Optimisation and Calculus of Variations

Computational Mathematics

Systems Engineering

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Detection of the Presence of Long Range Dependence in Time Series

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Quantile Autoregressive Distributed Lag Model With an Application to House Price Returns*

Oxford Bulletin of Economics and Statistics

Social Sciences

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Basis Convergence and Long Memory in Volatility When Dynamic Hedging With Futures

Journal of Financial and Quantitative Analysis

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Time-Dependent Influence of Prior Probability: A Problem for the Drift-Diffusion Model?

Journal of Neuroscience

English