Vadim Kaushansky
Citata da
Citata da
Semi-analytical solution of a McKean-Vlasov equation with feedback through hitting a boundary
C Reisinger, V Kaushansky, A Lipton
European Journal of Applied Mathematics, 2019
Simulation of particle systems interacting through hitting times
V Kaushansky, C Reisinger
arXiv preprint arXiv:1805.11678, 2018
Numerical analysis of an extended structural default model with mutual liabilities and jump risk
V Kaushansky, A Lipton, C Reisinger
Journal of computational science 24, 218-231, 2018
On the first hitting time density of an Ornstein-Uhlenbeck process
A Lipton, V Kaushansky
arXiv preprint arXiv:1810.02390, 2018
On the first hitting time density for a reducible diffusion process
A Lipton, V Kaushansky
Quantitative Finance, 1-21, 2020
Transition probability of Brownian motion in the octant and its application to default modelling
V Kaushansky, A Lipton, C Reisinger
Applied Mathematical Finance 25 (5-6), 434-465, 2018
A nonparametric method for term structure fitting with automatic smoothing
V Kaushanskiy, V Lapshin
Applied Economics 48 (58), 5654-5666, 2016
Physics and Derivatives: On Three Important Problems in Mathematical Finance
A Lipton, V Kaushansky
The Journal of Derivatives, 2020
Оценка кривой бескупонной доходности на российском рынке облигаций
ВА Лапшин, ВЯ Каушанский, МЗ Курбангалеев
Экономический журнал Высшей школы экономики 19 (1), 2015
Convergence of a time-stepping scheme to the free boundary in the supercooled Stefan problem
V Kaushansky, C Reisinger, M Shkolnikov, ZQ Song
arXiv preprint arXiv:2010.05281, 2020
Numerical methods for structural credit models with mutual liabilities
V Kaushanskii
University of Oxford, 2019
Il sistema al momento non pu eseguire l'operazione. Riprova pi tardi.
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