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Dokuchaev, Nikolai's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
2,596 |
Total
Citations
17 |
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1.
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Mean-Reverting Market Model: Speculative Opportunities and Non-Arbitrage
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Dokuchaev, Nikolai
Curtin University of Technology
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Posted:
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17 Apr 05
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Last Revised:
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06 Jan 13
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371
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Dokuchaev, Nikolai
Curtin University of Technology
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90
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1
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diffusion market, mean-reverting model, arbitrage, technical analysis, self-financing strategies, universal portfolio
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Dokuchaev, Nikolai
Curtin University of Technology
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281
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1
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diffusion market, mean-reverting model, arbitrage, technical analysis, self-financing strategies, universal portfolio
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2.
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Dokuchaev, Nikolai
Curtin University of Technology
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217
(69,573)
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diffusion market model, stochastic volatility, volatility smile, implied volatiliy, implied parameters
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3.
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Dokuchaev, Nikolai
Curtin University of Technology
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174
(86,487)
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1
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volatility smile, volatility skew, market models, Black-Scholes, diffusion market, stochastic volatility
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4.
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Dokuchaev, Nikolai
Curtin University of Technology
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168
(89,292)
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portfolio strategies, currency exchange, soft peg, currency corridor, currency trading, speculations
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5.
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Dokuchaev, Nikolai
Curtin University of Technology
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152
(97,866)
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2
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Optimal portfolio, non-observable parameters, Kalman filter
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6.
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Dokuchaev, Nikolai
Curtin University of Technology
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22 Jan 07
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Last Revised:
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27 Nov 07
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136
(107,690)
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discrete time market, mean-reverting model, arbitrage, technical analysis, self-financing strategies, universal portfolio
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7.
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Dokuchaev, Nikolai
Curtin University of Technology
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127
(113,997)
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Bond price, diffusion market models, Black-Scholes, stochastic volatility, implied volatility, implied forward risk-free rate
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8.
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Dokuchaev, Nikolai
Curtin University of Technology
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119
(120,071)
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1
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Diffusion market model, stochastic volatility, volatility smile, Hamilton-Jacobi-Bellman equation
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9.
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A Bounded Risk Strategy for A Market with Non-Observable Parameters
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Dokuchaev, Nikolai
Curtin University of Technology Savkin, Andrey V.
University of New South Wales (UNSW) - School of Electrical Engineering and Telecommunications
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107
(130,251)
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4
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Dokuchaev, Nikolai
Curtin University of Technology Savkin, Andrey V.
University of New South Wales (UNSW) - School of Electrical Engineering and Telecommunications
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0
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bounded risk, portfolio selection, non-observable parameters, stochastic market models
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Dokuchaev, Nikolai
Curtin University of Technology Savkin, Andrey V.
University of New South Wales (UNSW) - School of Electrical Engineering and Telecommunications
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107
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bounded risk, portfolio selection, non-observable parameters, stochastic market models
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10.
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Dokuchaev, Nikolai
Curtin University of Technology
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98
(138,509)
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Optimal portfolio, discrete time market, diffusion market, myopic strategies
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11.
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Dokuchaev, Nikolai
Curtin University of Technology
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03 Sep 12
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Last Revised:
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07 Jan 13
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89
(147,784)
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stochastic market, portfolio selection, forecasting, myopic strategies
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12.
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Dokuchaev, Nikolai
Curtin University of Technology
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08 May 07
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Last Revised:
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09 Mar 09
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87
(149,984)
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2
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discrete time market, multi-period market, serial correlation, optimal portfolio, mean variance portfolio, goal achieving
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13.
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Dokuchaev, Nikolai
Curtin University of Technology
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02 Nov 09
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Last Revised:
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04 Nov 09
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63
(181,167)
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financial time series, serial correlations, non-parametric methods, technical analysis, statistical validation
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14.
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Dokuchaev, Nikolai
Curtin University of Technology
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63
(181,167)
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1
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minimax problems, optimal portfolio, stochastic control
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15.
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Dokuchaev, Nikolai
Curtin University of Technology
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| Posted: |
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28 Nov 10
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Last Revised:
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19 Jun 13
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58
(188,967)
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econometrics, continuous time price models, discretization, short time series, volatility estimation, non-parametric estimation
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16.
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Dokuchaev, Nikolai
Curtin University of Technology
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58
(188,967)
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American options, exotic options, Irish options, pricing rules
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17.
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Dokuchaev, Nikolai
Curtin University of Technology
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| Posted: |
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09 Apr 08
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Last Revised:
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30 Jul 12
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57
(190,632)
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1
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equity liquidation, optimal strategy, contingent claim replication
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18.
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Dokuchaev, Nikolai
Curtin University of Technology
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55
(193,938)
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2
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discrete time market, serial correlation, optimal portfolio, myopic strategies
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19.
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Dokuchaev, Nikolai
Curtin University of Technology
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54
(195,650)
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continuous market, uncertainty, optimal portfolio, minimax problems, saddle point
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20.
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Dokuchaev, Nikolai
Curtin University of Technology
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48
(206,280)
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1
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American options, compound options, exotic options, multiple exercise, multiple rescissions, multiple stopping, pricing rules, Irish options
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21.
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Liu, Jianguang
Trent University Dokuchaev, Nikolai
Curtin University of Technology
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45
(211,916)
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stochastic discrete time market, optimal portfolio, myopic strategies, exponential utility
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22.
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Dokuchaev, Nikolai
Curtin University of Technology
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| Posted: |
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07 Dec 10
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Last Revised:
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14 Oct 11
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44
(213,979)
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tochastic control, exotic options, passport options, controlled options, multi-exercise options, continuous time market models
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23.
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Dokuchaev, Nikolai
Curtin University of Technology
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| Posted: |
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18 Apr 10
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Last Revised:
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30 Jun 10
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39
(224,293)
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Optimal Portfolio, Mutual Fund Theorem, Continuous Time Market Models
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24.
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Dokuchaev, Nikolai
Curtin University of Technology
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38
(226,459)
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martingale pricing, stochastic bond price, incomplete market, hedging error
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25.
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Dokuchaev, Nikolai
Curtin University of Technology
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| Posted: |
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17 Nov 09
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Last Revised:
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05 Jul 11
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36
(230,929)
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1
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optimal portfolio, Mutual Fund Theorem, continuous time market models
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26.
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Dokuchaev, Nikolai
Curtin University of Technology
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| Posted: |
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28 May 08
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Last Revised:
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31 May 08
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31
(243,132)
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optimal portfolio, myopic strategies, discrete time market, diffusion market, discretization, first exit times
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27.
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Dokuchaev, Nikolai
Curtin University of Technology
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19
(281,541)
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28.
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Dokuchaev, Nikolai
Curtin University of Technology
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| Posted: |
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21 Sep 12
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Last Revised:
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27 Sep 12
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15
(295,819)
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stochastic market, diffusion market, completeness, incompleteness, forecasting, price statistics
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29.
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Dokuchaev, Nikolai
Curtin University of Technology
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| Posted: |
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29 Apr 13
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Last Revised:
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15 May 13
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14
(299,464)
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parameter estimation, Black-Scholes, implied volatility, implied forward risk-free rate
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30.
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Dokuchaev, Nikolai
Curtin University of Technology
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14
(299,464)
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annuities, mean-variance pricing, anisotropy, stochastic market models, diffusion market models
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31.
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Dokuchaev, Nikolai
Curtin University of Technology
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American options, multiple exercise, multiple rescissions, multiple stopping, exotic options, pricing rules, Irish options
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32.
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Dokuchaev, Nikolai
Curtin University of Technology
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nonparametric methods, spectral analysis, forecasting
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33.
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Dokuchaev, Nikolai
Curtin University of Technology
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Bond price, diffusion market models, Black-Scholes, stochastic volatility, implied volatility, implied forward risk-free rate
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