| . |
Dokuchaev, Nikolai's
Scholarly Papers
Click on the title of any column to sort the table by that
column. |
|
|
| |
|
|
Aggregate Statistics |
|
Total Downloads
2,596 |
Total
Citations
17 |
|
|
|
|
|
1.
|
|
Mean-Reverting Market Model: Speculative Opportunities and Non-Arbitrage
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Dokuchaev, Nikolai Curtin University of Technology
|
|
Posted:
|
|
17 Apr 05
|
|
Last Revised:
|
|
06 Jan 13
|
|
371
(37,804)
|
1
|
|
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
|
90
|
1
|
|
| |
|
| |
diffusion market, mean-reverting model, arbitrage, technical analysis, self-financing strategies, universal portfolio
|
|
|
|
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
|
281
|
1
|
|
| |
|
| |
diffusion market, mean-reverting model, arbitrage, technical analysis, self-financing strategies, universal portfolio
|
|
|
|
|
|
2.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
|
217
(69,573)
|
|
|
| |
|
| |
diffusion market model, stochastic volatility, volatility smile, implied volatiliy, implied parameters
|
|
|
3.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
|
174
(86,487)
|
1
|
|
| |
|
| |
volatility smile, volatility skew, market models, Black-Scholes, diffusion market, stochastic volatility
|
|
|
4.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
|
168
(89,292)
|
|
|
| |
|
| |
portfolio strategies, currency exchange, soft peg, currency corridor, currency trading, speculations
|
|
|
5.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
|
152
(97,866)
|
2
|
|
| |
|
| |
Optimal portfolio, non-observable parameters, Kalman filter
|
|
|
6.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
| Posted: |
|
22 Jan 07
|
|
Last Revised:
|
|
27 Nov 07
|
|
136
(107,690)
|
|
|
| |
|
| |
discrete time market, mean-reverting model, arbitrage, technical analysis, self-financing strategies, universal portfolio
|
|
|
7.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
|
127
(113,997)
|
|
|
| |
|
| |
Bond price, diffusion market models, Black-Scholes, stochastic volatility, implied volatility, implied forward risk-free rate
|
|
|
8.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
|
119
(120,071)
|
1
|
|
| |
|
| |
Diffusion market model, stochastic volatility, volatility smile, Hamilton-Jacobi-Bellman equation
|
|
|
9.
|
|
A Bounded Risk Strategy for A Market with Non-Observable Parameters
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Dokuchaev, Nikolai Curtin University of Technology Savkin, Andrey V. University of New South Wales (UNSW) - School of Electrical Engineering and Telecommunications
|
|
107
(130,251)
|
4
|
|
|
|
|
Dokuchaev, Nikolai Curtin University of Technology Savkin, Andrey V. University of New South Wales (UNSW) - School of Electrical Engineering and Telecommunications
|
|
0
|
|
|
| |
|
| |
bounded risk, portfolio selection, non-observable parameters, stochastic market models
|
|
|
|
|
|
|
Dokuchaev, Nikolai Curtin University of Technology Savkin, Andrey V. University of New South Wales (UNSW) - School of Electrical Engineering and Telecommunications
|
|
107
|
4
|
|
| |
|
| |
bounded risk, portfolio selection, non-observable parameters, stochastic market models
|
|
|
|
|
|
10.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
|
98
(138,509)
|
|
|
| |
|
| |
Optimal portfolio, discrete time market, diffusion market, myopic strategies
|
|
|
11.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
| Posted: |
|
03 Sep 12
|
|
Last Revised:
|
|
07 Jan 13
|
|
89
(147,784)
|
|
|
| |
|
| |
stochastic market, portfolio selection, forecasting, myopic strategies
|
|
|
12.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
| Posted: |
|
08 May 07
|
|
Last Revised:
|
|
09 Mar 09
|
|
87
(149,984)
|
2
|
|
| |
|
| |
discrete time market, multi-period market, serial correlation, optimal portfolio, mean variance portfolio, goal achieving
|
|
|
13.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
| Posted: |
|
02 Nov 09
|
|
Last Revised:
|
|
04 Nov 09
|
|
63
(181,167)
|
|
|
| |
|
| |
financial time series, serial correlations, non-parametric methods, technical analysis, statistical validation
|
|
|
14.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
|
63
(181,167)
|
1
|
|
| |
|
| |
minimax problems, optimal portfolio, stochastic control
|
|
|
15.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
| Posted: |
|
28 Nov 10
|
|
Last Revised:
|
|
19 Jun 13
|
|
58
(188,967)
|
|
|
| |
|
| |
econometrics, continuous time price models, discretization, short time series, volatility estimation, non-parametric estimation
|
|
|
16.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
|
58
(188,967)
|
|
|
| |
|
| |
American options, exotic options, Irish options, pricing rules
|
|
|
17.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
| Posted: |
|
09 Apr 08
|
|
Last Revised:
|
|
30 Jul 12
|
|
57
(190,632)
|
1
|
|
| |
|
| |
equity liquidation, optimal strategy, contingent claim replication
|
|
|
18.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
|
55
(193,938)
|
2
|
|
| |
|
| |
discrete time market, serial correlation, optimal portfolio, myopic strategies
|
|
|
19.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
|
54
(195,650)
|
|
|
| |
|
| |
continuous market, uncertainty, optimal portfolio, minimax problems, saddle point
|
|
|
20.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
|
48
(206,280)
|
1
|
|
| |
|
| |
American options, compound options, exotic options, multiple exercise, multiple rescissions, multiple stopping, pricing rules, Irish options
|
|
|
21.
|
|
|
Liu, Jianguang Trent University Dokuchaev, Nikolai Curtin University of Technology
|
|
45
(211,916)
|
|
|
| |
|
| |
stochastic discrete time market, optimal portfolio, myopic strategies, exponential utility
|
|
|
22.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
| Posted: |
|
07 Dec 10
|
|
Last Revised:
|
|
14 Oct 11
|
|
44
(213,979)
|
|
|
| |
|
| |
tochastic control, exotic options, passport options, controlled options, multi-exercise options, continuous time market models
|
|
|
23.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
| Posted: |
|
18 Apr 10
|
|
Last Revised:
|
|
30 Jun 10
|
|
39
(224,293)
|
|
|
| |
|
| |
Optimal Portfolio, Mutual Fund Theorem, Continuous Time Market Models
|
|
|
24.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
|
38
(226,459)
|
|
|
| |
|
| |
martingale pricing, stochastic bond price, incomplete market, hedging error
|
|
|
25.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
| Posted: |
|
17 Nov 09
|
|
Last Revised:
|
|
05 Jul 11
|
|
36
(230,929)
|
1
|
|
| |
|
| |
optimal portfolio, Mutual Fund Theorem, continuous time market models
|
|
|
26.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
| Posted: |
|
28 May 08
|
|
Last Revised:
|
|
31 May 08
|
|
31
(243,132)
|
|
|
| |
|
| |
optimal portfolio, myopic strategies, discrete time market, diffusion market, discretization, first exit times
|
|
|
27.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
|
19
(281,541)
|
|
|
| |
|
| |
|
|
|
28.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
| Posted: |
|
21 Sep 12
|
|
Last Revised:
|
|
27 Sep 12
|
|
15
(295,819)
|
|
|
| |
|
| |
stochastic market, diffusion market, completeness, incompleteness, forecasting, price statistics
|
|
|
29.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
| Posted: |
|
29 Apr 13
|
|
Last Revised:
|
|
15 May 13
|
|
14
(299,464)
|
|
|
| |
|
| |
parameter estimation, Black-Scholes, implied volatility, implied forward risk-free rate
|
|
|
30.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
|
14
(299,464)
|
|
|
| |
|
| |
annuities, mean-variance pricing, anisotropy, stochastic market models, diffusion market models
|
|
|
31.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
|
|
|
|
| |
|
| |
American options, multiple exercise, multiple rescissions, multiple stopping, exotic options, pricing rules, Irish options
|
|
|
32.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
|
|
|
|
| |
|
| |
nonparametric methods, spectral analysis, forecasting
|
|
|
33.
|
|
|
Dokuchaev, Nikolai Curtin University of Technology
|
|
|
|
|
| |
|
| |
Bond price, diffusion market models, Black-Scholes, stochastic volatility, implied volatility, implied forward risk-free rate
|
|