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Gikhman, Ilya I.'s
Scholarly Papers
Click on the title of any column to sort the table by that
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Aggregate Statistics |
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Total Downloads
8,373 |
Total
Citations
27 |
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1.
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Gikhman, Ilya I. Independent
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1,938
(3,026)
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plain vanilla options, exotics option
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2.
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Gikhman, Ilya I. Independent
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1,102
(8,037)
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2
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Option, American, European, compound
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3.
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Gikhman, Ilya I. Independent
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710
(15,842)
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4
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alternative option pricing, exotics, binomial scheme, continuous time, Black
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4.
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Gikhman, Ilya I. Independent
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| Posted: |
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04 Feb 08
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Last Revised:
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13 Mar 09
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538
(23,381)
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3
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Default, risk neutral valuation, credit default swap, constant maturity default swap, equity default swap, asset swap, total return swap, credit linked note, floating rate risky bond, counterparty risk, credit spread.
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5.
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Gikhman, Ilya I. Independent
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| Posted: |
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19 Sep 08
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Last Revised:
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25 Jan 11
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513
(24,960)
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1
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Local volatility, smile, Black-Scholes model, implied volatility
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6.
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Gikhman, Ilya I. Independent
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504
(25,516)
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Credit risk, credit derivatives, risk neutral world, risk neutral probability
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7.
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Gikhman, Ilya I. Independent
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481
(27,139)
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2
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Bond, coupon bond, present value, floating rate bond, convertible, callable
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8.
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Gikhman, Ilya I. Independent
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450
(29,620)
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6
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9.
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Gikhman, Ilya I. Independent
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362
(38,923)
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Interest rate model, square root model, CIR, stochastic differential equation, Feller’s square root condition
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10.
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Gikhman, Ilya I. Independent
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| Posted: |
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26 Jul 06
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Last Revised:
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13 Nov 07
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277
(53,431)
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1
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Option valuation, risk neutral world and probability
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11.
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Gikhman, Ilya I. Independent
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225
(66,990)
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2
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Black Scholes equation, risk neutral valuation, binomial scheme, arbitrage, risk management, exotics
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12.
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Gikhman, Ilya I. Independent
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| Posted: |
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14 Mar 09
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Last Revised:
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31 Jan 10
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222
(67,955)
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1
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options pricing, risk neutral pricing, local volatility, copula, cds
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13.
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Gikhman, Ilya I. Independent
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| Posted: |
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27 Aug 11
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Last Revised:
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10 Oct 11
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151
(98,390)
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Black Scholes equation, hedge
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14.
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Gikhman, Ilya I. Independent
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121
(118,552)
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default, default bond, reduced form, credit risk
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15.
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Gikhman, Ilya I. Independent
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107
(130,222)
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1
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Multiple risky securities valuation, risky bond , default, CDOs valuation, copula
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16.
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Gikhman, Ilya I. Independent
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| Posted: |
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06 Jun 11
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Last Revised:
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06 Jul 11
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98
(138,463)
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local volatility, call option
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17.
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Gikhman, Ilya I. Independent
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92
(144,451)
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3
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18.
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Gikhman, Ilya I. Independent
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73
(166,936)
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Stochastic interest rate, stochastic forward rate
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19.
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Gikhman, Ilya I. Independent
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64
(179,599)
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Option, derivatives, pricing, dynamic hedging
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20.
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Gikhman, Ilya I. Independent
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64
(179,599)
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Spot rate, stochastic FX exchange, stochastic interest rate, stochastic forward rate, LIBOR
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21.
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Gikhman, Ilya I. Independent
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| Posted: |
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14 Oct 11
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Last Revised:
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02 Nov 11
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57
(190,554)
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1
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. Credit derivatives, risky portfolio valuation, copula, perfect copula, CDS, CDO
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22.
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Gikhman, Ilya I. Independent
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option price, dynamic hedging
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23.
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Gikhman, Ilya I. Independent
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55
(193,856)
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cash and carry, forward contract
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24.
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Gikhman, Ilya I. Independent
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| Posted: |
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01 Sep 12
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Last Revised:
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19 Nov 12
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39
(224,194)
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Multilateral FX
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25.
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Gikhman, Ilya I. Independent
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| Posted: |
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07 Nov 11
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Last Revised:
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19 Nov 11
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33
(237,888)
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CDO, equity tranche pricing
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26.
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Gikhman, Ilya I. Independent
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19
(281,444)
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plain vanilla options, exotics option
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27.
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Gikhman, Ilya I. Independent
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| Posted: |
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02 Jan 13
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Last Revised:
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10 Jan 13
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13
(302,944)
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No-arbitrage pricing, forward contract, derivatives
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28.
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Gikhman, Ilya I. Independent
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9
(316,559)
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market risk, default, default bond, reduced form, credit risk, liquidity, randomization
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