Yan Dolinsky

ETH Zürich

Zürichbergstrasse 18

8092 Zurich, CH-1015

Switzerland

SCHOLARLY PAPERS

8

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1,134

SSRN CITATIONS
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Top 40,699

in Total Papers Citations

16

CROSSREF CITATIONS

8

Scholarly Papers (8)

1.

Martingale Optimal Transport and Robust Hedging in Continuous Time

Swiss Finance Institute Research Paper No. 13-13
Number of pages: 30 Posted: 06 Apr 2013
Yan Dolinsky and Halil Mete Soner
ETH Zürich and ETH Zürich
Downloads 274 (211,270)
Citation 7

Abstract:

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European Options, Robust Hedging, Min-Max Theorems, Prokhorov Metric, Optimal transport

2.

Weak Approximation of G-Expectations

Swiss Finance Institute Research Paper No. 11-09
Number of pages: 17 Posted: 26 Mar 2011
Marcel Nutz, Halil Mete Soner and Yan Dolinsky
Columbia University, ETH Zürich and ETH Zürich
Downloads 256 (226,055)
Citation 1

Abstract:

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G-expectation, volatility uncertainty, weak limit theorem

3.

Robust Hedging with Proportional Transaction Costs

Swiss Finance Institute Research Paper No. 13-11
Number of pages: 19 Posted: 30 Mar 2013
Yan Dolinsky and Halil Mete Soner
ETH Zürich and ETH Zürich
Downloads 228 (253,127)
Citation 4

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European options, Robust hedging, Transaction costs, Weak convergence, Consistent price systems, Optimal transport

4.

Recombining Tree Approximations for Optimal Stopping for Diffusions

Number of pages: 27 Posted: 01 Mar 2017
Erhan Bayraktar, Yan Dolinsky and Jia Guo
University of Michigan at Ann Arbor - Department of Mathematics, ETH Zürich and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 136 (396,845)

Abstract:

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American Options, Optimal Stopping, Recombining Trees, Skorokhod Embedding

5.

Martingale Optimal Transport in the Skorokhod Space

Swiss Finance Institute Research Paper No. 14-62
Number of pages: 31 Posted: 22 Oct 2014
Yan Dolinsky and Halil Mete Soner
ETH Zürich and ETH Zürich
Downloads 92 (526,319)
Citation 4

Abstract:

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Robust hedging, Martingale Optimal Transport, Super-replication.

6.

Convex Duality with Transaction Costs

Swiss Finance Institute Research Paper No. 16-71
Number of pages: 32 Posted: 07 Dec 2016
Yan Dolinsky and Halil Mete Soner
ETH Zürich and ETH Zürich
Downloads 66 (637,219)

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European Options, Model-free Hedging, Semi Static Hedging, Trans- action Costs, Conditional Full Support

7.

Continuity of Utility Maximization under Weak Convergence

To appear in Mathematics and Financial Economics
Number of pages: 40 Posted: 07 Nov 2018 Last Revised: 24 Jun 2020
Erhan Bayraktar, Yan Dolinsky and Jia Guo
University of Michigan at Ann Arbor - Department of Mathematics, ETH Zürich and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 50 (726,939)
Citation 2

Abstract:

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Incomplete Markets, Utility Maximization, Weak Convergence

8.

Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs

Forthcoming, Finance and Stochastics
Number of pages: 22 Posted: 24 Jul 2020
Erhan Bayraktar, Yan Dolinsky and Leonid Dolinskyi
University of Michigan at Ann Arbor - Department of Mathematics, ETH Zürich and affiliation not provided to SSRN
Downloads 32 (858,334)
Citation 1

Abstract:

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Utility Maximization, Proportional Transaction Costs, Extended Weak Convergence, Meyer--Zheng Topology