Vladimir Ostrovski

Talanx Asset Management

Risk Controller

Charles-de-Gaulle-Platz 1

Cologne, DE NRW 50679

Germany

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 18,593

SSRN RANKINGS

Top 18,593

in Total Papers Downloads

3,485

SSRN CITATIONS

2

CROSSREF CITATIONS

2

Scholarly Papers (8)

1.

Efficient and Exact Simulation of the Hull-White Model

Number of pages: 6 Posted: 02 Aug 2013
Vladimir Ostrovski
Talanx Asset Management
Downloads 2,979 (5,253)
Citation 5

Abstract:

Loading...

Hull-White Model, Monte-Carlo simulation, exact simulation, interest rate model

2.

Efficient and Exact Simulation of the Gaussian Affine Interest Rate Models (with Application to the Hull White Model and G2++ Model)

International Journal of Financial Engineering, Volume 03, Issue 02, June 2016
Number of pages: 14 Posted: 12 Sep 2016 Last Revised: 24 Apr 2018
Vladimir Ostrovski
Talanx Asset Management
Downloads 440 (84,485)

Abstract:

Loading...

Affine Term Structure Model, Hull-White Model, Affine Interest Rate Model, Simulation, Exact, Efficient

3.

Semiparametric Testing of Statistical Functionals Revisited

Number of pages: 16 Posted: 01 Jul 2013
Vladimir Ostrovski
Talanx Asset Management
Downloads 21 (641,875)

Abstract:

Loading...

statistics, semiparametric, testing, functional, differntiable, asymptotic, optimal

4.

Testing Equivalence of Multinomial Distributions

Statistics & Probability Letters, Volume 124, May 2017, Pages 77–82.
Number of pages: 10 Posted: 10 Sep 2021
Vladimir Ostrovski
Talanx Asset Management
Downloads 20 (648,936)

Abstract:

Loading...

Equivalence, Testing, Multinomial, Bootstrap, Optimality, Benford's Law, Mendelian Inheritance, Decimal Digits of Pi

5.

New Equivalence Tests for Approximate Independence in Contingency Tables

Stats 2019, 2(2), 239-246; DOI:10.3390/stats2020018
Number of pages: 8 Posted: 24 May 2019 Last Revised: 26 Jun 2019
Vladimir Ostrovski
Talanx Asset Management
Downloads 10 (724,453)

Abstract:

Loading...

testing, approximate independence, contingency tables, bootstrap, equivalence, minimum distance, boundary point estimator

6.

Stability of No-Arbitrage Property Under Model Uncertainty

Statistics & Probability Letters, Volume 83, Issue 1, January 2013, Pages 89–92
Number of pages: 6 Posted: 09 Nov 2013 Last Revised: 24 Sep 2017
Vladimir Ostrovski
Talanx Asset Management
Downloads 10 (724,453)

Abstract:

Loading...

stability, robustness, financial market, no-arbitrage, total variation distance, model uncertainity

7.

Testing Equivalence to Families of Multinomial Distributions with Application to the Independence Model

Statistics & Probability Letters, Volume 139, August 2018, Pages 61-66
Number of pages: 10 Posted: 07 May 2018 Last Revised: 05 Jul 2019
Vladimir Ostrovski
Talanx Asset Management
Downloads 5 (763,998)
Citation 1

Abstract:

Loading...

Equivalence, Testing, Multinomial, Collapsible, Independence, Contingency, Approximate

8.

Testing Interest Rate Models for Solvency II Applications

Insurance Risk, 2016, February Issue
Posted: 22 Sep 2016
Vladimir Ostrovski and Alexey Botvinnik
Talanx Asset Management and Conning Asset Management

Abstract:

Loading...

Solvency II, interest rates, validation, back-testing, insurance risk