Alexander Kukush

Catholic University of Leuven (KUL)

Leuven, B-3000

Belgium

SCHOLARLY PAPERS

6

DOWNLOADS

239

SSRN CITATIONS
Rank 25,519

SSRN RANKINGS

Top 25,519

in Total Papers Citations

5

CROSSREF CITATIONS

22

Scholarly Papers (6)

1.

The Multivariate Black & Scholes Market: Conditions for Completeness and No-Arbitrage

Theory of Probability and Mathematical Statistics, vol 88, pages 1-14, 2013
Number of pages: 13 Posted: 09 Dec 2012 Last Revised: 06 Nov 2013
Jan Dhaene, Alexander Kukush and Daniël Linders
Katholieke Universiteit Leuven, Catholic University of Leuven (KUL) and University of Illinois
Downloads 65 (345,774)
Citation 2

Abstract:

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Black & Scholes, multivariate asset price models, arbitrage-free, completeness, Brownian motion, risk-neutral probability measure

2.

Nonparametric Estimation of Conditional Quantiles

Number of pages: 19 Posted: 16 Dec 2005
Alexander Kukush, Jan Beirlant and Yuri Goegebeur
Catholic University of Leuven (KUL), Catholic University of Leuven (KUL) and Catholic University of Leuven (KUL)
Downloads 55 (375,666)

Abstract:

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Local polynomial estimation, Quantile regression, Consistency, Asymptotic normality.

3.

Remarks on Quantiles and Distortion Risk Measures

European Actuarial Journal, 2(2), 319-328
Number of pages: 12 Posted: 20 Oct 2012 Last Revised: 07 Dec 2012
Jan Dhaene, Alexander Kukush, Daniël Linders and Qihe Tang
Katholieke Universiteit Leuven, Catholic University of Leuven (KUL), University of Illinois and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 54 (378,859)

Abstract:

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comonotonicity, distorted expectation, distortion risk measure, TVaR, quantile

4.
Downloads 40 (428,395)
Citation 3

Ordered Random Vectors and Equality in Distribution

Number of pages: 23 Posted: 12 Jan 2013
Ka Chun Cheung, Jan Dhaene, Alexander Kukush and Daniël Linders
The University of Hong Kong, Katholieke Universiteit Leuven, Catholic University of Leuven (KUL) and University of Illinois
Downloads 38 (446,398)
Citation 1

Abstract:

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supermodular order, concordance order, expected utility, distorted expectation, comonotonicity

Ordered Random Vectors and Equality in Distribution

KU Leuven - Faculty of Economics and Business Working Paper No. AFI_1377
Number of pages: 25 Posted: 18 May 2013
Ka Chun Cheung, Jan Dhaene, Alexander Kukush and Daniël Linders
The University of Hong Kong, Katholieke Universiteit Leuven, Catholic University of Leuven (KUL) and University of Illinois
Downloads 2 (676,363)
Citation 3

Abstract:

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supermodular order, concordance order, expected utility, distorted expectation, comonotonicity

5.

Comonotonic Modification of Random Vector in Its Own Probability Space

Number of pages: 7 Posted: 31 Jan 2011
Jan Dhaene and Alexander Kukush
Katholieke Universiteit Leuven and Catholic University of Leuven (KUL)
Downloads 16 (550,550)
Citation 1

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Comonotonic random vector, comonotonic modi…cation, non-atomic probability space

6.

Comonotonic Asset Prices in Arbitrage-Free Markets

Number of pages: 22 Posted: 15 Mar 2018
Jan Dhaene, Alexander Kukush and Daniël Linders
Katholieke Universiteit Leuven, Catholic University of Leuven (KUL) and University of Illinois
Downloads 9 (594,406)
Citation 5

Abstract:

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Comonotonicity, arbitrage-free markets, Black & Scholes