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Nikolai Dokuchaev

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This is information that was supplied by Nikolai Dokuchaev in registering through RePEc. If you are Nikolai Dokuchaev , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Nikolai
Middle Name:
Last Name: Dokuchaev
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RePEc Short-ID: pdo73

Email: [This author has chosen not to make the email address public]
Homepage: http://www.staff.ul.ie/nikolaid/
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Affiliation

School of Management
Curtin Business School
Curtin University
Location: Perth, Australia
Homepage: http://www.business.curtin.edu.au/business/teaching-areas/management
Email:
Phone:
Fax:
Postal: GPO Box U1987, Perth WA 6845
Handle: RePEc:edi:smcurau (more details at EDIRC)

Works

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Working papers

  1. Nikolai Dokuchaev, 2013. "Two unconditionally implied parameters and volatility smiles and skews," Papers 1303.4847, arXiv.org, revised Apr 2013.
  2. Nikolai Dokuchaev, 2013. "Optimal replication of random claims by ordinary integrals with applications in finance," Papers 1301.0381, arXiv.org, revised Jan 2013.
  3. Christian Bender & Nikolai Dokuchaev, 2013. "A First-Order BSPDE for Swing Option Pricing," Papers 1305.3988, arXiv.org.
  4. Nikolai Dokuchaev, 2012. "Degenerate backward SPDEs in domains: non-local boundary conditions and applications to finance," Papers 1211.5858, arXiv.org, revised May 2014.
  5. Nikolai Dokuchaev, 2012. "On statistical indistinguishability of the complete and incomplete markets," Papers 1209.4695, arXiv.org, revised May 2013.
  6. Nikolai Dokuchaev, 2011. "On martingale measures and pricing for continuous bond-stock market with stochastic bond," Papers 1108.0719, arXiv.org, revised Apr 2014.
  7. Nikolai Dokuchaev, 2011. "The structure of optimal portfolio strategies for continuous time markets," Papers 1105.1488, arXiv.org, revised Apr 2014.
  8. Nikolai Dokuchaev, 2010. "Controlled options: derivatives with added flexibility," Papers 1012.1412, arXiv.org, revised Oct 2011.
  9. Nikolai Dokuchaev, 2010. "On detecting the dependence of time series," Papers 1010.2576, arXiv.org.
  10. Nikolai Dokuchaev, 2009. "Mutual Fund Theorem for continuous time markets with random coefficients," Papers 0911.3194, arXiv.org.
  11. Nikolai Dokuchaev, 2008. "Optimal solution of investment problems via linear parabolic equations generated by Kalman filter," Papers 0804.4522, arXiv.org.
  12. Nikolai Dokuchaev, 2002. "Maximin setting for investment problems and fixed income management with observable but non-predictable parameters," Papers math/0207259, arXiv.org.
  13. Nikolai Dokuchaev & Ulrich Haussmann, 2002. "Optimal portfolio selection and compression in an incomplete market," Papers math/0207260, arXiv.org.
  14. Nikolai Dokuchaev, 2002. "Pricing rule based on non-arbitrage arguments for random volatility and volatility smile," Papers math/0205120, arXiv.org.
  15. Nikolai Dokuchaev, 2001. "A paradox of diffusion market model related with existence of winning combinations of options," Papers math/0103118, arXiv.org.

Articles

  1. Nikolai Dokuchaev, 2013. "Continuously Controlled Options: Derivatives With Added Flexibility," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(01), pages 1350003-1-1.
  2. Nikolai Dokuchaev, 2011. "Option Pricing Via Maximization Over Uncertainty And Correction Of Volatility Smile," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(04), pages 507-524.
  3. Nikolai Dokuchaev, 2010. "Optimal gradual liquidation of equity from a risky asset," Applied Economics Letters, Taylor & Francis Journals, vol. 17(13), pages 1305-1308.
  4. Dokuchaev, Nikolai, 2010. "Optimality of myopic strategies for multi-stock discrete time market with management costs," European Journal of Operational Research, Elsevier, vol. 200(2), pages 551-556, January.
  5. Nikolai Dokuchaev, 2009. "Multiple Rescindable Options And Their Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(04), pages 545-575.
  6. Nikolai Dokuchaev, 2008. "Price matching for multiple rescindable options and European options," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(5), pages 319-325.
  7. Nikolai Dokuchaev, 2007. "Bond pricing and two unconditionally implied parameters inferred from option prices," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(2), pages 109-113.
  8. Nikolai Dokuchaev, 2007. "Mean-Reverting Market Model: Speculative Opportunities and Non-Arbitrage," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(4), pages 319-337.
  9. Dokuchaev, Nikolai, 2007. "Discrete time market with serial correlations and optimal myopic strategies," European Journal of Operational Research, Elsevier, vol. 177(2), pages 1090-1104, March.
  10. Nikolai Dokuchaev, 2006. "Two unconditionally implied parameters and volatility smiles and skews," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(3), pages 199-204, May.
  11. Dokuchaev, N. G. & Savkin, Andrey V., 2004. "Universal strategies for diffusion markets and possibility of asymptotic arbitrage," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 409-419, June.
  12. Dokuchaev, Nikolai G. & Savkin, Andrey V., 2002. "A bounded risk strategy for a market with non-observable parameters," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 243-254, April.
  13. Dokuchaev, Nikolai & Yu Zhou, Xun, 2001. "Optimal investment strategies with bounded risks, general utilities, and goal achieving," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 289-309, April.
  14. N. Dokuchaev & U. Haussmann, 2001. "Optimal portfolio selection and compression in an incomplete market," Quantitative Finance, Taylor & Francis Journals, vol. 1(3), pages 336-345.
  15. Dokuchaev, Nikolai G. & Savkin, Andrey V., 1998. "The pricing of options in a financial market model with transaction costs and uncertain volatility," Journal of Multinational Financial Management, Elsevier, vol. 8(2-3), pages 353-364, September.

NEP Fields

10 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (1) 2010-10-23
  2. NEP-ETS: Econometric Time Series (1) 2010-10-23
  3. NEP-MIC: Microeconomics (1) 2009-11-21

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