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Sergey Pergamenshchikov

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This is information that was supplied by Sergey Pergamenshchikov in registering through RePEc. If you are Sergey Pergamenshchikov , 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: Sergey
Middle Name:
Last Name: Pergamenshchikov
Suffix:

RePEc Short-ID: ppe683

Email:
Homepage: http://lmrs.univ-rouen.fr/Persopage/Pergamenchtchikov/publications.html
Postal Address:
Phone:

Affiliation

(50%) Laboratoire de Mathematiques Raphael Salem (Laboratory of Mathematics Raphael Salem)
Homepage: http://lmrs.univ-rouen.fr
Location: France, Rouen
(50%) International Laboratory of Quantitative Finance
National Research University Higher School of Economics
Location: Moscow, Russia
Homepage: http://ilqf.hse.ru/
Email:
Phone: +7(495)7713232
Fax: +7(495)6287931
Postal: Myasnitskaya 20, Moscow 101000
Handle: RePEc:edi:qfhseru (more details at EDIRC)

Works

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Working papers

  1. Huu Thai Nguyen & Serguei Pergamenchtchikov, 2012. "Approximate hedging problem with transaction costs in stochastic volatility markets," Working Papers hal-00808608, HAL.
  2. Belkacem Berdjane & Sergei Pergamenshchikov, 2012. "Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters," Science & Finance (CFM) working paper archive 1210.5111, Science & Finance, Capital Fund Management, revised Aug 2013.

Articles

  1. Galtchouk, L. & Pergamenshchikov, S., 2013. "Uniform concentration inequality for ergodic diffusion processes observed at discrete times," Stochastic Processes and their Applications, Elsevier, vol. 123(1), pages 91-109.
  2. Belkacem Berdjane & Serguei Pergamenshchikov, 2013. "Optimal consumption and investment for markets with random coefficients," Finance and Stochastics, Springer, vol. 17(2), pages 419-446, April.
  3. Victor Konev & Serguei Pergamenchtchikov, 2010. "General model selection estimation of a periodic regression with a Gaussian noise," Annals of the Institute of Statistical Mathematics, Springer, vol. 62(6), pages 1083-1111, December.
  4. D. Fourdrinier & S. Pergamenshchikov, 2007. "Improved Model Selection Method for a Regression Function with Dependent Noise," Annals of the Institute of Statistical Mathematics, Springer, vol. 59(3), pages 435-464, September.
  5. Galtchouk, L. & Pergamenshchikov, S., 2007. "Uniform concentration inequality for ergodic diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 117(7), pages 830-839, July.
  6. L. Galtchouk & S. Pergamenshchikov, 2006. "Asymptotically Efficient Sequential Kernel Estimates of the Drift Coefficient in Ergodic Diffusion Processes," Statistical Inference for Stochastic Processes, Springer, vol. 9(1), pages 1-16, 05.
  7. Pergamenshchikov, Serguei & Zeitouny, Omar, 2006. "Ruin probability in the presence of risky investments," Stochastic Processes and their Applications, Elsevier, vol. 116(2), pages 267-278, February.
  8. Galtchouk, L. & Pergamenshchikov, S., 2006. "Asymptotically efficient estimates for nonparametric regression models," Statistics & Probability Letters, Elsevier, vol. 76(8), pages 852-860, April.
  9. V. Konev & S. Pergamenshchikov, 2003. "Sequential Estimation of the Parameters in a Trigonometric Regression Model with the Gaussian Coloured Noise," Statistical Inference for Stochastic Processes, Springer, vol. 6(3), pages 215-235, October.
  10. Anna Frolova & Serguei Pergamenshchikov & Yuri Kabanov, 2002. "In the insurance business risky investments are dangerous," Finance and Stochastics, Springer, vol. 6(2), pages 227-235.
  11. S. Pergamenshchikov, 1998. "Asymptotic Expansions for the Stochastic Approximation Averaging Procedure in Continuous Time," Statistical Inference for Stochastic Processes, Springer, vol. 1(2), pages 197-223, May.

NEP Fields

4 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-FMK: Financial Markets (1) 2012-11-17. Author is listed
  2. NEP-ORE: Operations Research (3) 2012-10-27 2012-11-17 2013-04-20. Author is listed

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