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Publications

by members of

National Research University Higher School of Economics (HSE) → International Laboratory of Quantitative Finance

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Chapters |

Working papers

2016

  1. Emmanuel Lepinette & Ilya Molchanov, 2016, "Risk Arbitrage and Hedging to Acceptability under Transaction Costs," Papers, arXiv.org, number 1605.07884, May, revised Apr 2020.

2015

  1. Sofiane Aboura & Emmanuel Lépinette, 2015, "Do banks satisfy the Modigliani-Miller theorem?," Post-Print, HAL, number hal-01252895, Jan.

2013

  1. Sofiane Aboura & Emmanuel Lépinette, 2013, "An Alternative Model to Basel Regulation," Working Papers, HAL, number hal-00825018, Jul.
  2. Bruno Bouchard & Emmanuel Lepinette & Erik Taflin, 2013, "Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs," Papers, arXiv.org, number 1302.0361, Feb.

2012

  1. Alexander Karminsky & Alexander Kostrov & Taras Murzenkov, 2012, "Comparison of default probability models: Russian experience," HSE Working papers, National Research University Higher School of Economics, number WP BRP 06/FE/2012.
  2. Irene Klein & Emmanuel Lepinette & Lavinia Ostafe, 2012, "Large Financial Markets and Asymptotic Arbitrage with Small Transaction Costs," Papers, arXiv.org, number 1211.0443, Nov.
  3. Belkacem Berdjane & Sergei Pergamenshchikov, 2012, "Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters," Papers, arXiv.org, number 1210.5111, Oct, revised May 2015.
  4. Huu Thai Nguyen & Serguei Pergamenchtchikov, 2012, "Approximate hedging problem with transaction costs in stochastic volatility markets," Working Papers, HAL, number hal-00808608, Nov.

2011

  1. Emmanuel Denis & Yuri Kabanov, 2011, "Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs," Post-Print, HAL, number hal-00488288, DOI: 10.1007/s00780-010-0144-6.

2010

  1. Sebastien Darses & Emmanuel Denis, 2010, "Limit Theorem for a Modified Leland Hedging Strategy under Constant Transaction Costs rate," Working Papers, HAL, number hal-00467704, Feb.
  2. Emmanuel Denis & Yuri Kabanov, 2010, "Mean square error for the Leland-Lott hedging strategy: convex pay-offs," Post-Print, HAL, number hal-00488278, DOI: 10.1007/s00780-010-0130-z.

2006

  1. Polterovich, Victor & Katyshev, Pavel, 2006, "Политика Реформ, Начальные Условия И Трансформационный Спад
    [Reform policies, initial conditions, and transformational recession]    ," MPRA Paper, University Library of Munich, Germany, number 21551.

2003

  1. Küchler, Uwe & Gushchin, Alexander A., 2003, "On oscillations of the geometric Brownian motion with time delayed drift," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2003,8.

2001

  1. Gushchin, Alexander A. & Küchler, Uwe, 2001, "On parametric statistical models for stationary solutions of affine stochastic delay differential equations," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,91.

1998

  1. Gushchin, Alexander A. & Küchler, Uwe, 1998, "On stationary solutions of delay differential equations driven by a Lévy process," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1998,98.

1997

  1. Gushchin, Alexander A. & Kuchler, Uwe, 1997, "Asymptotic inference for a linear stochastic differential equation with time delay," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1997,43.

1982

  1. Kantorovich, Leonid & Katyshev, Pavel & Kiruta, Alexander & Polterovich, Victor, 1982, "О Некоторых Направлениях Исследований В Математической Экономике
    [Some Trends in Research in Mathematical Economics]    ," MPRA Paper, University Library of Munich, Germany, number 21623.

Journal articles

2022

  1. Yuri Yakubovich & Oleg Rusakov & Alexander Gushchin, 2022, "Functional Limit Theorem for the Sums of PSI-Processes with Random Intensities," Mathematics, MDPI, volume 10, issue 21, pages 1-17, October.

2020

  1. Alexander Gushchin & Ilya Pavlyukevich & Marian Ritsch, 2020, "Drift estimation for a Lévy-driven Ornstein–Uhlenbeck process with heavy tails," Statistical Inference for Stochastic Processes, Springer, volume 23, issue 3, pages 553-570, October, DOI: 10.1007/s11203-020-09210-8.

2018

  1. Alexander Gushchin & Nino Kordzakhia & Alexander Novikov, 2018, "Translation invariant statistical experiments with independent increments," Statistical Inference for Stochastic Processes, Springer, volume 21, issue 2, pages 363-383, July, DOI: 10.1007/s11203-018-9179-7.

2016

  1. Dimitri Vallière & Yuri Kabanov & Emmanuel Lépinette, 2016, "Consumption-investment problem with transaction costs for Lévy-driven price processes," Finance and Stochastics, Springer, volume 20, issue 3, pages 705-740, July, DOI: 10.1007/s00780-016-0303-5.

2015

  1. Romuald Elie & Emmanuel Lépinette, 2015, "Approximate hedging for nonlinear transaction costs on the volume of traded assets," Finance and Stochastics, Springer, volume 19, issue 3, pages 541-581, July, DOI: 10.1007/s00780-015-0262-2.
  2. Sofiane Aboura & Emmanuel Lépinette, 2015, "Do banks satisfy the Modigliani-Miller theorem?," Economics Bulletin, AccessEcon, volume 35, issue 2, pages 924-935.

2014

  1. Ruslan Durdyev & Anatoly Peresetsky, 2014, "Autocorrelation in the global stochastic trend," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 35, issue 3, pages 39-58.
  2. Emmanuel Lépinette & Tuan Tran, 2014, "Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs," Applied Mathematical Finance, Taylor & Francis Journals, volume 21, issue 4, pages 313-341, September, DOI: 10.1080/1350486X.2013.871802.
  3. Irene Klein & Emmanuel Lépinette & Lavinia Perez-Ostafe, 2014, "Asymptotic arbitrage with small transaction costs," Finance and Stochastics, Springer, volume 18, issue 4, pages 917-939, October, DOI: 10.1007/s00780-014-0242-y.

2013

  1. Karminsky, A. & Kostrov, A., 2013, "Modeling the Default Probabilities of Russian Banks: Extended Abillities," Journal of the New Economic Association, New Economic Association, volume 17, issue 1, pages 64-86.
  2. Kabanov, Yuri & Lépinette, Emmanuel, 2013, "Essential supremum and essential maximum with respect to random preference relations," Journal of Mathematical Economics, Elsevier, volume 49, issue 6, pages 488-495, DOI: 10.1016/j.jmateco.2013.05.007.
  3. Kabanov, Yuri & Lépinette, Emmanuel, 2013, "Essential supremum with respect to a random partial order," Journal of Mathematical Economics, Elsevier, volume 49, issue 6, pages 478-487, DOI: 10.1016/j.jmateco.2013.07.002.
  4. Belkacem Berdjane & Serguei Pergamenshchikov, 2013, "Optimal consumption and investment for markets with random coefficients," Finance and Stochastics, Springer, volume 17, issue 2, pages 419-446, April, DOI: 10.1007/s00780-012-0193-0.
  5. Galtchouk, L. & Pergamenshchikov, S., 2013, "Uniform concentration inequality for ergodic diffusion processes observed at discrete times," Stochastic Processes and their Applications, Elsevier, volume 123, issue 1, pages 91-109, DOI: 10.1016/j.spa.2012.09.004.

2012

  1. Pavel Katyshev & Yulia Khakimova, 2012, "Ecological factors and the price of Moscow apartments," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 28, issue 4, pages 113-123.
  2. Paolo Guasoni & Emmanuel Lépinette & Miklós Rásonyi, 2012, "The fundamental theorem of asset pricing under transaction costs," Finance and Stochastics, Springer, volume 16, issue 4, pages 741-777, October, DOI: 10.1007/s00780-012-0185-0.
  3. Emmanuel Denis & Yuri Kabanov, 2012, "Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs," Finance and Stochastics, Springer, volume 16, issue 1, pages 135-154, January, DOI: 10.1007/s00780-010-0144-6.

2011

  1. Alexander Gushchin & Uwe Küchler, 2011, "On estimation of delay location," Statistical Inference for Stochastic Processes, Springer, volume 14, issue 3, pages 273-305, October, DOI: 10.1007/s11203-011-9060-4.

2010

  1. Катышев П.К. & Эйсмонт О.А., 2010, "Готовность Жителей Москвы Платить За Качество Окружающей Среды," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), volume 46, issue 2, апрель.
  2. Emmanuel Denis & Yuri Kabanov, 2010, "Mean square error for the Leland–Lott hedging strategy: convex pay-offs," Finance and Stochastics, Springer, volume 14, issue 4, pages 625-667, December, DOI: 10.1007/s00780-010-0130-z.
  3. Emmanuel Denis, 2010, "Approximate Hedging of Contingent Claims under Transaction Costs for General Pay-offs," Applied Mathematical Finance, Taylor & Francis Journals, volume 17, issue 6, pages 491-518, DOI: 10.1080/13504861003590170.
  4. 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;The Institute of Statistical Mathematics, volume 62, issue 6, pages 1083-1111, December, DOI: 10.1007/s10463-008-0193-1.

2009

  1. D. Vallière & E. Denis & Y. Kabanov, 2009, "Hedging of American options under transaction costs," Finance and Stochastics, Springer, volume 13, issue 1, pages 105-119, January, DOI: 10.1007/s00780-008-0076-6.

2008

  1. Катышев П.К. & Чернавский С.Я. & Эйсмонт О.А., 2008, "Оценка Функции Издержек Сельскохозяйственного Производства В России," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), volume 44, issue 2, апрель.

2007

  1. D. Fourdrinier & S. Pergamenshchikov, 2007, "Improved Model Selection Method for a Regression Function with Dependent Noise," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, volume 59, issue 3, pages 435-464, September, DOI: 10.1007/s10463-006-0063-7.
  2. Galtchouk, L. & Pergamenshchikov, S., 2007, "Uniform concentration inequality for ergodic diffusion processes," Stochastic Processes and their Applications, Elsevier, volume 117, issue 7, pages 830-839, July.

2006

  1. Катышев П.К. & Полтерович В.М., 2006, "Политика Реформ, Начальные Условия И Трансформационный Спад," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), volume 42, issue 4, октябрь.
  2. Pergamenshchikov, Serguei & Zeitouny, Omar, 2006, "Ruin probability in the presence of risky investments," Stochastic Processes and their Applications, Elsevier, volume 116, issue 2, pages 267-278, February.
  3. L. Galtchouk & S. Pergamenshchikov, 2006, "Asymptotically Efficient Sequential Kernel Estimates of the Drift Coefficient in Ergodic Diffusion Processes," Statistical Inference for Stochastic Processes, Springer, volume 9, issue 1, pages 1-16, May, DOI: 10.1007/s11203-005-3248-4.
  4. Galtchouk, L. & Pergamenshchikov, S., 2006, "Asymptotically efficient estimates for nonparametric regression models," Statistics & Probability Letters, Elsevier, volume 76, issue 8, pages 852-860, April.

2004

  1. Gushchin, Alexander A. & Küchler, Uwe, 2004, "On oscillations of the geometric Brownian motion with time-delayed drift," Statistics & Probability Letters, Elsevier, volume 70, issue 1, pages 19-24, October.

2003

  1. Gushchin A. A. & Valkeila Esko, 2003, "Approximations and limit theorems for likelihood ratio processes in the binary case," Statistics & Risk Modeling, De Gruyter, volume 21, issue 3, pages 219-260, March, DOI: 10.1524/stnd.21.3.219.23429.
  2. 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, volume 6, issue 3, pages 215-235, October, DOI: 10.1023/A:1025875212695.

2002

  1. Anna Frolova & Serguei Pergamenshchikov & Yuri Kabanov, 2002, "In the insurance business risky investments are dangerous," Finance and Stochastics, Springer, volume 6, issue 2, pages 227-235.

2001

  1. Gushchin A. A. & Valkeila E., 2001, "Exponential statistical experiments: their properties and convergence results," Statistics & Risk Modeling, De Gruyter, volume 19, issue 2, pages 173-190, February, DOI: 10.1524/strm.2001.19.2.173.

2000

  1. Gushchin, Alexander A. & Küchler, Uwe, 2000, "On stationary solutions of delay differential equations driven by a Lévy process," Stochastic Processes and their Applications, Elsevier, volume 88, issue 2, pages 195-211, August.

1998

  1. S. Pergamenshchikov, 1998, "Asymptotic Expansions for the Stochastic Approximation Averaging Procedure in Continuous Time," Statistical Inference for Stochastic Processes, Springer, volume 1, issue 2, pages 197-223, May, DOI: 10.1023/A:1009984032554.

Chapters

2014

  1. Alexander A. Gushchin & Ruslan V. Khasanov & Ivan S. Morozov, 2014, "Some Functional Analytic Tools for Utility Maximization," Springer Optimization and Its Applications, Springer, in: Volodymyr Korolyuk & Nikolaos Limnios & Yuliya Mishura & Lyudmyla Sakhno & Georgiy Shevchenko, "Modern Stochastics and Applications", DOI: 10.1007/978-3-319-03512-3_15.

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