# Sergey Pergamenshchikov

### Contents:

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## Personal Details

 First Name: Sergey Middle Name: Last Name: Pergamenshchikov Suffix: RePEc Short-ID: ppe683 http://lmrs.univ-rouen.fr/Persopage/Pergamenchtchikov/publications.html

## Affiliation

France, Rouen

#### (50%) International Laboratory of Quantitative FinanceNational Research University Higher School of Economics

Moscow, Russia

: +7(495)7713232
+7(495)6287931
Myasnitskaya 20, Moscow 101000
RePEc:edi:qfhseru (more details at EDIRC)

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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," Papers 1210.5111, arXiv.org, revised May 2015.

## Articles

1. 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.
2. 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.
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;The Institute of Statistical Mathematics, vol. 62(6), pages 1083-1111, December.
4. 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.
5. 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, vol. 59(3), pages 435-464, September.
6. 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.
7. 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.
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

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
1. NEP-ORE: Operations Research (3) 2012-10-27 2012-11-17 2013-04-20. Author is listed
2. NEP-FMK: Financial Markets (1) 2012-11-17. Author is listed

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