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Alexander Melnikov
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Риск-менеджмент: Стохастический анализ рисков в экономике финансов и страхования
Мельников, А.В.
АНКИЛ, Москва, 2001
1712001
Математические методы финансового анализа
Мельников, А.В., Попова, Н.В., Скорнякова, В.С.
АНКИЛ, Москва, 2006
1532006
Risk analysis in finance and insurance
A Melnikov
Chapman and Hall/CRC, 2003
1262003
Математика Финансовых Обязательств
Мельников, А.В.,Волков, С., Нечаев, М.
ГУ ВШЭ, 2001
1232001
Toward a theory of pricing options of European and American types. II. Continuous time
Shiryaev, A.N., Kabanov, Yu.M., Kramkov, D.O., Mel'nikov, A.V.
Theory Probabability and its Applications 39, 61-102, 1994
115*1994
К теории расчетов опционов Европейского и Американского типов.I.Дискретное время
Ширяев, А.Н., Кабанов, Ю.М., Крамков, Д.О., Мельников, А.В.
Теория вероятностей и ее применения 39 (1), 14-60, 1994
91*1994
Evaluating the performance of Gompertz, Makeham and Lee–Carter mortality models for risk management with unit-linked contracts
A Melnikov, Y Romaniuk
Insurance: Mathematics and Economics 39 (3), 310-329, 2006
872006
Toward a theory of pricing options of European and American types. I. Discrete time
Shiryaev, A.N., Kabanov, Yu.M., Kramkov, D.O., Mel'nikov, A.V.
Theory Probabability and its Applications 39, 14-60, 1994
78*1994
Финансовые Рынки: Стохастический анализ и расчет производных ценных бумаг
Мельников, А.В.
ТВП, Москва, 1997
601997
On drift parameter estimation in models with fractional Brownian motion
Y Kozachenko, A Melnikov, Y Mishura
Statistics 49 (1), 35-62, 2015
572015
Financial Markets: Stochastic Analysis and the Pricing of Derivative Securities
AV Mel'nikov
American Mathematical Society, Translations of Mathematical Monographs 184 …, 1999
511999
Dynamic hedging of conditional value-at-risk
A Melnikov, I Smirnov
Insurance: Mathematics and Economics 51 (1), 182-190, 2012
462012
Efficient hedging and pricing of equity-linked life insurance contracts on several risky assets
A Melnikov, Y Romanyuk
International Journal of Theoretical and Applied Finance 11 (03), 295-323, 2008
452008
Quantile hedging and its application to life insurance
A Melnikov, V Skornyakova
Oldenbourg Wissenschaftsverlag GmbH 23 (4), 301-316, 2005
372005
Stochastic equations and Krylov's estimates for semimartingales
AV Mel'nikov
Stochastics 10, 81-102, 1983
361983
Quantile hedging of equity-linked life insurance policies
Melnikov, A.V.
Doklady Mathematics 69, 428-430, 2004
272004
On financial markets based on telegraph processes
N Ratanov, A Melnikov
Stochastics: An International Journal of Probability and Stochastics …, 2008
262008
Efficient hedging and pricing of life insurance policies in a jump-diffusion model
M Kirch, A Melnikov
Stochastic analysis and applications 23 (6), 1213-1233, 2005
262005
Quantile hedging for a jump-diffusion financial market model
Krutchenko, R. N., Mel'nikov, A.V.
Trends in Mathematics, Mathematical Finance, 215-229, 2001
24*2001
On option pricing in binomial market with transaction costs
AV Melnikov, YG Petrachenko
Finance and Stochastics 9 (1), 141-149, 2005
222005
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