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Yan Dolinsky
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2020 – today
- 2024
- [j10]Yan Dolinsky:
Duality theory for exponential utility-based hedging in the Almgren-Chriss model. J. Appl. Probab. 61(2): 420-438 (2024) - 2023
- [j9]Yan Dolinsky, Or Zuk
:
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework. SIAM J. Financial Math. 14(3): SC31-SC41 (2023) - 2022
- [j8]Yan Dolinsky, Shir Moshe:
Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact. SIAM J. Financial Math. 13(1): 12- (2022) - 2021
- [j7]Peter Bank, Yan Dolinsky:
Short Communication: A Note on Utility Indifference Pricing with Delayed Information. SIAM J. Financial Math. 12(2) (2021) - [j6]Erhan Bayraktar
, Christoph Czichowsky, Leonid Dolinskyi, Yan Dolinsky:
Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios. SIAM J. Financial Math. 12(4) (2021)
2010 – 2019
- 2018
- [j5]Erhan Bayraktar
, Yan Dolinsky, Jia Guo:
Recombining Tree Approximations for Optimal Stopping for Diffusions. SIAM J. Financial Math. 9(2): 602-633 (2018) - 2017
- [j4]Peter Bank, Yan Dolinsky, Ari-Pekka Perkkiö
:
The scaling limit of superreplication prices with small transaction costs in the multivariate case. Finance Stochastics 21(2): 487-508 (2017) - [j3]Yan Dolinsky, H. Mete Soner
:
Convex Duality with Transaction Costs. Math. Oper. Res. 42(2): 448-471 (2017) - 2014
- [j2]Yan Dolinsky, H. Mete Soner
:
Robust hedging with proportional transaction costs. Finance Stochastics 18(2): 327-347 (2014) - 2013
- [j1]Yan Dolinsky, Halil Mete Soner
:
Duality and convergence for binomial markets with friction. Finance Stochastics 17(3): 447-475 (2013)
Coauthor Index
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