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Anton Yurchenko-Tytarenko
Anton Yurchenko-Tytarenko
Department of Mathematics, University of Oslo
Verified email at math.uio.no
Title
Cited by
Cited by
Year
Fractional Cox–Ingersoll–Ross process with non-zero «mean»
Y Mishura, A Yurchenko-Tytarenko
Modern Stochastics: Theory and Applications 5 (1), 99-111, 2018
462018
Stochastic representation and path properties of a fractional Cox–Ingersoll–Ross process
Y Mishura, V Piterbarg, K Ralchenko, A Yurchenko-Tytarenko
Theory of Probability and Mathematical Statistics 97, 167-182, 2018
24*2018
Fractional Cox–Ingersoll–Ross process with small Hurst indices
Y Mishura, A Yurchenko-Tytarenko
Modern Stochastics: Theory and Applications 6 (1), 13-39, 2018
162018
Standard and fractional reflected Ornstein–Uhlenbeck processes as the limits of square roots of Cox–Ingersoll–Ross processes
Y Mishura, A Yurchenko-Tytarenko
Stochastics 95 (1), 99-117, 2023
152023
Sandwiched SDEs with unbounded drift driven by Hölder noises
G Di Nunno, Y Mishura, A Yurchenko-Tytarenko
Advances in applied probability 55 (3), 927-964, 2023
122023
Approximating expected value of an option with non-Lipschitz payoff in fractional Heston-type model
Y Mishura, A Yurchenko-Tytarenko
International Journal of Theoretical and Applied Finance 23 (05), 2050031, 2020
122020
From constant to rough: A survey of continuous volatility modeling
G Di Nunno, K Kubilius, Y Mishura, A Yurchenko-Tytarenko
Mathematics 11 (19), 4201, 2023
92023
Drift-implicit Euler scheme for sandwiched processes driven by Hölder noises
G Di Nunno, Y Mishura, A Yurchenko-Tytarenko
Numerical algorithms 93 (2), 459-491, 2023
62023
Low-dimensional Cox-Ingersoll-Ross process
Y Mishura, A Pilipenko, A Yurchenko-Tytarenko
Stochastics, 1-21, 2024
42024
Option pricing in Volterra sandwiched volatility model
G Di Nunno, Y Mishura, A Yurchenko-Tytarenko
arXiv preprint arXiv:2209.10688, 2022
42022
Optimal control in linear-quadratic stochastic advertising models with memory
M Giordano, A Yurchenko-Tytarenko
Decisions in Economics and Finance 47 (1), 275-298, 2024
2*2024
Sandwiched Volterra Volatility model: Markovian approximations and hedging
G Di Nunno, A Yurchenko-Tytarenko
arXiv preprint arXiv:2209.13054, 2022
22022
Power law in Sandwiched Volterra Volatility model
G Di Nunno, A Yurchenko-Tytarenko
Modern Stochastics: Theory and Applications 11 (2), 169-194, 2024
12024
Parameter Estimation in Rough Bessel Model
Y Mishura, A Yurchenko-Tytarenko
Fractal and Fractional 7, 508, 2023
12023
Option Pricing in Sandwiched Volterra Volatility Model
G Di Nunno, Y Mishura, A Yurchenko-Tytarenko
SIAM Journal on Financial Mathematics 15 (3), 824-882, 2024
2024
Stochastic Volterra volatility models
A Yurchenko-Tytarenko
2022
Optimal motivation scheme design using machine learning and control theory
O Chernova, SR Choudhuri, D Jelito, J Kardach, K Kulczyck, Z Michalik, ...
2021
Portfolio theory and derivative pricing
E Alos, O Chernova, SR Choudhuri, H Gacki, D G±tarek, M Górnioczek, ...
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