4 papers in the archive (2022–2026), average empirical rigor 2.2/10, average math complexity 7.6/10. Quadrant mix: Lab Rats ×4.
Works mostly in Stochastic Control & Optimal Stopping, Volatility Modeling & Forecasting, Factor Investing & Asset Pricing, Insurance & Actuarial Risk.
Frequent co-authors: Mikhail A. Sonin (1), Aleksei Kozhevnikov (1), Artur Sidorenko (1), Arthur Sidorenko (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
We study a model of clearing in an interbank network with crossholdings and default charges. Following the Eisenberg–Noe approach, we define the model via a set of natural financial regulations including those related with eventual default charges and derive a finite family of fixpoint problems. Th
We expose a simple solution of the consumption-investment problem pair trading. The proof is based on the remark that the HJB equation can be reduced to a linear parabolic equation solvable explicitly.
The geometric approach to financial markets with proportional transaction cost prescribes to imbed a specific model (of stock market, of currency market etc.), usually given in a parametric form, into a natural framework defined by the two random processes, S and K. The first one, d-dimensional, mod
We consider a stochastic volatility model where the price evolution depend on the exponential of the Ornstein–Uhlenbeck process. After a brief revision of the related theory the entropy-minimal equivalent martingale measure. is calculated.