R. N. Makarov

Available identifiers

zbMath Open makarov.roman-nMaRDI QIDQ177210

List of research outcomes

Publication	Date of Publication	Type
Financial Mathematics	2023-02-13	Paper
Financial Mathematics	2020-12-16	Paper
Modelling asynchronous assets with jump-diffusion processes	2019-06-11	Paper
Optimal selection of assets and portfolios	2019-06-11	Paper
Modern Challenges and Interdisciplinary Interactions via Mathematical, Statistical, and Computational Models	2018-03-06	Paper
Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts	2017-02-16	Paper
Pricing Options with Hybrid Stochastic Volatility Models	2017-02-03	Paper
Time Series Analysis and Calibration to Option Data: A Study of Various Asset Pricing Models	2016-01-11	Paper
https://portal.mardi4nfdi.de/entity/Q5413230	2014-04-29	Paper
PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS	2013-10-21	Paper
Exact Simulation of Occupation Times	2013-07-31	Paper
ON PROPERTIES OF ANALYTICALLY SOLVABLE FAMILIES OF LOCAL VOLATILITY DIFFUSION MODELS	2013-02-28	Paper
Exact simulation of Bessel diffusions	2011-01-13	Paper
Adaptive (Quasi-)Monte Carlo Methods for Pricing Path-Dependent Options	2010-02-15	Paper
Dual Stochastic Transformations of Solvable Diffusions	2009-07-16	Paper
Stochastic Algorithms with Hermite Cubic Spline Interpolation for Global Estimation of Solutions of Boundary Value Problems	2009-03-10	Paper
Path integral pricing of Asian options on state-dependent volatility models	2008-05-15	Paper
PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE	2007-06-05	Paper
Numerical solution of quasilinear parabolic equations and backward stochastic differential equations	2004-05-27	Paper
Solution of boundary value problem(s) of the second and third kind by Monte Carlo methods	2004-01-06	Paper
Combined estimates of the Monte Carlo method for the third boundary value problem for a parabolic-type equation	2003-08-25	Paper
https://portal.mardi4nfdi.de/entity/Q3152916	2002-11-03	Paper
Statistical modelling of solutions of stochastic differential equations with reflection of trajectories from the boundary	2001-07-29	Paper
Solving boundary-value problems by the method of ``walk over spheres with reflection from the boundary	2001-05-06	Paper
Estimates for the eigenvalues of the operator \(\Delta+c(r)\) by calculating parametric derivatives by the Monte Carlo method	2001-01-28	Paper
Solution of boundary value problems for nonlinear elliptic equations by the Monte Carlo method	2000-08-02	Paper
https://portal.mardi4nfdi.de/entity/Q4268362	1999-10-28	Paper
Monte Carlo methods for solving boundary value problems of the second and third kinds	1999-06-21	Paper
Parametric differentiation and estimation of eigenvalues by the Monte Carlo method	1999-05-11	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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instance of	human

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