| Year |
Citation |
Score |
| 2020 |
Glazyrina A, Melnikov A. Bachelier model with stopping time and its insurance application Insurance Mathematics & Economics. 93: 156-167. DOI: 10.1016/J.Insmatheco.2020.04.012 |
0.476 |
|
| 2020 |
Glazyrina A, Melnikov A. Quantile hedging in models with dividends and application to equity-linked life insurance contracts Mathematics and Financial Economics. 14: 207-224. DOI: 10.1007/S11579-019-00252-Y |
0.506 |
|
| 2018 |
Abdelghani M, Melnikov A. A comparison theorem for stochastic equations of optional semimartingales Stochastics and Dynamics. 18: 1850029. DOI: 10.1142/S0219493718500296 |
0.328 |
|
| 2018 |
Krasin V, Smirnov I, Melnikov A. Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes Annals of Finance. 14: 195-209. DOI: 10.1007/S10436-017-0309-9 |
0.61 |
|
| 2017 |
Glazyrina A, Melnikov A. Quadratic hedging of equity-linked life insurance contracts under the real-world measure in discrete time Reproduction in Domestic Animals. 6: 167-175. DOI: 10.3233/Rda-170121 |
0.314 |
|
| 2017 |
Makogin V, Melnikov A, Mishura Y. On mean-variance hedging under partial observations and terminal wealth constraints International Journal of Theoretical and Applied Finance. 20: 1750031. DOI: 10.1142/S0219024917500315 |
0.377 |
|
| 2016 |
Glazyrina A, Melnikov A. Bernstein's inequalities and their extensions for getting the Black-Scholes option pricing formula Statistics and Probability Letters. 111: 86-92. DOI: 10.1016/J.Spl.2016.01.002 |
0.409 |
|
| 2015 |
Abdelghani M, Melnikov A. On macrohedging problem in semimartingale markets Frontiers in Applied Mathematics and Statistics. 1. DOI: 10.3389/Fams.2015.00003 |
0.44 |
|
| 2015 |
Tsao A, Shi X, Melnikov A. CVaR hedging under stochastic interest rate Frontiers in Applied Mathematics and Statistics. 1. DOI: 10.3389/Fams.2015.00002 |
0.461 |
|
| 2015 |
Melnikov A, Nosrati A. EFFICIENT HEDGING FOR DEFAULTABLE SECURITIES AND ITS APPLICATION TO EQUITY-LINKED LIFE INSURANCE CONTRACTS International Journal of Theoretical and Applied Finance. 18. DOI: 10.1142/S0219024915500478 |
0.41 |
|
| 2015 |
Melnikov A, Mishura Y, Shevchenko G. Stochastic Viability and Comparison Theorems for Mixed Stochastic Differential Equations Methodology and Computing in Applied Probability. 17: 169-188. DOI: 10.1007/S11009-013-9336-9 |
0.353 |
|
| 2014 |
Melnikov A, Mishura Y. On stocks and interest rates modeling in long-range dependent environment Reproduction in Domestic Animals. 5: 177-187. DOI: 10.3233/Rda-140109 |
0.427 |
|
| 2014 |
Melnikov A, Tong S. Valuation of finance/insurance contracts: Efficient hedging and stochastic interest rates modeling Risk and Decision Analysis. 5: 23-41. DOI: 10.3233/Rda-130099 |
0.491 |
|
| 2014 |
Melnikov A, Tong S. Quantile hedging on equity-linked life insurance contracts with transaction costs Insurance Mathematics & Economics. 58: 77-88. DOI: 10.1016/J.Insmatheco.2014.06.005 |
0.339 |
|
| 2014 |
Li H, Melnikov A. Polynomial extensions of distributions and their applications in actuarial and financial modeling Insurance: Mathematics and Economics. 55: 250-260. DOI: 10.1016/J.Insmatheco.2014.01.008 |
0.419 |
|
| 2013 |
Melnikov A, Tong S. Efficient hedging for equity-linked life insurance contracts with stochastic interest rate Reproduction in Domestic Animals. 4: 207-223. DOI: 10.3233/Rda-2012-0087 |
0.49 |
|
| 2013 |
Li H, Melnikov A. On polynomial extension of t-distribution and its financial applications Reproduction in Domestic Animals. 4: 255-266. DOI: 10.3233/Rda-130093 |
0.343 |
|
| 2012 |
Melnikov A, Tong S. Quantile hedging for equity-linked life insurance contracts with stochastic interest rate Systems Engineering Procedia. 4: 9-24. DOI: 10.1016/J.Sepro.2011.11.044 |
0.496 |
|
| 2012 |
Melnikov A, Smirnov I. Dynamic hedging of conditional value-at-risk☆ Insurance Mathematics & Economics. 51: 182-190. DOI: 10.1016/J.Insmatheco.2012.03.011 |
0.591 |
|
| 2011 |
Melnikov A, Mishura Y. On pricing and hedging in financial markets with long-range dependence Mathematics and Financial Economics. 5: 29-46. DOI: 10.1007/S11579-011-0048-Z |
0.407 |
|
| 2009 |
Kane S, Melnikov A. On investment and minimization of shortfall risk for a diffusion model with jumps and two interest rates via market completion Theory of Probability and Mathematical Statistics. 78: 75-82. DOI: 10.1090/S0094-9000-09-00763-7 |
0.408 |
|
| 2008 |
Melnikov A, Romanyuk Y. Efficient Hedging And Pricing Of Equity-Linked Life Insurance Contracts On Several Risky Assets International Journal of Theoretical and Applied Finance. 11: 295-323. DOI: 10.1142/S0219024908004816 |
0.468 |
|
| 2008 |
Kane S, Melnikov A. On pricing contingent claims in a two interest rates jump-diffusion model via market completions Theory of Probability and Mathematical Statistics. 77: 57-69. DOI: 10.1090/S0094-9000-09-00747-9 |
0.476 |
|
| 2008 |
Ratanov N, Melnikov A. On Financial Markets Based on Telegraph Processes Stochastics An International Journal of Probability and Stochastic Processes. 80: 247-268. DOI: 10.1080/17442500701841156 |
0.443 |
|
| 2006 |
Melnikov A, Romaniuk Y. Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts Insurance Mathematics & Economics. 39: 310-329. DOI: 10.1016/J.Insmatheco.2006.02.012 |
0.316 |
|
| 2005 |
Melnikov A, Nechaev M. On the pricing of equity-linked life insurance contracts in Gaussian financial environment Theory of Probability and Mathematical Statistics. 70: 105-111. DOI: 10.1090/S0094-9000-05-00634-4 |
0.407 |
|
| 2005 |
Kirch M, Melnikov A. Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model Stochastic Analysis and Applications. 23: 1213-1233. DOI: 10.1080/07362990500292692 |
0.446 |
|
| 2003 |
Melnikov A, Molyboga M, Skornyakova VS. Valuation of Flexible Insurance Contracts Theory of Probability and Mathematical Statistics. 73: 109-115. DOI: 10.1090/S0094-9000-07-00685-0 |
0.414 |
|
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