Alexander Melnikov
Affiliations: | Mathematical and Statistical Sciences | University of Alberta, Edmonton, Alberta, Canada |
Area:
Applied Mathematics, FinanceGoogle:
"Alexander Melnikov"
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Publications
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| Glazyrina A, Melnikov A. (2020) Bachelier model with stopping time and its insurance application Insurance Mathematics & Economics. 93: 156-167 |
| Glazyrina A, Melnikov A. (2020) Quantile hedging in models with dividends and application to equity-linked life insurance contracts Mathematics and Financial Economics. 14: 207-224 |
| Abdelghani M, Melnikov A. (2018) A comparison theorem for stochastic equations of optional semimartingales Stochastics and Dynamics. 18: 1850029 |
| Krasin V, Smirnov I, Melnikov A. (2018) Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes Annals of Finance. 14: 195-209 |
| Glazyrina A, Melnikov A. (2017) Quadratic hedging of equity-linked life insurance contracts under the real-world measure in discrete time Reproduction in Domestic Animals. 6: 167-175 |
| Makogin V, Melnikov A, Mishura Y. (2017) On mean-variance hedging under partial observations and terminal wealth constraints International Journal of Theoretical and Applied Finance. 20: 1750031 |
| Glazyrina A, Melnikov A. (2016) Bernstein's inequalities and their extensions for getting the Black-Scholes option pricing formula Statistics and Probability Letters. 111: 86-92 |
| Abdelghani M, Melnikov A. (2015) On macrohedging problem in semimartingale markets Frontiers in Applied Mathematics and Statistics. 1 |
| Tsao A, Shi X, Melnikov A. (2015) CVaR hedging under stochastic interest rate Frontiers in Applied Mathematics and Statistics. 1 |
| Melnikov A, Nosrati A. (2015) EFFICIENT HEDGING FOR DEFAULTABLE SECURITIES AND ITS APPLICATION TO EQUITY-LINKED LIFE INSURANCE CONTRACTS International Journal of Theoretical and Applied Finance. 18 |