Alexander Melnikov

Publication Activity (10 Years)

Years Active: 2005-2021
Publications (10 Years): 5

Top Topics

Risk Management

Transaction Costs

Stochastic Models

Top Venues

Risk Decis. Anal.

Frontiers Appl. Math. Stat.

Publications

Alexander Melnikov
Evolution of Heavy Ion Beam Probing from the Origins to Study of Symmetric Structures in Fusion Plasmas. Symmetry 13 (8) (2021)
Narine Kokhlikyan, Vivek Miglani, Miguel Martin, Edward Wang, Bilal Alsallakh, Jonathan Reynolds, Alexander Melnikov, Natalia Kliushkina, Carlos Araya, Siqi Yan, Orion Reblitz-Richardson
Captum: A unified and generic model interpretability library for PyTorch. CoRR (2020)
Anna Glazyrina, Alexander Melnikov
Quadratic hedging of equity-linked life insurance contracts under the real-world measure in discrete time. Risk Decis. Anal. 6 (2) (2017)
Angela Tsao, Xiang Shi, Alexander Melnikov
CVaR hedging under stochastic interest rate. Frontiers Appl. Math. Stat. 1 (2015)
Mohamed N. Abdelghani, Alexander Melnikov
On macrohedging problem in semimartingale markets. Frontiers Appl. Math. Stat. 1 (2015)
Alexander Melnikov, Yuliya Mishura
On stocks and interest rates modeling in long-range dependent environment. Risk Decis. Anal. 5 (4) (2014)
Alexander Melnikov, Shuo Tong
Valuation of finance/insurance contracts: Efficient hedging and stochastic interest rates modeling. Risk Decis. Anal. 5 (1) (2014)
Alexander Melnikov, Shuo Tong
Efficient hedging for equity-linked life insurance contracts with stochastic interest rate. Risk Decis. Anal. 4 (3) (2013)
Hao Li, Alexander Melnikov
On polynomial extension of t-distribution and its financial applications. Risk Decis. Anal. 4 (4) (2013)
Vladimir A. Yakubovich, Alexander Melnikov, Anton V. Proskurnikov, Roman Luchin
Signal invariance and trajectory steering problem for an autonomous wheeled robot. CDC/ECC (2011)
Alexander Melnikov, Yury G. Petrachenko
On option pricing in binomial market with transaction costs. Finance Stochastics 9 (1) (2005)