Sergey Nadtochiy

Publication Activity (10 Years)

Years Active: 2009-2023
Publications (10 Years): 5

Top Topics

Stochastic Dynamic Programming

Approximation Methods

Optimal Strategy

Top Venues

SIAM J. Financial Math.

Math. Oper. Res.

SIAM J. Control. Optim.

Publications

Guillermo Alonso Alvarez, Sergey Nadtochiy, Kevin Webster
Optimal Brokerage Contracts in Almgren-Chriss Model with Multiple Clients. SIAM J. Financial Math. 14 (3) (2023)
Roman Gayduk, Sergey Nadtochiy
Control-Stopping Games for Market Microstructure and Beyond. Math. Oper. Res. 45 (4) (2020)
Sergey Nadtochiy, Thaleia Zariphopoulou
Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints. SIAM J. Financial Math. 10 (3) (2019)
Roman Gayduk, Sergey Nadtochiy
Endogenous Formation of Limit Order Books: Dynamics Between Trades. SIAM J. Control. Optim. 56 (3) (2018)
René Carmona, Yi Ma, Sergey Nadtochiy
Simulation of Implied Volatility Surfaces via Tangent Lévy Models. SIAM J. Financial Math. 8 (1) (2017)
Sergey Nadtochiy, Thaleia Zariphopoulou
An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets. SIAM J. Financial Math. 4 (1) (2013)
René Carmona, Sergey Nadtochiy
Tangent Lévy market models. Finance Stochastics 16 (1) (2012)
Peter Carr, Sergey Nadtochiy
Static Hedging under Time-Homogeneous Diffusions. SIAM J. Financial Math. 2 (1) (2011)
René Carmona, Sergey Nadtochiy
Local volatility dynamic models. Finance Stochastics 13 (1) (2009)