Yan Dolinsky

Publication Activity (10 Years)

Years Active: 2013-2024
Publications (10 Years): 8

Top Topics

Utility Maximization

Stochastic Processes

Optimal Stopping

Transaction Costs

Top Venues

SIAM J. Financial Math.

Finance Stochastics

J. Appl. Probab.

Math. Oper. Res.

Publications

Yan Dolinsky
Duality theory for exponential utility-based hedging in the Almgren-Chriss model. J. Appl. Probab. 61 (2) (2024)
Yan Dolinsky, Or Zuk
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework. SIAM J. Financial Math. 14 (3) (2023)
Yan Dolinsky, Shir Moshe
Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact. SIAM J. Financial Math. 13 (1) (2022)
Erhan Bayraktar, Christoph Czichowsky, Leonid Dolinskyi, Yan Dolinsky
Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios. SIAM J. Financial Math. 12 (4) (2021)
Peter Bank, Yan Dolinsky
Short Communication: A Note on Utility Indifference Pricing with Delayed Information. SIAM J. Financial Math. 12 (2) (2021)
Erhan Bayraktar, Yan Dolinsky, Jia Guo
Recombining Tree Approximations for Optimal Stopping for Diffusions. SIAM J. Financial Math. 9 (2) (2018)
Yan Dolinsky, H. Mete Soner
Convex Duality with Transaction Costs. Math. Oper. Res. 42 (2) (2017)
Peter Bank, Yan Dolinsky, Ari-Pekka Perkkiö
The scaling limit of superreplication prices with small transaction costs in the multivariate case. Finance Stochastics 21 (2) (2017)
Yan Dolinsky, H. Mete Soner
Robust hedging with proportional transaction costs. Finance Stochastics 18 (2) (2014)
Yan Dolinsky, Halil Mete Soner
Duality and convergence for binomial markets with friction. Finance Stochastics 17 (3) (2013)