Yerkin Kitapbayev

Identifiers

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Papers (7)

1. American Options with Discontinuous Two-Level Caps q-fin.PR · 2017 · author #2
2. Mean Reversion Trading with Sequential Deadlines and Transaction Costs q-fin.TR · 2017 · author #1
3. Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach q-fin.TR · 2017 · author #2
4. On the American swaption in the linear-rational framework q-fin.PR · 2016 · author #2
5. On American VIX options under the generalized 3/2 and 1/2 models q-fin.PR · 2016 · author #2
6. Integral equations for Rost's reversed barriers: existence and uniqueness results math.PR · 2015 · author #2
7. On the optimal exercise boundaries of swing put options math.OC · 2014 · author #2

Mentions

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Frequent Coauthors

• Jerome Detemple 2 shared papers
• Tim Leung 2 shared papers
• Tiziano De Angelis 2 shared papers
• Damir Filipovic 1 shared papers