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Cherny, Alexander S.

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Author ID: cherny.alexander-s Recent zbMATH articles by "Cherny, Alexander S."
Published as: Cherny, A. S.; Cherny, Alexander; Cherny, Alexander S.; Chernyj, A. S.; Chernyĭ, A. S.
External Links: MGP
Documents Indexed: 32 Publications since 1998, including 1 Book

Publications by Year

Citations contained in zbMATH

28 Publications have been cited 278 times in 242 Documents Cited by Year
Markets as a counterparty: an introduction to conic finance. Zbl 1208.91148
Madan, Dilip B.; Cherny, Alexander
46
2010
Singular stochastic differential equations. Zbl 1071.60003
Cherny, Alexander S.; Engelbert, Hans-Jürgen
36
2005
Weighted V@R and its properties. Zbl 1101.91023
Cherny, A. S.
33
2006
On the uniqueness in law and the pathwise uniqueness for stochastic differential equations. Zbl 1036.60051
Cherny, A. S.
19
2001
Brownian moving averages have conditional full support. Zbl 1151.91490
Cherny, Alexander
14
2008
On minimization and maximization of entropy in various disciplines. Zbl 1075.94007
Chernyĭ, A. S.; Maslov, V. P.
14
2003
On two approaches to coherent risk contribution. Zbl 1218.91071
Cherny, Alexander; Orlov, Dmitri
10
2011
Capital allocation and risk contribution with discrete-time coherent risk. Zbl 1155.91400
Cherny, Alexander S.
10
2009
Dilatation monotone risk measures are law invariant. Zbl 1144.91008
Cherny, Alexander S.; Grigoriev, Pavel G.
10
2007
General arbitrage pricing model. II: Transaction costs. Zbl 1322.91052
Cherny, Alexander
9
2007
General arbitrage pricing model. I: Probability approach. Zbl 1321.91111
Cherny, Alexander
9
2007
Pricing and hedging European options with discrete-time coherent risk. Zbl 1145.91032
Cherny, Alexander S.
8
2007
Limit behavior of the “horizontal-vertical” random walk and some extensions of the Donsker-Prokhorov invariance principle. Zbl 1034.60076
Cherny, A. S.; Shiryaev, A. N.; Yor, M.
8
2002
On the strong and weak solutions of stochastic differential equations governing Bessel processes. Zbl 0970.60066
Cherny, A. S.
8
2000
On the absolute continuity and singularity of measures on filtered spaces: separating times. Zbl 1103.60043
Cherny, Alexander; Urusov, Mikhail
6
2006
Principal values of the integral functionals of Brownian motion: Existence, continuity and an extension of Itô’s formula. Zbl 0977.60075
Cherny, A. S.
6
2001
Pricing with coherent risk. Zbl 1148.91026
Cherny, A. S.
5
2008
On stochastic integrals up to infinity and predictable criteria for integrability. Zbl 1068.60075
Cherny, Alexander; Shiryaev, Albert
5
2005
Separating times for measures on filtered spaces. Zbl 1070.60004
Chernyj, A. S.; Urusov, M. A.
5
2003
Vector stochastic integrals and the fundamental theorems of asset pricing. Zbl 1034.60058
Shiryaev, A. N.; Chernyj, A. S.
4
2002
On criteria for the uniform integrability of Brownian stochastic exponentials. Zbl 1054.60502
Cherny, A. S.; Shiryaev, A. N.
3
2001
On measuring nonlinear risk with scarce observations. Zbl 1226.91066
Cherny, Alexander; Douady, Raphael; Molchanov, Stanislav
2
2010
Risk-reward optimization with discrete-time coherent risk. Zbl 1232.91614
Cherny, Alexander S.
2
2010
Some distributional properties of a Brownian motion with a drift and an extension of P. Lévy’s theorem. Zbl 0974.60058
Chernyj, A. S.; Shiryaev, A. N.
2
1999
On certain distributions associated with the range of martingales. Zbl 1188.91213
Cherny, Alexander; Dupire, Bruno
1
2009
General arbitrage pricing model. III: Possibility approach. Zbl 1322.91053
Cherny, Alexander
1
2007
Families of consistent probability measures. Zbl 0998.60006
Chernyj, A. S.
1
2001
Convergence of some integrals associated with Bessel processes. Zbl 0982.60077
Chernyj, A. S.
1
2000
On two approaches to coherent risk contribution. Zbl 1218.91071
Cherny, Alexander; Orlov, Dmitri
10
2011
Markets as a counterparty: an introduction to conic finance. Zbl 1208.91148
Madan, Dilip B.; Cherny, Alexander
46
2010
On measuring nonlinear risk with scarce observations. Zbl 1226.91066
Cherny, Alexander; Douady, Raphael; Molchanov, Stanislav
2
2010
Risk-reward optimization with discrete-time coherent risk. Zbl 1232.91614
Cherny, Alexander S.
2
2010
Capital allocation and risk contribution with discrete-time coherent risk. Zbl 1155.91400
Cherny, Alexander S.
10
2009
On certain distributions associated with the range of martingales. Zbl 1188.91213
Cherny, Alexander; Dupire, Bruno
1
2009
Brownian moving averages have conditional full support. Zbl 1151.91490
Cherny, Alexander
14
2008
Pricing with coherent risk. Zbl 1148.91026
Cherny, A. S.
5
2008
Dilatation monotone risk measures are law invariant. Zbl 1144.91008
Cherny, Alexander S.; Grigoriev, Pavel G.
10
2007
General arbitrage pricing model. II: Transaction costs. Zbl 1322.91052
Cherny, Alexander
9
2007
General arbitrage pricing model. I: Probability approach. Zbl 1321.91111
Cherny, Alexander
9
2007
Pricing and hedging European options with discrete-time coherent risk. Zbl 1145.91032
Cherny, Alexander S.
8
2007
General arbitrage pricing model. III: Possibility approach. Zbl 1322.91053
Cherny, Alexander
1
2007
Weighted V@R and its properties. Zbl 1101.91023
Cherny, A. S.
33
2006
On the absolute continuity and singularity of measures on filtered spaces: separating times. Zbl 1103.60043
Cherny, Alexander; Urusov, Mikhail
6
2006
Singular stochastic differential equations. Zbl 1071.60003
Cherny, Alexander S.; Engelbert, Hans-Jürgen
36
2005
On stochastic integrals up to infinity and predictable criteria for integrability. Zbl 1068.60075
Cherny, Alexander; Shiryaev, Albert
5
2005
On minimization and maximization of entropy in various disciplines. Zbl 1075.94007
Chernyĭ, A. S.; Maslov, V. P.
14
2003
Separating times for measures on filtered spaces. Zbl 1070.60004
Chernyj, A. S.; Urusov, M. A.
5
2003
Limit behavior of the “horizontal-vertical” random walk and some extensions of the Donsker-Prokhorov invariance principle. Zbl 1034.60076
Cherny, A. S.; Shiryaev, A. N.; Yor, M.
8
2002
Vector stochastic integrals and the fundamental theorems of asset pricing. Zbl 1034.60058
Shiryaev, A. N.; Chernyj, A. S.
4
2002
On the uniqueness in law and the pathwise uniqueness for stochastic differential equations. Zbl 1036.60051
Cherny, A. S.
19
2001
Principal values of the integral functionals of Brownian motion: Existence, continuity and an extension of Itô’s formula. Zbl 0977.60075
Cherny, A. S.
6
2001
On criteria for the uniform integrability of Brownian stochastic exponentials. Zbl 1054.60502
Cherny, A. S.; Shiryaev, A. N.
3
2001
Families of consistent probability measures. Zbl 0998.60006
Chernyj, A. S.
1
2001
On the strong and weak solutions of stochastic differential equations governing Bessel processes. Zbl 0970.60066
Cherny, A. S.
8
2000
Convergence of some integrals associated with Bessel processes. Zbl 0982.60077
Chernyj, A. S.
1
2000
Some distributional properties of a Brownian motion with a drift and an extension of P. Lévy’s theorem. Zbl 0974.60058
Chernyj, A. S.; Shiryaev, A. N.
2
1999
all top 5

Cited by 345 Authors

24 Madan, Dilip B.
11 Schoutens, Wim
8 Bielecki, Tomasz R.
8 Cherny, Alexander S.
8 Eberlein, Ernst W.
7 Cialenco, Igor
7 Pistorius, Martijn R.
6 Pakkanen, Mikko S.
6 Sayit, Hasanjan
5 Gzyl, Henryk
5 Karatzas, Ioannis
5 Mijatović, Aleksandar
5 Rásonyi, Miklós
4 Guasoni, Paolo
4 Kardaras, Constantinos
4 Lépinette, Emmanuel
4 Urusov, Mikhail A.
4 Yor, Marc
3 Bayraktar, Erhan
3 Criens, David
3 Engelbert, Hans Jürgen
3 Ichiba, Tomoyuki
3 Maslov, Viktor Pavlovich
3 Ngo, Hoang-Long
3 Pilipenko, Andrey Yu.
3 Pitera, Marcin
3 Shkolnikov, Mykhaylo
3 Taguchi, Dai
3 Yan, Litan
3 Zähle, Henryk
2 Balbás, Alejandro
2 Bannör, Karl F.
2 Blei, Stefan
2 Csáki, Endre
2 Csörgő, Miklós
2 Flandoli, Franco
2 Földes, Antónia
2 Gao, Niushan
2 Gomes-Gonçalves, Erika
2 Grechuk, Bogdan
2 Grigor’ev, Pavel’ Gennadievich
2 Jeanblanc, Monique
2 Kohatsu-Higa, Arturo
2 Kromer, Eduard
2 Kumar, K. Suresh
2 Li, Zenghu
2 Mayoral, Silvia
2 Mishura, Yuliya Stepanivna
2 Molchanov, Stanislav Alekseevich
2 Overbeck, Ludger
2 Pavlyukevich, Ilya
2 Proske, Frank Norbert
2 Qian, Weiyi
2 Ralchenko, Kostiantyn V.
2 Révész, Pál
2 Rutkowski, Marek
2 Schachermayer, Walter
2 Scherer, Matthias
2 Schmidt, Thorsten
2 Sgarra, Carlo
2 Shevchenko, Georgiy M.
2 Sottinen, Tommi
2 Stadje, Mitja
2 Svindland, Gregor
2 ter Horst, Enrique Alejandro
2 Thomann, Enrique A.
2 Waymire, Edward C.
2 Wozabal, Nancy
2 Yin, Mingqiang
2 Yûki, Gô
2 Zhao, Jun
2 Ziegel, Johanna F.
2 Zili, Mounir
1 Abakirova, A. T.
1 Albrecht, Peter
1 Allaj, Erindi
1 Ankirchner, Stefan
1 Appuhamillage, Thilanka A.
1 Arai, Takuji
1 Assa, Hirbod
1 Balbás, Beatriz
1 Balbás, Raquel
1 Balog, Dóra
1 Balter, Anne G.
1 Barczy, Mátyás
1 Barndorff-Nielsen, Ole Eiler
1 Battauz, Anna
1 Bátyi, Tamás László
1 Bauer, Martin
1 Bäurer, Patrick
1 Becherer, Dirk
1 Bel Hadj Khlifa, Meriem
1 Belles-Sampera, Jaume
1 Bellini, Fabio
1 Bender, Christian
1 Benth, Fred Espen
1 Bernard, Carole
1 Bevilacqua, Alessandro
1 Bignozzi, Valeria
1 Bogachev, Vladimir Igorevich
...and 245 more Authors
all top 5

Cited in 84 Serials

19 Finance and Stochastics
14 Stochastic Processes and their Applications
14 International Journal of Theoretical and Applied Finance
11 Quantitative Finance
10 Mathematical Finance
10 Mathematics and Financial Economics
9 Insurance Mathematics & Economics
9 Annals of Finance
8 European Journal of Operational Research
5 Journal of Applied Probability
5 Statistics & Probability Letters
5 Journal of Theoretical Probability
5 The Annals of Applied Probability
4 Journal of Computational and Applied Mathematics
4 Stochastic Analysis and Applications
4 Probability Theory and Related Fields
4 Electronic Journal of Probability
4 Electronic Communications in Probability
4 Bernoulli
4 Probability, Uncertainty and Quantitative Risk
3 Journal of Mathematical Analysis and Applications
3 Mathematical Notes
3 Stochastics
3 Journal of Probability and Statistics
2 Journal of Statistical Physics
2 Theory of Probability and its Applications
2 The Annals of Probability
2 Mathematics of Operations Research
2 Journal of Applied Mathematics and Stochastic Analysis
2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
2 Theory of Probability and Mathematical Statistics
2 Russian Journal of Mathematical Physics
2 Applied Mathematical Finance
2 Discrete Dynamics in Nature and Society
2 Entropy
2 Stochastics and Dynamics
2 SIAM Journal on Financial Mathematics
2 International Journal of Stochastic Analysis
2 Dependence Modeling
1 Indian Journal of Pure & Applied Mathematics
1 Mathematical Methods in the Applied Sciences
1 Physica A
1 Mathematics of Computation
1 Annales de l’Institut Fourier
1 Journal of Economic Theory
1 Journal of Functional Analysis
1 Journal of Mathematical Economics
1 Journal of Optimization Theory and Applications
1 Mathematics and Computers in Simulation
1 Mathematische Zeitschrift
1 Transactions of the American Mathematical Society
1 Acta Applicandae Mathematicae
1 Physica D
1 Statistical Science
1 International Journal of Computer Mathematics
1 Proceedings of the Indian Academy of Sciences. Mathematical Sciences
1 SIAM Journal on Optimization
1 Cybernetics and Systems Analysis
1 Journal of Mathematical Sciences (New York)
1 NoDEA. Nonlinear Differential Equations and Applications
1 Journal of Nonparametric Statistics
1 Mathematical Problems in Engineering
1 Doklady Mathematics
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Vietnam Journal of Mathematics
1 Mathematical Methods of Operations Research
1 Lobachevskii Journal of Mathematics
1 Stochastic Models
1 Journal of Intelligent and Fuzzy Systems
1 Review of Derivatives Research
1 Computational Management Science
1 Proceedings of the Steklov Institute of Mathematics
1 Frontiers of Mathematics in China
1 Japanese Journal of Mathematics. 3rd Series
1 Acta Universitatis Sapientiae. Mathematica
1 Science China. Mathematics
1 Matematicheskaya Teoriya Igr i eë Prilozheniya
1 European Actuarial Journal
1 Mathematical Control and Related Fields
1 Statistics & Risk Modeling
1 Communications in Mathematics and Statistics
1 ISRN Probability and Statistics
1 Modern Stochastics. Theory and Applications
1 Open Mathematics

Citations by Year