Edit Profile Cherny, Alexander S. Compute Distance To: Compute Author ID: 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 all top 5 Co-Authors 18 single-authored 5 Shiryaev, Al’bert Nikolaevich 2 Urusov, Mikhail A. 1 Douady, Raphaël 1 Dupire, Bruno 1 Engelbert, Hans Jürgen 1 Grigoriev, Pavel G. 1 Madan, Dilip B. 1 Maslov, Viktor Pavlovich 1 Molchanov, Stanislav Alekseevich 1 Orlov, Dmitri 1 Yor, Marc all top 5 Serials 8 Theory of Probability and its Applications 4 Finance and Stochastics 3 Mathematical Finance 2 Russian Mathematical Surveys 2 Stochastics and Stochastics Reports 1 The Annals of Applied Probability 1 International Journal of Theoretical and Applied Finance 1 Lecture Notes in Mathematics all top 5 Fields 21 Probability theory and stochastic processes (60-XX) 18 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1 History and biography (01-XX) 1 Ordinary differential equations (34-XX) 1 Statistics (62-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Information and communication theory, circuits (94-XX) 1 Mathematics education (97-XX) Publications by Year all cited Publications top 5 cited Publications 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 1208.91148Madan, Dilip B.; Cherny, Alexander 46 2010 Singular stochastic differential equations. Zbl 1071.60003Cherny, Alexander S.; Engelbert, Hans-Jürgen 36 2005 Weighted V@R and its properties. Zbl 1101.91023Cherny, A. S. 33 2006 On the uniqueness in law and the pathwise uniqueness for stochastic differential equations. Zbl 1036.60051Cherny, A. S. 19 2001 Brownian moving averages have conditional full support. Zbl 1151.91490Cherny, Alexander 14 2008 On minimization and maximization of entropy in various disciplines. Zbl 1075.94007Chernyĭ, A. S.; Maslov, V. P. 14 2003 On two approaches to coherent risk contribution. Zbl 1218.91071Cherny, Alexander; Orlov, Dmitri 10 2011 Capital allocation and risk contribution with discrete-time coherent risk. Zbl 1155.91400Cherny, Alexander S. 10 2009 Dilatation monotone risk measures are law invariant. Zbl 1144.91008Cherny, Alexander S.; Grigoriev, Pavel G. 10 2007 General arbitrage pricing model. II: Transaction costs. Zbl 1322.91052Cherny, Alexander 9 2007 General arbitrage pricing model. I: Probability approach. Zbl 1321.91111Cherny, Alexander 9 2007 Pricing and hedging European options with discrete-time coherent risk. Zbl 1145.91032Cherny, Alexander S. 8 2007 Limit behavior of the “horizontal-vertical” random walk and some extensions of the Donsker-Prokhorov invariance principle. Zbl 1034.60076Cherny, A. S.; Shiryaev, A. N.; Yor, M. 8 2002 On the strong and weak solutions of stochastic differential equations governing Bessel processes. Zbl 0970.60066Cherny, A. S. 8 2000 On the absolute continuity and singularity of measures on filtered spaces: separating times. Zbl 1103.60043Cherny, Alexander; Urusov, Mikhail 6 2006 Principal values of the integral functionals of Brownian motion: Existence, continuity and an extension of Itô’s formula. Zbl 0977.60075Cherny, A. S. 6 2001 Pricing with coherent risk. Zbl 1148.91026Cherny, A. S. 5 2008 On stochastic integrals up to infinity and predictable criteria for integrability. Zbl 1068.60075Cherny, Alexander; Shiryaev, Albert 5 2005 Separating times for measures on filtered spaces. Zbl 1070.60004Chernyj, A. S.; Urusov, M. A. 5 2003 Vector stochastic integrals and the fundamental theorems of asset pricing. Zbl 1034.60058Shiryaev, A. N.; Chernyj, A. S. 4 2002 On criteria for the uniform integrability of Brownian stochastic exponentials. Zbl 1054.60502Cherny, A. S.; Shiryaev, A. N. 3 2001 On measuring nonlinear risk with scarce observations. Zbl 1226.91066Cherny, Alexander; Douady, Raphael; Molchanov, Stanislav 2 2010 Risk-reward optimization with discrete-time coherent risk. Zbl 1232.91614Cherny, Alexander S. 2 2010 Some distributional properties of a Brownian motion with a drift and an extension of P. Lévy’s theorem. Zbl 0974.60058Chernyj, A. S.; Shiryaev, A. N. 2 1999 On certain distributions associated with the range of martingales. Zbl 1188.91213Cherny, Alexander; Dupire, Bruno 1 2009 General arbitrage pricing model. III: Possibility approach. Zbl 1322.91053Cherny, Alexander 1 2007 Families of consistent probability measures. Zbl 0998.60006Chernyj, A. S. 1 2001 Convergence of some integrals associated with Bessel processes. Zbl 0982.60077Chernyj, A. S. 1 2000 On two approaches to coherent risk contribution. Zbl 1218.91071Cherny, Alexander; Orlov, Dmitri 10 2011 Markets as a counterparty: an introduction to conic finance. Zbl 1208.91148Madan, Dilip B.; Cherny, Alexander 46 2010 On measuring nonlinear risk with scarce observations. Zbl 1226.91066Cherny, Alexander; Douady, Raphael; Molchanov, Stanislav 2 2010 Risk-reward optimization with discrete-time coherent risk. Zbl 1232.91614Cherny, Alexander S. 2 2010 Capital allocation and risk contribution with discrete-time coherent risk. Zbl 1155.91400Cherny, Alexander S. 10 2009 On certain distributions associated with the range of martingales. Zbl 1188.91213Cherny, Alexander; Dupire, Bruno 1 2009 Brownian moving averages have conditional full support. Zbl 1151.91490Cherny, Alexander 14 2008 Pricing with coherent risk. Zbl 1148.91026Cherny, A. S. 5 2008 Dilatation monotone risk measures are law invariant. Zbl 1144.91008Cherny, Alexander S.; Grigoriev, Pavel G. 10 2007 General arbitrage pricing model. II: Transaction costs. Zbl 1322.91052Cherny, Alexander 9 2007 General arbitrage pricing model. I: Probability approach. Zbl 1321.91111Cherny, Alexander 9 2007 Pricing and hedging European options with discrete-time coherent risk. Zbl 1145.91032Cherny, Alexander S. 8 2007 General arbitrage pricing model. III: Possibility approach. Zbl 1322.91053Cherny, Alexander 1 2007 Weighted V@R and its properties. Zbl 1101.91023Cherny, A. S. 33 2006 On the absolute continuity and singularity of measures on filtered spaces: separating times. Zbl 1103.60043Cherny, Alexander; Urusov, Mikhail 6 2006 Singular stochastic differential equations. Zbl 1071.60003Cherny, Alexander S.; Engelbert, Hans-Jürgen 36 2005 On stochastic integrals up to infinity and predictable criteria for integrability. Zbl 1068.60075Cherny, Alexander; Shiryaev, Albert 5 2005 On minimization and maximization of entropy in various disciplines. Zbl 1075.94007Chernyĭ, A. S.; Maslov, V. P. 14 2003 Separating times for measures on filtered spaces. Zbl 1070.60004Chernyj, 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 1034.60076Cherny, A. S.; Shiryaev, A. N.; Yor, M. 8 2002 Vector stochastic integrals and the fundamental theorems of asset pricing. Zbl 1034.60058Shiryaev, A. N.; Chernyj, A. S. 4 2002 On the uniqueness in law and the pathwise uniqueness for stochastic differential equations. Zbl 1036.60051Cherny, A. S. 19 2001 Principal values of the integral functionals of Brownian motion: Existence, continuity and an extension of Itô’s formula. Zbl 0977.60075Cherny, A. S. 6 2001 On criteria for the uniform integrability of Brownian stochastic exponentials. Zbl 1054.60502Cherny, A. S.; Shiryaev, A. N. 3 2001 Families of consistent probability measures. Zbl 0998.60006Chernyj, A. S. 1 2001 On the strong and weak solutions of stochastic differential equations governing Bessel processes. Zbl 0970.60066Cherny, A. S. 8 2000 Convergence of some integrals associated with Bessel processes. Zbl 0982.60077Chernyj, A. S. 1 2000 Some distributional properties of a Brownian motion with a drift and an extension of P. Lévy’s theorem. Zbl 0974.60058Chernyj, A. S.; Shiryaev, A. N. 2 1999 all cited Publications top 5 cited Publications 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 all top 5 Cited in 25 Fields 151 Probability theory and stochastic processes (60-XX) 147 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 26 Statistics (62-XX) 10 Partial differential equations (35-XX) 10 Functional analysis (46-XX) 6 Operations research, mathematical programming (90-XX) 4 Ordinary differential equations (34-XX) 4 Operator theory (47-XX) 4 Numerical analysis (65-XX) 4 Statistical mechanics, structure of matter (82-XX) 4 Systems theory; control (93-XX) 2 Real functions (26-XX) 2 Measure and integration (28-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Global analysis, analysis on manifolds (58-XX) 1 Number theory (11-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Approximations and expansions (41-XX) 1 Computer science (68-XX) 1 Mechanics of particles and systems (70-XX) 1 Fluid mechanics (76-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Geophysics (86-XX) 1 Biology and other natural sciences (92-XX) Citations by Year