Speciality: 01.01.05 (Probability theory and mathematical statistics)
E-mail:
Keywords: Martingales, Option Pricing, Optimal Stopping, Boundary Crossings
UDC: 519.2, 519.53, 519.24, 519.214, 519.21

Subject:

Probability Theory, Stochastic Processes, Stochastic Analysis, Financial Mathematics, Statistics

Main publications:

• 1. Novikov, A., Kordzakhia, N. "Pitman Estimators: An Asymptotic Variance Revisited" Theory of Probability and its Applications 2013.
• 2. Novikov, A., Kordzakhia, N., Ling, T.;:" Pricing of Volume-Weighted Average Options. " Inspired by Finance" Springer, 2013

Recent publications

Presentations in Math-Net.Ru

Personal pages:

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Organisations:

• University of Technology, Sydney
• Steklov Mathematical Institute of Russian Academy of Sciences, Moscow