Специальность ВАК:
01.01.05 (теория вероятностей и математическая статистика)
Дата рождения:
17.07.1953
Телефон: +1 (416) 217 4112
E-mail: Коды УДК: 621.394.74, 519.2, 519.21, 621.391.1, 51, 519.211
Основные публикации:
Calibration of the default probability model. European Journal of Operations Research, 2008, 185, 1462–1476 (with A. Nagi).
Valuation of synthetic CDOs. Journal of Banking and Finance, 2007, 31, 3357–3376 (with I. Iscoe).
On exponential approximation of the hockey-stick function, 2007 (with I. Iscoe, K. Jackson and X. Ma) submitted to the Journal of Computational Finance, available at www.defaultrisk.com.
Pricing correlation-dependent derivatives based on exponential approximation to the hockey-stick function, 2007, submitted to the Journal of Computational Finance, (with I. Iscoe, K. Jackson and X. Ma), available at www.defaultrisk.com.
Loss distribution evaluation for synthetic CDOs. University of Toronto, research paper, 2007, submitted to the Journal of Computational Finance (with K. Jackson and X. Ma), available at www.defaultrisk.com.
Recursive valuation of basket default swaps, Journal of Computational Finance, 2006, 9 (3), 95–116 (with I. Iscoe).
A simple multifactor "factor adjustment" for the treatment of credit capital diversification. Journal of Credit Risk, 2006, 2(3), 57–86 (with J. Cespedes, J. Herrero and D. Rosen).
A semi-analytical method for VaR and credit exposure analysis, accepted in Annals of Operations Research, 2007, 152, 23–49 (with Ben De Prisco, I. Iscoe, and A. Nagi).
Loss in Translation, Risk, vol. 18, 6, June 2005, 77–82 (with Ben De Prisco, and I. Iscoe).
Karpelevich's contribution to applied probability, Advances in Mathematical Sciences, AMS Transl., 2002, vol. 207, p. 1–24 (with Yu. M. Suhov).
Regularization Algorithms for Transition Matrices, Algorithmics Research Quarterly, 2001, vol. 4 (1/2), p. 23–40 (with M. Sidelnikova).
Non-Linear Risk of Linear Instruments, in "Stochastic Optimization: Algorithms and Applications", ser. Applied Optimization, 2001, Kluwer Academic Publ., vol. 54, p. 169–182.
Robust Monte Carlo Simulation for Approximate Covariance Matrices and VaR Analyses, in "Probablistic Constrained Optimization: Theory and Applications", 2000, Kluwer Academic Publ., p. 59–71 (with A. Levin).
An Integrated Market and Credit Risk Portfolio Model, Algorithmics Research Quarterly, 1999, vol. 2(3), p. 21–39 (with I. Iscoe and D. Rosen).
Queueing Systems with Renovation, Journal of Applied Mathematics and Stochastic Analysis, 1997, vol. 10(4), p. 431–441.
Asymptotic Analysis of Queueing Systems with Identical Service, Journal of Applied Probability, 1996, vol. 33, p. 267–281 (with F. I. Karpelevich).
Asymptotics for Morgan Numbers of Fractional Order, Discrete Mathematics, 1996, vol. 161, p. 301–308 (with A. Vainshtein).
Look-Up Tables, Magic Numbers and Hamiltonian Paths, Technical Paper, IBM Toronto Research Laboratory, 1995 (with G. Koblents).
Performance Prediction of Super-Scalar Machines, Technical Paper, IBM Toronto Research Laboratory, 1995.
Fast-Service Polling Systems with Intensive Input Flows and Constant Switch Times, Problems of Information Transmission, 1994, vol. 30(4), 328–340 (with F. I. Karpelevich).
Heavy Traffic Limit Theorems for Multiphase Queues, AMS, Providence, 1994 (with F. I. Karpelevich).
Optimal Strategies for Spinning and Blocking, Journal of Parallel and Distributed Computing, 1994, vol. 21, p. 246–254 (with K. Sevcik et. al.)
Scheduling Checks and Saves in Fault-Tolerant Computations, Acta Informatica, 1993, vol. 30, p. 409–423 (with E. G. Coffman and L. Flatto).
Performance Evaluation of Computer Systems, Moscow, VINITI, 1993, in Russian (with O. Ivanova and K. Peselev).
Joint Distributions in Poissonian Tandem Queues, Queueing Systems, 1992, 12(4), p. 273–286 (with F. I. Karpelevich).
Scheduling Checks and Saves, ORSA Journal on Computing, 1992, vol. 4(1), p. 60–70 (with L. Boguslavsky, E. G. Coffman and E. Gilbert).
Inequalities Concerning the WaitingTtime in Single-Server Queues: a survey, in "Queueing and Related Models", Clarendon Press, Oxford, 1992, p. 177–223 (with D. Daley and C. Trengove).
Asymptotic Analysis of Telegraphic Message Switching Systems, Problems of Inform. Transmis., 1990, vol. 26(3), p. 261–274 (with F. I. Karpelevich).
A Convexity Property of the Poisson Distribution and its Application in Queueing Theory, Journal of Soviet Mathematics, 1989, vol. 47(1), p. 2288–2293 (with A. Berenshtein and A. Vainshtein).
One Approach to Multi-Criteria Optimization Problems, Automation and Remote Control, 1988, vol. 8, p. 146–155 (with M. D. Genkin).
Transformations of Poisson Streams and Their Applications to Communication Systems, Problems Information Transmission, 1986, vol. 22, p. 326–334 (with A. Vainshtein).
Heavy Traffic Limit Theorems for Many Stage Queues, in "Fundamentals of Teletraffic Theory", Proceedings of the 3rd International Seminar on Teletraffic Theory, Moscow, 1984, p. 214–221 (with F. I. Karpelevich).
