Doctoral Research
Y. Kazmerchuk
(2005) "Pricing of Derivatives in Security Markets with Delayed Response" Department of Mathematics and Statistics, York University
Journal Publications
[1] Y. Kazmerchuk,
A.Swishchuk, J.Wu
(2007) "The Pricing of Options for Security Markets with Delayed Response" Mathematics and Computers in Simulation, 75 (3-4), 69-79.
[2] Y. Kazmerchuk,
A.Swishchuk, J.Wu
(2005) "A Continuous-time GARCH model for stochastic volatility with
delay" Canadian
Applied Mathematics Quarterly, 13 (2), 123-149.
[3] Y. Kazmerchuk, J.Wu
(2004) "Stochastic State-dependent Delay Differential Equations with
Applications in Finance" Functional
Differential Equations, 11, 77 - 86.
[4] A. Ivanov, Y. Kazmerchuk, A.Swishchuk
(2003) "Theory, Stochastic Stability and Applications of Stochastic Delay
Differential Equations: A Survey of Recent Results"
Differential Equations and Dynamical Systems, 11, 55 - 115.
[5] Y. Kazmerchuk, A.Swishchuk
(2002) "Stability of Stochastic Delay Equations of Ito Form with Jumps and
Markovian Switchings, and their Applications in Finance"Theory
of Probability and Mathematical Statistics, 64, 167-178.
Presentations
[1] Y. Kazmerchuk, J.Wu
(2003) "Stochastic State-dependent Delay Differential Equations with
Applications in Finance"
Fourth ISAAC Congress 2003, Toronto, Canada.
[2] Y. Kazmerchuk,
A.Swishchuk, J.Wu
(2002) "Black-Scholes Formula for Security Markets with Delayed Response"
Bachelier Finance Society 2nd World Congress, Crete, Greece.
Preprints
[1] Y. Kazmerchuk (2004) "Parameters estimation via Monte Carlo
for a GARCH stochastic volatility model" Laboratory for Industrial and Applied Mathematics, York University.