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