Articles
(you can join my mailing
list):
Duality and Derivative Pricing with Lévy Processes
José Fajardo and Ernesto Mordecki
(2003) Preprint
Abstract and download
Smoothing the paths and weak approximation of the occupation measure of Lévy processes
Ernesto Mordecki and Mario Wschebor
(2003) Submitted
Abstract and download
The distribution of the maximum of a Lévy processes with positive jumps of
phase-type
Ernesto Mordecki
Theory of Stochastic Processes, 8(24), 2002, N3-4, pp. 309-316.
Abstract
and download
Bounds on option prices for semimartingale market models
Alexander A. Gushchin and Ernesto Mordecki
Proceedings of the Steklov Mathematical Institute
Vol. 237 (2002) pp. 80-122
Abstract
and download
Optimal stopping and perpetual options for Lévy
processes.
E. Mordecki
Finance and Stochastics.
Volume VI (2002) 4, 473-493
Abstract
and download
Russian Options for a Difussion with Negative Jumps.
Ernesto Mordecki, Walter Moreira.
Publicaciones Matemáticas del Uruguay.
Volume 9 (2001) pp. 37-51
Download at Walter Moreira's home page.
On the number of Knigth's tours
E. Mordecki.
Prepublicaciones de Matemática de la Universidad
de la República, 2001/40.
Abstract
and download
Elementary Proofs on Optimal Stopping.
E. Mordecki.
Prepublicaciones de Matemática de la Universidad
de la República, 2001/40.
Abstract
and download
Perpetual Options for Lévy Processes in the Bachelier Model.
E. Mordecki
Proceedings of the Steklov Mathematical Institute
Vol. 237 (2002) pp. 256-264
Abstract
and download
Optimal Stopping, Ruin Probabilities and Prophet Inequalities for Lévy Processes.
E. Mordecki
Prepublicaciones de Matemática de la Universidad
de la República, 2000/39.
Abstract and download
Ruin probabilities for Lévy processes with mixed-exponential negative jumps.
E. Mordecki
Theory of Probability and its Applications, Volumen 48, 2003, 188-194.
Abstract and download
Optimal Stopping and Maximal Inequalities for Poisson Processes
D.O. Kramkov and E. Mordecki
Publicaciones Matemáticas del Uruguay. Vol. 8 (1999) pp. 153-178.
Abstract and download
Necessary conditions for stable convergence of semimartingales.
E. Mordecki
Theory
of Probability and Its Applications. 44,1,(1999) pp 229-232.
Download
dvi
file or ps
file
Optimal Stopping for a Diffusion with
Jumps
E. Mordecki
Finance & Stochastics. Vol III, issue 2 (1999), 227-238.
Download dvi file or ps
file
Optimal Stopping for a Compound Poisson
Process with Exponential Jumps.
E. Mordecki
Publicaciones Matemáticas del
Uruguay. Vol. 7 (1997) pp. 55-66.
Downloaddvi
file
Ruin probabilities and optimal stopping for a diffusion with jumps.
E. Mordecki
Proceedings of the Fourth Congress "Dr.
Antonio A. R. Monteiro" (Bahia Blanca, 1997), 39-48, Univ. Nac. del Sur,
Bahia Blanca, 1997.
Download
dvi
file
Strong convergence of statistical experiments and Helliguer proscesses.
E. Mordecki
Shiryaev, A.N. (ed.) et al. Frontiers in
pure and applied probability II. Moskva:TVP Front. Pure Appl. Probab. 8,
139-152 (1996)
Download
dvi file
Integral Options.
D.O. Kramkov, E. Mordecki.
Theory
of Probability and its Applications. 39 (1994) pp. 162-171.
Download dvi file.
Asymptotic mixed normality and Hellinguer processes.
E. Mordecki
Stochastics Stochastics Rep. 48, No.3-4, 129-143 (1994)
Download(dvi file)
Necessary conditions for the stable convergence of semimartingales.
E. Mordecki
Russian Mathematical Surveys 48, No. 2, 197-198 (1993).
Please request.
Convergence of binary statistical experiments
and Hellinguer processes.
E. Mordecki.
Russian Mathematical Surveys 47, No. 6 226-227 (1992).
Please request.
Created and manteined by [Ernesto Mordecki]
Mail me at: mordecki@cmat.edu.uy