Weighted V@R and its Properties. - Alexander S. Cherny (Finance Stochastics, 2006)

Pricing and hedging European options with discrete-time coherent risk. - Alexander S. Cherny (Finance Stochastics, 2007)

Dilatation monotone risk measures are law invariant. - Alexander S. Cherny; Pavel G. Grigoriev (Finance Stochastics, 2007)

On measuring nonlinear risk with scarce observations. - Alexander S. Cherny; Raphael Douady; Stanislav Molchanov (Finance Stochastics, 2010)