Sergey Nadtochiy

According to our database, Sergey Nadtochiy authored at least 9 papers between 2009 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2023

Optimal Brokerage Contracts in Almgren-Chriss Model with Multiple Clients.

Guillermo Alonso Alvarez, Sergey Nadtochiy, Kevin Webster

SIAM J. Financial Math., September, 2023

2020

Control-Stopping Games for Market Microstructure and Beyond.

Roman Gayduk, Sergey Nadtochiy

Math. Oper. Res., 2020

2019

Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints.

Sergey Nadtochiy, Thaleia Zariphopoulou

SIAM J. Financial Math., 2019

2018

Endogenous Formation of Limit Order Books: Dynamics Between Trades.

Roman Gayduk, Sergey Nadtochiy

SIAM J. Control. Optim., 2018

2017

Simulation of Implied Volatility Surfaces via Tangent Lévy Models.

René Carmona, Yi Ma, Sergey Nadtochiy

SIAM J. Financial Math., 2017

2013

An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets.

Sergey Nadtochiy, Thaleia Zariphopoulou

SIAM J. Financial Math., 2013

2012

Tangent Lévy market models.

René Carmona, Sergey Nadtochiy

Finance Stochastics, 2012

2011

Static Hedging under Time-Homogeneous Diffusions.

Peter Carr, Sergey Nadtochiy

SIAM J. Financial Math., 2011

2009

Local volatility dynamic models.

René Carmona, Sergey Nadtochiy

Finance Stochastics, 2009