Yan Dolinsky

According to our database, Yan Dolinsky authored at least 13 papers between 2013 and 2025.

Collaborative distances:

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

2025

Explicit Computations for Delayed Semistatic Hedging.

Yan Dolinsky, Or Zuk

SIAM J. Financial Math., 2025

Exponential utility maximization with delay in a continuous time Gaussian framework.

Yan Dolinsky

Syst. Control. Lett., 2025

Some computations for optimal execution with monotone strategies.

Yan Dolinsky

Syst. Control. Lett., 2025

2024

Duality theory for exponential utility-based hedging in the Almgren-Chriss model.

Yan Dolinsky

J. Appl. Probab., 2024

2023

Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework.

Yan Dolinsky, Or Zuk

SIAM J. Financial Math., September, 2023

2022

Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact.

Yan Dolinsky, Shir Moshe

SIAM J. Financial Math., 2022

2021

Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios.

Erhan Bayraktar, Christoph Czichowsky, Leonid Dolinskyi, Yan Dolinsky

SIAM J. Financial Math., 2021

Short Communication: A Note on Utility Indifference Pricing with Delayed Information.

Peter Bank, Yan Dolinsky

SIAM J. Financial Math., 2021

2018

Recombining Tree Approximations for Optimal Stopping for Diffusions.

Erhan Bayraktar, Yan Dolinsky, Jia Guo

SIAM J. Financial Math., 2018

2017

Convex Duality with Transaction Costs.

Yan Dolinsky, H. Mete Soner

Math. Oper. Res., 2017

The scaling limit of superreplication prices with small transaction costs in the multivariate case.

Peter Bank, Yan Dolinsky, Ari-Pekka Perkkiö

Finance Stochastics, 2017

2014

Robust hedging with proportional transaction costs.

Yan Dolinsky, H. Mete Soner

Finance Stochastics, 2014

2013

Duality and convergence for binomial markets with friction.

Yan Dolinsky, Halil Mete Soner

Finance Stochastics, 2013