Liquidity provision in CLMMs

Mean field stochastic control under sublinear expectation

Neural Optimal Transport

Rogue Traders

О свойствах безарбитражности

Portfolio choice under taxation and expected market time constraint

Adaptive Kalman-Bucy Filter. Ergodic Case

Optimal investment and consumption for spread financial markets

Sequential Optimization of CVaR

Reflected BSDEs arising from pricing and hedging in models under random horizon

Dynamic mean-variance problem: recovering time-consistency

Интегральные преобразования Аппеля и мартингалы: еще один способ построения мартингалов

On SDE with reflection

Approximate sampling from smooth and log-concave densities

Growth optimal strategies in a mean-field market

Теория разорения со случайными процентными ставками

On market regimes and adaptive portfolio models

Strongly risk-averse investors in mean-reverting market

Reducing Obizhaeva-Wang type trade execution problems to LQ stochastic control problems

Crypto-Coins and Credit Risk: Modelling and Forecasting Their Probability of Death

Mean-field doubly reflected backward SDEs and zero-sum Dynkin games

Математические модели рекламной динамики: обзор основных подходов

Fragmenting Financial Markets

Asymptotic optimality in a prediction game

Robo-advising
Modeling and methodological challenges

Portfolio Theory and Arbitrage 

Bachelier model revisited: extensions and option pricing

Double continuation regions for American options

A Weak Law of Large Numbers for Dependent Random Variables

SDE, BSDE and Path-Solution of PDEs

Large-Scale Wasserstein Gradient Flows

Lightning network economics: channels

Estimation of growth in fund models

Как избавится от коррупции: принцип квадратичного штрафования

Liquidity and volatility in electronic markets: a stochastic journey across time scales

Replication under Price Impact and Martingale Representation Property

Sensitivity analysis for Wasserstein Distributionally Robust Optimization and its applications

Gaussian processes, Signatures and Kernelizations

Mean field game of mutual holding

Realized cumulants for martingales

Faking Brownian motion with continuous Markov martingales

What is absence of arbitrage in a general setting?

The future of insurance? Taming the stock market in insurance products

Fourier Based Methods for the Management of Complex Life Insurance Products

Bычислительная разрешимость задач оптимальной остановки

Точная асимптотика вероятностей больших уклонений в многомерной задаче пересечения границы

Pricing and hedging of options in a non-linear incomplete market model

On pricing rules and optimal strategies in general Kyle-Back models

Блокчейны в ретроспективе и перспективе

Полуаналитическое ценообразование двойных барьерных опционов с зависящими от времени барьерами и скидками при достижении барьера

Statistical combination of analyst forecasts

Модель управления запасами с ценами на сырьё, зависящими от цепи Маркова с непрерывным временем

Practical Aspects of Risk Based Margining

Исполнение сделок со стохастической ликвидностью в дискретном и непрерывном времени

An Algorithmic Approach to Optimal Asset Liquidation Problems

Bias-corrected Least Squares Monte Carlo for utility based optimal stochastic control problems

Стейблкоины: примеры реализации и направления исследований

An optimal transport problem with backward martingale constraints motivated by insider trading

On modifications of the Bachelier model and option pricing

Towards geometry and set-valued functions in multivariate finance

Hedging problems for Asian options with transaction costs

Price formation and optimal trading in intraday electricity markets

On optimal planning of double-spending attacks