Constructing of jump analogues of diffusions and their applications.
Sixth International Conference on Lévy Processes: Theory and Applications. Technical University of Dresden (July 2010).
Pricing of perpetual American options in a model with partial information.
Sixth World Congress of the Bachelier Finance Society. University of Toronto (June 2010).
Pricing and filtering in a two-dimensional dividend switching model.
Workshop on Financial Derivatives and Risk Management. Fields Institute Toronto (May 2010).
Some optimal stopping problems in models with partial information.
Symposium on Optimal Stopping with Applications. Abo Akademi University (June 2009).
Discounted optimal stopping for diffusions: free-boundary versus martingale approach.
Istanbul Workshop on Mathematical Finance. Sabanci University (May 2009).
Perpetual American options in models with default risk.
Mathematics in Finance Conference. Kruger National Park, South Africa (September 2008).
Perpetual American options in models with stochastic interest rates and volatility.
Fifth World Congress of Bachelier Finance Society. Imperial College London (July 2008).
Pricing and hedging perpetual American options in jump-diffusion models:
barrier, credit, lookback and switching options.
Fourth World Congress of Bachelier Finance Society. Hitotsubashi University Tokyo (August 2006).
Pricing and hedging perpetual American options in jump-diffusion models:
barrier, credit, lookback and switching options.
German Open Conference Stochastic Days. Johann Wolfgang Goethe University Frankfurt am Main (March 2006).
Perpetual options in jump-diffusion models: barrier, credit, lookback and switching options.
Symposium on Optimal Stopping with Applications. University of Manchester (January 2006).
About multiple disorder problems.
13th INFORMS Applied Probability Conference. Ottawa (July 2005).
The Wiener disorder problem with finite horizon.
Sixth World Congress of Bernoulli Society for Probability and Mathematical Statistics. University of Barcelona (July 2004).
The lookback option with finite horizon.
Third World Congress of Bachelier Finance Society. University of Illinois at Chicago (July 2004).
About fractional bond markets.
Workshop Fractional Brownian Days. University of Helsinki (September 2003).
Kolmogorov's quickest detection problem for diffusion processes.
International Conference Kolmogorov and Contemporary Mathematics. Russian Academy of Sciences and Moscow State University (June 2003).
Sequential testing and change-point problems for compound Poisson processes with exponential jumps.
NorFa Workshop on Mathematical Finance. Laugarvatn, Iceland (August 2002).
About pricing of perpetual American options in models with incomplete information.
INTAS Workshop on Incomplete Markets and Weather Derivatives. Humboldt University of Berlin (February 2002).
Explicit solutions of the sequential analysis problems for compound Poisson processes with exponential jumps.
2nd MaPhySto Conference on Lévy Processes: Theory and Applications. University of Aarhus (January 2002).
On the change-point problem for continuous stochastic processes.
NorFa Workshop on Fractal Models. Nagu/Nauvo, Finland (August 2000).
On Markov sufficient statistics in Bayesian problems of sequential analysis.
Workshop Kolmogorov’s Days. Steklov Mathematical Institute, Moscow (April 2000).