Belomestny D., Gapeev P. V. (2010).
An iterative procedure for solving integral equations related to optimal stopping problems.
Stochastics: An International Journal of Probability and Stochastic Processes 82(4) (365–380).
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Gapeev P. V. (2010).
Pricing of perpetual American options in a model with partial information.
SSRN-id1696542 (22 pp).
To appear in International Journal of Theoretical and Applied Finance (20 pp).
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Gapeev P. V., Jeanblanc M. (2010).
Pricing and filtering in a two-dimensional dividend switching model.
International Journal of Theoretical and Applied Finance 13(7) (1001–1017).
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Gapeev P. V., Lerche H. R. (2010).
On the structure of discounted optimal stopping problems for one-dimensional diffusions.
CDAM Research Report LSE-CDAM-2009-03 (23 pp).
To appear in Stochastics: An International Journal of Probability and Stochastic Processes (19 pp).
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Gapeev P. V., Shiryaev A. N. (2010).
On the sequential testing problem for some diffusion processes.
Extended version of WIAS Preprint 1178 (21 pp).
To appear in Stochastics: An International Journal of Probability and Stochastic Processes (17 pp).
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Gapeev P. V., Sottinen T., Valkeila E. (2010).
Robust replication in H-self-similar Gaussian market models under uncertainty.
CDAM Research Report LSE-CDAM-2007-28 (15 pp).
To appear in Statistics and Decisions (14 pp).
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Gapeev P. V., Jeanblanc M. (2009).
Pricing of contingent claims in a two-dimensional model with random dividends.
International Journal of Theoretical and Applied Finance 12(8) (1091–1104).
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Gapeev P. V. (2008).
The integral option in a model with jumps.
Statistics and Probability Letters
76(16) (2623–2631).
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Gapeev P. V., Küchler U. (2008).
On large deviations in testing Ornstein-Uhlenbeck-type models.
Statistical Inference for Stochastic Processes
11(2) (143–155).
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Gapeev P. V. (2007).
Discounted optimal stopping for maxima of some jump-diffusion processes.
Journal of Applied Probability
44(3) (713–731).
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Gapeev P. V. (2007).
Perpetual barrier options in jump-diffusion models.
Stochastics: An International Journal of Probability and Stochastic Processes. 79(1-2) (139–154).
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Gapeev P. V. (2006).
Discounted optimal stopping for maxima in diffusion models with finite horizon.
Electronic Journal of Probability
11(38) (1031–1048).
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Gapeev P. V., Küchler U. (2006).
On Markovian short rates in term structure models driven by jump-diffusion
processes.
Statistics and Decisions 24(2) (255–271).
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Gapeev P. V., Peskir G. (2006).
The Wiener disorder problem with finite horizon.
Stochastic Processes and Applications
116(12) (1770–1791).
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Gapeev P. V., Reiß M. (2006).
An optimal stopping problem in a diffusion-type model with delay.
Statistics and Probability Letters
76(6) (601–608).
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Gapeev P. V. (2005).
The disorder problem for compound Poisson processes with exponential jumps.
Annals of Applied Probability
15(1A) (487–499).
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Gapeev P. V., Kühn C. (2005).
Perpetual convertible bonds in jump-diffusion models.
Statistics and Decisions
23(1) (15–31).
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Gapeev P. V. (2004).
On arbitrage and Markovian short rates for fractional bond markets.
Statistics and Probability Letters
70(3) (211–222).
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Gapeev P. V., Peskir G. (2004).
The Wiener sequential testing problem with finite horizon.
Stochastics and Stochastic Reports
76(1) (59–75).
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Gapeev P. V. (2010).
Some extensions of Norros' lemma in models with several defaults.
On filtration immersions in models with several defaults (9 pp).
To appear.
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Gapeev P. V., Rodosthenous N. (2010).
On the pricing of perpetual American compound options (23 pp).
To appear.
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Gapeev P. V., Jeanblanc M., Li L., Rutkowski M. (2010).
Constructing random times with given survival processes and applications to valuation of credit derivatives.
Contemporary Quantitative Finance, Essays in Honour of Eckhard Platen.
Chiarella, C., Novikov, A. eds. Springer (255–280).
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Gapeev P. V. (2005).
The spread option optimal stopping game.
Exotic Option Pricing and Advanced Levy Models. Kyprianou A., Schoutens W., Wilmott P. eds. Wiley, Chichester (293-305).
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