Selected publications in refereed journals:

Gapeev P. V., Rodosthenous N. (2014).
Optimal stopping problems in diffusion-type models with running maxima and drawdowns.
To appear in Journal of Applied Probability (20 pp).
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Gapeev P. V., Rodosthenous N. (2013).
Perpetual American options in a diffusion model with piecewise-constant coefficients.
Statistics and Risk Modeling 30(1) (1–21).
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Gapeev P. V., Shiryaev A. N. (2013).
Bayesian quickest detection problems for some diffusion processes.
Advances in Applied Probability 45(1) (164–185).
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Gapeev P. V. (2012).
Pricing of perpetual American options in a model with partial information.
International Journal of Theoretical and Applied Finance 15(1) (1250010, 21 pp).
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Gapeev P. V., Lerche H. R. (2011).
On the structure of discounted optimal stopping problems for one-dimensional diffusions.
Stochastics: An International Journal of Probability and Stochastic Processes 83(4–6) (537–554).
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Gapeev P. V., Shiryaev A. N. (2011).
On the sequential testing problem for some diffusion processes.
Stochastics: An International Journal of Probability and Stochastic Processes 83(4–6) (519–535).
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Gapeev P. V., Sottinen T., Valkeila E. (2011).
Robust replication in H-self-similar Gaussian market models under uncertainty.
Statistics and Decisions 28(1) (37–50).
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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., 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., 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., Kόchler 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., Kόchler 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., Reiί 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., Kόhn 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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Book chapters:

Gapeev P. V. (2014).
Some extensions of Norros' lemma in models with several defaults.
Inspired by Finance, The Musiela Festschrift. Kabanov Yu. M., Rutkowski M., Zariphopoulou Th. eds. Springer (273–281).
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Gapeev P. V., Rodosthenous N. (2014).
On the pricing of perpetual American compound options (23 pp).
Inspired by Finance, The Musiela Festschrift. Kabanov Yu. M., Rutkowski M., Zariphopoulou Th. eds. Springer (283–304).
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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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