10 citations · 15 across the 9 of their papers we have counts for
9 papers
Analytical and Numerical Approaches to Pricing the Path-Dependent Options with Stochastic Volatility
Yu. A. Kuperin, P. A. Poloskov
In this paper new analytical and numerical approaches to valuating path-dependent options of European type have been developed. The model of stochastic volatility as a basic model…
Spin-filter modeling by means of extension theory methods
L A Dmitrieva, D N Krupa, Yu A Kuperin
The problem of spin-dependent transport of electrons through a finite array of quantum dots attached to 1D quantum wire (spin gun) for various semiconductor materials is studied. U…
Statistical and Multifractal Properties of the Time Series Generated by a Modified Minority Game
Yu. A. Kuperin, M. M. Morozova
In this paper it was developed a modification of the known multiagent model Minority Game, designed to simulate the behavior of traders in financial markets and the resulting price…
Modified Holder Exponents Approach to Prediction of the USA Stock Market Critical Points and Crashes
Yu. A Kuperin, R. R. Schastlivtsev
The paper is devoted to elaboration of a novel specific indicator based on the modified Holder exponents. This indicator has been used for forecasting critical points of financial…
Multifractal Analysis and Local Hoelder Exponents Approach to Detecting Stock Markets Crashes
I. A. Agaev, Yu. A. Kuperin
This paper is devoted to problem of detecting critical events at finiacial markets using methods of multifractal analysis. Namely, the local regularity of time-series is studied. A…
Application of Self-Organizing Maps for clustering DJIA and NASDAQ100 portfolios
A. A. Zherebtsov, Yu. A. Kuperin
In this paper we apply the Self-Organized Map (SOM) method for clustering the DJIA and NASDAQ100 portfolios for determination of non-linear correlations between stocks. We represen…