32 citations · 44 across the 14 of their papers we have counts for
18 papers
High-Order Expansions of the Optimizer Map via Bell Polynomials
Oleksii Mostovyi, Thaleia Zariphopoulou
Completely monotonic inverse marginal (CMIM) utilities, introduced in [MSZ24], constitute a tractable class of preferences that includes many of the most important utility function…
The value of partial information
Philip A. Ernst, Oleksii Mostovyi
We investigate a pricing rule that is applicable for streams of income or contingent claim liabilities and study how this rule changes under additional insider-type information tha…
The indifference value of the weak information
Fabrice Baudoin, Oleksii Mostovyi
We propose indifference pricing to estimate the value of the weak information. Our framework allows for tractability, quantifying the amount of additional information, and permits…
Fair pricing and hedging under small perturbations of the numéraire on a finite probability space
William Busching, Delphine Hintz, Oleksii Mostovyi +1
We consider the problem of fair pricing and hedging under small perturbations of the numéraire. We show that for replicable claims, the change of numéraire affects neither the fair…
Stability of the Epstein-Zin problem
Michael Monoyios, Oleksii Mostovyi
We investigate the stability of the Epstein-Zin problem with respect to small distortions in the dynamics of the traded securities. We work in incomplete market model settings, whe…
Stability of the indirect utility process
Oleksii Mostovyi
We investigate the dynamic stability of the indirect utility process associated with a (possibly suboptimal) trading strategy under perturbations of the market. Establishing the re…
Stability and asymptotic analysis of the Föllmer-Schweizer decomposition on a finite probability space
Sarah Boese, Tracy Cui, Samuel Johnston +2
First, we consider the problem of hedging in complete binomial models. Using the discrete-time Föllmer-Schweizer decomposition, we demonstrate the equivalence of the backward induc…
Differentiation of measures on a non-separable space, and the Radon-Nikodym theorem
Oleksii Mostovyi, Pietro Siorpaes
Given positive measures on an arbitrary measurable space , we construct a sequence of finite partitions of s.t. $$ \sum_{A\in π_n…
Optimal investment and consumption with labor income in incomplete markets
Oleksii Mostovyi, Mihai Sîrbu
We consider the problem of optimal consumption from labor income and investment in a general incomplete semimartingale market. The economic agent cannot borrow against future incom…
Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire
Oleksii Mostovyi
In an incomplete model, where under an appropriate numéraire, the stock price process is driven by a sigma-bounded semimartingale, we investigate the behavior of the expected utili…
Sensitivity analysis of the utility maximization problem with respect to model perturbations
Oleksii Mostovyi, Mihai Sîrbu
We study the sensitivity of the expected utility maximization problem in a continuous semi-martingale market with respect to small changes in the market price of risk. Assuming tha…
Optimal consumption of multiple goods in incomplete markets
Oleksii Mostovyi
We consider the problem of optimal consumption of multiple goods in incomplete semimartingale markets. We formulate the dual problem and identify conditions that allow for existenc…
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
Huy N. Chau, Andrea Cosso, Claudio Fontana +1
We consider the problem of optimal investment with intermediate consumption in a general semimartingale model of an incomplete market, with preferences being represented by a utili…
An expansion in the model space in the context of utility maximization
Kasper Larsen, Oleksii Mostovyi, Gordan Žitković
In the framework of an incomplete financial market where the stock price dynamics are modeled by a continuous semimartingale (not necessarily Markovian) an explicit second-order ex…
Utility maximization in the large markets
Oleksii Mostovyi
In the large financial market, which is described by a model with countably many traded assets, we formulate the problem of the expected utility maximization. Assuming that the pre…
Optimal investment with intermediate consumption and random endowment
Oleksii Mostovyi
We consider a problem of optimal investment with intermediate consumption and random endowment in an incomplete semimartingale model of a financial market. We establish the key ass…
Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
Oleksii Mostovyi
We consider a problem of optimal investment with intermediate consumption in the framework of an incomplete semimartingale model of a financial market. We show that a necessary and…
On the Stability the Least Squares Monte Carlo
Oleksii Mostovyi
Consider Least Squares Monte Carlo (LSM) algorithm, which is proposed by Longstaff and Schwartz (2001) for pricing American style securities. This algorithm is based on the project…