38 citations · 44 across the 17 of their papers we have counts for
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q-fin.TR2022★ 1 cited
Optimal brokerage contracts in Almgren-Chriss model with multiple clients
Guillermo Alonso Alvarez, Sergey Nadtochiy, Kevin Webster
This paper constructs optimal brokerage contracts for multiple (heterogeneous) clients trading a single asset whose price follows the Almgren-Chriss model. The distinctive features…
math.PR2022★ 1 cited
Stefan problem with surface tension: global existence of physical solutions under radial symmetry
Sergey Nadtochiy, Mykhaylo Shkolnikov
We consider the Stefan problem with surface tension, also known as the Stefan-Gibbs-Thomson problem, in an ambient space of arbitrary dimension. Assuming the radial symmetry of the…
math.ST2022
Consistency of MLE for partially observed diffusions, with application in market microstructure modeling
Sergey Nadtochiy, Yuan Yin
This paper presents a tractable sufficient condition for the consistency of maximum likelihood estimators (MLEs) in partially observed diffusion models, stated in terms of stationa…