111 citations · 144 across the 10 of their papers we have counts for
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q-fin.PR2011
Arbitrage hedging strategy and one more explanation of the volatility smile
Mikhail Martynov, Olga Rozanova
We present an explicit hedging strategy, which enables to prove arbitrageness of market incorporating at least two assets depending on the same random factor. The implied Black-Sch…
math-ph2011★ 16 cited
Transport and concentration processes in the multidimensional zero-pressure gas dynamics model with the energy conservation law
S. Albeverio, O. S. Rozanova, V. M. Shelkovich
We introduce integral identities to define delta-shock wave type solutions for the multidimensional zero-pressure gas dynamics Using these integral identities, the Rankine-Hugoniot…