Alexander Melnikov

According to our database, Alexander Melnikov authored at least 10 papers between 2005 and 2020.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2020

Captum: A unified and generic model interpretability library for PyTorch.

Narine Kokhlikyan, Vivek Miglani, Miguel Martin, Edward Wang, Bilal Alsallakh, Jonathan Reynolds, Alexander Melnikov, Natalia Kliushkina, Carlos Araya, Siqi Yan, Orion Reblitz-Richardson

CoRR, 2020

2017

Quadratic hedging of equity-linked life insurance contracts under the real-world measure in discrete time.

Anna Glazyrina, Alexander Melnikov

Risk Decis. Anal., 2017

2015

CVaR hedging under stochastic interest rate.

Angela Tsao, Xiang Shi, Alexander Melnikov

Frontiers Appl. Math. Stat., 2015

On macrohedging problem in semimartingale markets.

Mohamed N. Abdelghani, Alexander Melnikov

Frontiers Appl. Math. Stat., 2015

2014

Valuation of finance/insurance contracts: Efficient hedging and stochastic interest rates modeling.

Alexander Melnikov, Shuo Tong

Risk Decis. Anal., 2014

On stocks and interest rates modeling in long-range dependent environment.

Alexander Melnikov, Yuliya Mishura

Risk Decis. Anal., 2014

2013

Efficient hedging for equity-linked life insurance contracts with stochastic interest rate.

Alexander Melnikov, Shuo Tong

Risk Decis. Anal., 2013

On polynomial extension of t-distribution and its financial applications.

Hao Li, Alexander Melnikov

Risk Decis. Anal., 2013

2011

Signal invariance and trajectory steering problem for an autonomous wheeled robot.

Vladimir A. Yakubovich, Alexander Melnikov, Anton V. Proskurnikov, Roman Luchin

Proceedings of the 50th IEEE Conference on Decision and Control and European Control Conference, 2011

2005

On option pricing in binomial market with transaction costs.

Alexander Melnikov, Yury G. Petrachenko

Finance Stochastics, 2005