Gapeev, Pavel V.
(2016)
Bayesian switching multiple disorder problems
Mathematics of Operations Research, 141 (3). 1108-1124. ISSN 0364-765X
Gapeev, Pavel V. and
Rodosthenous, Neofytos
(2016)
Perpetual American options in diffusion-type
models with running maxima and drawdowns
Stochastic Processes and Their Applications, 16 (3). 318-331. ISSN 0304-4149
Gapeev, Pavel V. and
Lerche, Hans Rudolf
(2011)
On the structure of discounted optimal stopping problems for one-dimensional diffusions
Stochastics: an International Journal of Probability and Stochastic Processes, 83 (4-6). 537-554. ISSN 1744-2508
Gapeev, Pavel V. and
Jeanblanc, Monique
(2010)
Pricing and filtering in a two-dimensional dividend switching model
International Journal of Theoretical and Applied Finance, 13 (7). 1001-1017. ISSN 0219-0249
Gapeev, Pavel V. and
Jeanblanc, Monique
(2009)
Pricing of contingent claims in a two-dimensional model with random dividends
International Journal of Theoretical and Applied Finance, 12 (8). 1091-1104. ISSN 0219-0249
Gapeev, Pavel V. and
Küchler, U.
(2008)
On large deviations in testing Ornstein–Uhlenbeck-type models
Statistical Inference for Stochastic Processes, 11 (2). 143-155. ISSN 1387-0874
Gapeev, Pavel V.
(2008)
The integral option in a model with jumps
Statistics and Probability Letters, 78 (16). 2623-2631. ISSN 0167-7152
Gapeev, Pavel V. and
Jeanblanc, Monique
(2008)
On ltration immersions and credit events
CDAM Research Reports, LSE-CDAM-2008-07. CDAM, London, UK.
Gapeev, Pavel V.
(2007)
Perpetual barrier options in jump-diffusion models
Stochastics: an International Journal of Probability and Stochastic Processes, 79 (1 & 2). 139-154. ISSN 1744-2508
Gapeev, Pavel V and
Sottinen, T and
Valkeila, E
(2007)
Robust replication under model uncertainty
LSE-CDAM-2007-28, London School of Economics and Political Science, London, UK.
Gapeev, Pavel V. and
Peskir, G.
(2006)
The Wiener disorder problem with finite horizon
Stochastic Processes and Their Applications, 116 (12). 1770-1791. ISSN 0304-4149
Gapeev, Pavel V. and
Reiss, M.
(2006)
An optimal stopping problem in a diffusion-type model with delay
Statistics and Probability Letters, 76 (6). 601-608. ISSN 0167-7152
Gapeev, Pavel V. and
Küchler, U.
(2006)
On Markovian short rates in term structure models driven by different jump-diffusion processes
Statistics and Decisions, 24 (2). 255-271. ISSN 0721-2631
Belomestny, Denis and
Gapeev, Pavel V.
(2006)
An iteration procedure for solving integral equations related to optimal stopping problems
SFB 649 discussion paper, 2006-043, UT ISI:000282589000002 . Humboldt-Universität zu Berlin, Berlin, Germany. ISBN 1860-5664
Gapeev, Pavel V.
(2005)
The spread option optimal stopping game
In:
Kyprianou, A. and
Schoutens, W. and
Wilmott, P., (eds.)
Exotic Option Pricing and Advanced Levy Models. John Wiley, Chichester, UK, 293-305. ISBN 0470016841
Gapeev, Pavel V.
(2005)
The disorder problem for compound Poisson processes with exponential jumps
Annals of Applied Probability, 15 (1A). 487-499. ISSN 1050-5164
Gapeev, Pavel V.
(2004)
On arbitage and Markovian short rates for fractional bond markets
Statistics and Probability Letters, 70 (3). 211-222. ISSN 0167-7152