Dmitry O. Kramkov

Finance · 2003–2007

A researcher in the Science corpus: 5 papers; trusts 7 researchers and is trusted by 20 researchers here, as inferred from the citation graph.

Subfields

• Finance — 16 citations into it; #1,554 of 10,518 by trust here, #2,897 by citations
• Economics and Econometrics — 12 citations into it; #3,951 of 23,481 by trust here, #7,944 by citations
• Management Science and Operations Research — 10 citations into it; #1,826 of 11,946 by trust here, #3,357 by citations

Whom Dmitry O. Kramkov trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Vicky Henderson
2. Michael Monoyios
3. Walter Schachermayer
4. Julien Hugonnier
5. Freddy Delbaen
6. M. Sîrbu
7. Mark H. A. Davis
8. Terry Lyons
9. Hans Föllmer
10. Marek Musiela

Who trusts Dmitry O. Kramkov overall

1. Jan Kallsen
2. Dirk Becherer
3. Alexander Schied
4. Johannes Muhle‐Karbe
5. Gordan Zitkovic
6. Ioannis Karatzas
7. M. Sîrbu
8. Miklós Rásonyi
9. Mark P. Owen
10. Constantinos Kardaras

Papers from Dmitry O. Kramkov's perspective

Ordered by how strongly the researchers Dmitry O. Kramkov trusts endorse each paper. Same corpus, a different order for every researcher.

1. ON UTILITY‐BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
2. Optimal investment in incomplete markets when wealth may become negative
3. Optimal Hedging with Basis Risk
4. An example of indifference prices under exponential preferences (Finance and Stochastics)
5. Exponential Hedging and Entropic Penalties
6. VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
7. Performance of utility-based strategies for hedging basis risk
8. Stochastic Finance: An Introduction in Discrete Time
9. Optimal consumption from investment and random endowment in incomplete semimartingale markets
10. Stochastic finance. an introduction in discrete time

Their papers

• ON UTILITY‐BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS (2005) — 121 citations
• Optimal investment with random endowments in incomplete markets (2004) — 146 citations
• Necessary and sufficient conditions in the problem of optimal investment in incomplete markets (2003) — 243 citations
• Sensitivity analysis of utility-based prices and risk-tolerance wealth processes (2006) — 79 citations
• Asymptotic analysis of utility-based hedging strategies for small number of contingent claims (2007) — 46 citations