Gapeev, Pavel V.
Dr Pavel V. Gapeev
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Experience keywords:
Gaussian processes; sequential testing and disorder detection problems; pricing of American options; optimal stopping and free-boundary problems; stochastic calculus
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Languages: French [Spoken: Fluent, Written: Intermediate]; Russian [Spoken: Fluent, Written: Intermediate]; German [Spoken: Fluent, Written: Intermediate]
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Media experience:
Radio; TV
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The following references are sourced from LSE Research Online|. References that are linked lead to the full text.
Gapeev, Pavel V. and Shirayev, A. N. (2013) Bayesian quickest detection problems for some diffusion processes. Journal of applied probability, 45 (1). ISSN 0021-9002 Gapeev, Pavel V. (2012) Pricing of perpetual American options in a model with partial information. International journal of theoretical and applied finance, 15 (1). pp. 1-22. ISSN 0219-0249 Gapeev, Pavel V. and Shiryaev, Albert N. (2011) On the sequential testing problem for some diffusion processes. Stochastics: an international journal of probability and stochastic processes, 83 (4-6). pp. 519-535. ISSN 1744-2508 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). pp. 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). pp. 1001-1017. ISSN 0219-0249 Belomestny, Denis and Gapeev, Pavel V. (2010) An iterative procedure for solving integral equations related to optimal stopping problems. Stochastics: an international journal of probability and stochastic processes, 82 (4). pp. 365-380. ISSN 1744-2508 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). pp. 1091-1104. ISSN 0219-0249 Gapeev, Pavel V. and Lerche, Hans Rudolf (2009) Discounted optimal stopping for diffusions: free-boundary versus martingale approach. CDAM@LSE, London, UK Gapeev, Pavel V. and Jeanblanc, Monique (2008) On ltration immersions and credit events. CDAM, London, UK Gapeev, Pavel V. and Küchler, U. (2008) On large deviations in testing Ornstein–Uhlenbeck-type models. Statistical inference for stochastic processes, 11 (2). pp. 143-155. ISSN 1387-0874 Gapeev, Pavel V. and Jeanblanc, Monique (2008) Pricing of contingent claims in a two-dimensional model with random dividends. CDAM, London School of Economics and Political Science, London, UK Gapeev, Pavel V. (2008) The integral option in a model with jumps. Statistics and probability letters, 78 (16). pp. 2623-2631. ISSN 0167-7152 Gapeev, Pavel V. (2007) Discounted optimal stopping for maxima of some jump-diffusion processes. Journal of applied probability, 44 (3). pp. 713-731. ISSN 0021-9002 Gapeev, Pavel V. (2007) Perpetual barrier options in jump-diffusion models. Stochastics: an international journal of probability and stochastic processes, 79 (1 & 2). pp. 139-154. ISSN 1744-2508 Gapeev, Pavel V and Sottinen, T and Valkeila, E (2007) Robust replication under model uncertainty. London School of Economics and Political Science, London, UK 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). pp. 255-271. ISSN 0721-2631 Gapeev, Pavel V. and Peskir, G. (2006) The Wiener disorder problem with finite horizon. Stochastic processes and their applications, 116 (12). pp. 1770-1791. ISSN 0304-4149 Gapeev, Pavel V. (2006) Discounted optimal stopping for maxima in diffusion models with finite horizon. Electronic journal of probability, 11 (38). pp. 1031-1048. ISSN 1083-6489 Gapeev, Pavel V. and Reiss, M. (2006) An optimal stopping problem in a diffusion-type model with delay. Statistics & probability letters, 76 (6). pp. 601-608. ISSN 0167-7152 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 Gapeev, Pavel V. and Kühn, C. (2005) Perpetual convertible bonds in jump-diffusion models. Statistics and decisions, 23 (1). pp. 15-31. ISSN 0721-2631 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, pp. 293-305. ISBN 0470016841 Gapeev, Pavel V. (2004) On arbitage and Markovian short rates for fractional bond markets. Statistics and probability letters, 70 (3). pp. 211-222. ISSN 0167-7152 Gapeev, Pavel V. and Peskir, G. (2004) The Wiener sequential testing problem with finite horizen. Stochastics and stochastic reports, 76 (1). pp. 59-75. ISSN 1744-2508
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