(43)
A.S. Cherny, R. Douady, S.A. Molchanov
On measuring risk with scarce observations
Finance and Stochastics, 14 (2010), No. 3, p. 375-395.
http://papers.ssrn.com
(42)
A.S. Cherny, R. Douady, S.A. Molchanov
On measuring hedge fund risk
Preprint, 9 p.
http://papers.ssrn.com
(41)
A.S. Cherny, B. Dupire
On certain distributions associated with the range of martingales
Preprint, 9 p.
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(40)
A.S. Cherny, D.V. Orlov
On two approaches to coherent risk contribution
Mathematical Finance, 15 p.
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(39)
A.S. Cherny, M. Kupper
Divergence utilities
Preprint, 25 p.
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(38)
A.S. Cherny, D. Filipovic
Concave distortion semigroups
Preprint, 19 p.
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(37)
A.S. Cherny
Risk-reward optimization with discrete-time coherent risk
Mathematical Finance, 20 (2010), No. 4, p. 571-595.
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(36)
A.S. Cherny
Brownian moving averages have conditional full support
Annals of Applied Probability, 18 (2008), No. 5, p. 1825-1830.
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(35)
A.S. Cherny
Capital allocation and risk contribution with discrete-time coherent
risk
Mathematical Finance, 19 (2009), No. 1, p. 13-40.
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(34)
A.S. Cherny, D.B. Madan
New measures for performance evaluation
Review of Financial Studies, 22 (2009), No. 7, p. 2571-2606.
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(33)
A.S. Cherny
The Kolmogorov Students' Competitions on Probability Theory
Mathematics Today. A.A. Dorogovtsev (Ed.). Kiev, 2007, p. 147-198.
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(32)
A.S. Cherny
Pricing and hedging European options with discrete-time coherent
risk
Finance and Stochastics, 11 (2007), No. 4, p. 537-569.
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(31)
A.S. Cherny, P.G. Grigoriev
Dilatation monotone risk measures are law invariant
Finance and Stochastics, 11 (2007), No. 2, p. 291-298.
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(30)
A.S. Cherny
Equilibrium with coherent risk
Preprint, 34 p.
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(29)
A.S. Cherny
Pricing with coherent risk
Probability Theory and Its Applications, 52 (2007), No. 3,
p. 506-540.
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(28)
A.S. Cherny
General arbitrage pricing model: possibility approach
Lecture Notes in Mathematics, 1899 (2007), p. 463-481.
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(27)
A.S. Cherny
General arbitrage pricing model: transaction costs
Lecture Notes in Mathematics, 1899 (2007), p. 447-462
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(26)
A.S. Cherny
General arbitrage pricing model: probability approach
Lecture Notes in Mathematics, 1899 (2007), p. 415-446
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(25)
A.S. Cherny
Investigations on stochastic analysis and singular stochastic
differential equations (in Russian)
Doctoral thesis, 2006, 223 p.
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(24)
A.S. Cherny, D.B. Madan
CAPM, rewards, and empirical asset pricing with coherent risk
Preprint, 20 p.
http://papers.ssrn.com
(23)
A.S. Cherny, D.B. Madan
Pricing and hedging in incomplete markets with coherent risk
Preprint, 22 p.
http://papers.ssrn.com
(22)
A.S. Cherny, D.B. Madan
Coherent measurement of factor risks
Preprint, 53 p.
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(21)
A.S. Cherny
Weighted V@R and its properties
Finance and Stochastics, 10 (2006), No. 3, p. 367-393
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(20)
A.S. Cherny, M.A. Urusov
On the absolute continuity and singularity of
measures on filtered spaces: separating times
In: In: Yu.M. Kabanov, R.S. Liptser, J. Stoyanov (Eds.).
From Stochastic Calculus to Mathematical Finance.
Springer, 2006, p. 125-168
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(19)
A.S. Cherny
Some particular problems of martingale theory
In: Yu.M. Kabanov, R.S. Liptser, J. Stoyanov (Eds.).
From Stochastic Calculus to Mathematical Finance.
Springer, 2006, p. 109-124
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(18)
A.S. Cherny, A.N. Shiryaev
On stochastic integrals up to infinity and predictable
criteria for integrability
Lecture Notes in Mathematics,
1857 (2004), p. 165-185
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(17)
A.S. Cherny
Invariant distributions for singular stochastic
differential equations
Stochastics and Stochastics Reports, 76
(2004), No. 2, p. 101-112
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(16)
A.S. Cherny, V.P. Maslov
On minimization and maximization of entropy
in various disciplines
Theory of Probability and Its Applications,
48 (2003), No. 3, p. 466-486
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(15)
A.S. Cherny, M.A. Urusov
Separating times for measures on filtered spaces
Theory of Probability and Its Applications,
48 (2003), No. 2, p. 416-427
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(14)
A.S. Cherny, H.-J. Engelbert
Isolated singular points of stochastic differential
equations
In: R. Buckdahn, H.-J. Engelbert, M. Yor. (Eds.).
Stochastic processes and related topics.
Taylor and Francis, 2002, p. 55-80
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(13)
A.S. Cherny, A.N. Shiryaev
Change of time and measure for Levy processes
Lectures at the Summer School "From Levy processes
to semimartingales: recent theoretical developments and
applications in finance" (Aarhus, 2002)
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(12)
A.N. Shiryaev, A.S. Cherny
Vector stochastic integrals and the fundamental
theorems of asset pricing
Proceedings of the Steklov Mathematical Institute,
237 (2002), p. 12-56
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(11)
A.S. Cherny, A.N. Shiryaev, M. Yor
Limit behaviour of the "horizontal-vertical" random walk
and some extensions of the Donsker-Prokhorov invariance
principle
Theory of Probability and Its Applications,
47 (2002), No. 3, p. 498-516
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(10)
A.S. Cherny
On the uniqueness in law and the pathwise uniqueness
for stochastic differential equations
Theory of Probability and Its Applications,
46 (2001), No. 3, p. 483-497
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(9)
A.S. Cherny
Principal values of the integral functionals of
Brownian motion: existence, continuity and an
extension of Ito's formula
Lecture Notes in Mathematics,
1755 (2001), p. 348-370
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(8)
A.S. Cherny
Families of consistent probability measures
Theory of Probability and Its Applications,
46 (2001), No. 1, p. 160-163
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(7)
A.S. Cherny, A.N. Shiryaev
On criteria for the uniform integrability of Brownian
stochastic exponentials
In: Optimal Control and Partial Differential Equations.
In honor of Alain Bensoussan's 60th birthday.
IOS Press, 2001, p. 80-92
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(6)
A.S. Cherny
Qualitative behaviour of solutions of stochastic differential
equations with singular coefficients (in Russian)
Ph.D. thesis, 2000, 104 p.
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(5)
A.S. Cherny
On the strong and weak solutions of stochastic
differential equations governing Bessel processes
Stochastics and Stochastics Reports,
70 (2000), No. 3, p. 213-219
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(4)
A.S. Cherny
Convergence of some integrals associated with
Bessel processes
Theory of Probability and Its Applications,
45 (2000), No. 2, p. 251-267
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(3)
A.S. Cherny
Qualitative behavior of solutions of stochastic differential equations
with singular coefficients
Russian Mathematical Surveys, 55 (2000), No. 3, p. 193-194.
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(2)
A.S. Cherny, A.N. Shiryaev
Some distributional properties of the Brownian motion with
a drift and an extension of P. Levy's theorem
Theory of Probability and Its Applications,
44 (1999), No. 2, p. 466-472
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(1)
A.S. Cherny
Vector stochastic integrals in the fundamental theorem
of asset pricing
Proceedings of the Workshop on mathematical finance,
INRIA, 1998, p. 149-163
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