Concepedia

Roman N. Makarov

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Statistics

Publications

7

Citations

101

H-Index

7

Active since

2003

Affiliations

Wilfrid Laurier University(Current)

Roman N. Makarov is an author at Wilfrid Laurier University specializing in stochastic processes, finance, and financial economics.

Publications per year

2003–2015

6

Publications

7

Exact simulation of Bessel diffusions

Roman N. Makarov, Devin Glew · RePEc: Research Papers in Economics · 20 citations

Business, Economics, Finance +17

PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE

Giuseppe Campolieti, Roman N. Makarov · International Journal of Theoretical and Applied Finance · 2007 · 19 citations

Business, Finance, Financial Econometrics +16

ON PROPERTIES OF ANALYTICALLY SOLVABLE FAMILIES OF LOCAL VOLATILITY DIFFUSION MODELS

Giuseppe Campolieti, Roman N. Makarov · Mathematical Finance · 2012 · 18 citations

Engineering, Finance, Mathematics +17

PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS

Giuseppe Campolieti, Roman N. Makarov, Karl Wouterloot · International Journal of Theoretical and Applied Finance · 2013 · 12 citations

Business, Economics, Finance +17

Modelling default risk with occupation times

Roman N. Makarov, Adam Metzler, Zheng Ni · Finance research letters · 2015 · 12 citations

Business, Finance, Risk Management +11

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