Prof. Alexander Melnikov

University of Alberta, Canada

Email: melnikov@ualberta.ca

Qualifications

1980 Ph.D., Steklov Mathematical Institute of the USSR Academy of Sciences, Russia

1976 M.Sc., Moscow State University, Russia

Publications (Selected)

1. Abdelghani, M., & Melnikov, A. (2024). Criteria for what makes a local optional martingale a true martingale. Stochastics, 96(5), 1551-1577.
2. Melnikov, A., & Mohammadi Nejad, P. (2024). Pricing Contingent Claims in a Two-Interest-Rate Multi-Dimensional Jump-Diffusion Model via Market Completion. AppliedMath, 4(1), 348-362.
3. Abdelghani, M., Melnikov, A., & Pak, A. (2022). On comparison theorem for optional SDEs via local times and applications. Stochastics, 94(3), 365-385.
4. Melnikov, A., & Wan, H. (2022). On RVaR-based optimal partial hedging. Annals of Actuarial Science, 16(2), 349-366.
5. Melnikov, A., & Wan, H. (2021). On modifications of the Bachelier model. Annals of Finance, 17(2), 187-214.
6. Abdelghani, M., Melnikov, A., & Pak, A. (2021). On statistical estimation and inferences in optional regression models. Statistics, 55(2), 445-457.
7. Glazyrina, A., & Melnikov, A. (2020). Bachelier model with stopping time and its insurance application. Insurance: Mathematics and Economics, 93, 156-167.
8. Abdelghani, M. N., & Melnikov, A. V. (2020). Existence and uniqueness of stochastic equations of optional semimartingales under monotonicity condition. Stochastics, 92(1), 67-89.
9. Abdelghani, M., & Melnikov, A. (2019). Optional decomposition of optional supermartingales and applications to filtering and finance. Stochastics, 91(6), 797-816.
10. MacKay, A., Melnikov, A., & Mishura, Y. (2018). Optimization of small deviation for mixed fractional Brownian motion with trend. Stochastics, 90(7), 1087-1110.
11. Abdelghani, M., & Melnikov, A. (2018). A comparison theorem for stochastic equations of optional semimartingales. Stochastics and Dynamics, 18(04), 1850029.
12. Krasin, V., Smirnov, I., & Melnikov, A. (2018). Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes. Annals of Finance, 14(2), 195-209.
13. MacKay, A., & Melnikov, A. (2017, August). Price bounds in jump-diffusion markets revisited via market completions. In International Conference on Applied Mathematics, Modeling and Computational Science (pp. 553-563). Cham: Springer International Publishing.
14. Abdelghani, M. N., & Melnikov, A. V. (2017). On linear stochastic equations of optional semimartingales and their applications. Statistics & Probability Letters, 125, 207-214.
15. Glazyrina, A., & Melnikov, A. (2017). Quadratic hedging of equity-linked life insurance contracts under the real-world measure in discrete time. Risk and Decision Analysis, 6(2), 167-175.
16. Glazyrina, A., & Melnikov, A. (2016). Bernstein’s inequalities and their extensions for getting the Black–Scholes option pricing formula. Statistics & Probability Letters, 111, 86-92.
17. Abdelghani, M. N., & Melnikov, A. V. (2016). Financial markets in the context of the general theory of optional processes. In Mathematical and Computational Approaches in Advancing Modern Science and Engineering (pp. 519-528). Springer International Publishing.

Profile Details

https://apps.ualberta.ca/directory/person/melnikov

https://scholar.google.com.hk/citations?user=PD6W2EkAAAAJ&hl=zh-CN&oi=sra

https://www.researchgate.net/profile/Alexander-Melnikov-5