Ernesto Mordecki

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José Santiago Fajardo BarbachanFGV-EBAPEVerified email at fgv.br
Federico DalmaoUniversidad de la RepúblicaVerified email at unorte.edu.uy
Paavo SalminenProfessor of MathematicsVerified email at abo.fi
Antoine LejayInstitut Elie Cartan de Lorraine; InriaVerified email at univ-lorraine.fr
soledad torresAcademica CIMFAV, Facultad de Ingeniería Universidad de ValparaísoVerified email at uv.cl
Alexander GushchinSteklov Mathematical InstituteVerified email at mi-ras.ru
Alan L LewisNewport BeachVerified email at financepress.com
Raul TemponeProfessor of Applied Mathematics, Director - Center for Uncertainty Quantification, KAUSTVerified email at kaust.edu.sa
Georgios ZourarisProfessor, University of CreteVerified email at uoc.gr
Anders SzepessyKTH, StockholmVerified email at kth.se
Gerardo RubinoInria/IrisaVerified email at inria.fr
José R. LeónProfesor de Matemática IMERL. UDELARVerified email at ciens.ucv.ve
Ricardo FraimanProfesor, Centro de Matemática, Universidad de la República, UruguayVerified email at cmat.edu.uy
Alejandro CholaquidisUniversidad de la RepúblicaVerified email at cmat.edu.uy
Sören ChristensenUniversity of KielVerified email at math.uni-kiel.de
Nicolás WscheborInstituto de Física, Facultad de Ingeniería, Universidad de la República, UruguayVerified email at fing.edu.uy
Federico LecumberryAssociate Professor, Facultad de Ingeniería, Universidad de la RepúblicaVerified email at fing.edu.uy
Marcelo FioriPhD, Universidad de la República, UruguayVerified email at fing.edu.uy
Yuliya MishuraProfessor of Probability, Taras Shevchenko National University of KyivVerified email at knu.ua
Jean-Marc AzaïsInstitut de mathématiques de toulouseVerified email at math.univ-toulouse.fr

Ernesto Mordecki

Universidad de la República, Montevideo, Uruguay

Verified email at cmat.edu.uy - Homepage

Mathematics Stochastic Processes


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Optimal stopping and perpetual options for Lévy processes E Mordecki Finance and Stochastics 6 (4), 473-493, 2002	299	2002
Flocking in noisy environments F Cucker, E Mordecki Journal de mathématiques pures et appliquées 89 (3), 278-296, 2008	218	2008
Wiener-Hopf factorization for Lévy processes having positive jumps with rational transforms AL Lewis, E Mordecki Journal of Applied Probability 45 (1), 118-134, 2008	99	2008
Optimal stopping for a diffusion with jumps E Mordecki Finance and Stochastics 3 (2), 227-236, 1999	98	1999
Symmetry and Duality in Lévy Markets J Fajardo, E Mordecki Quantitative Finance 6 (3), 219-227, 2006	70	2006
Cucker–Smale flocking under hierarchical leadership and random interactions F Dalmao, E Mordecki SIAM Journal on Applied Mathematics 71 (4), 1307-1316, 2011	63	2011
Integral option DO Kramkov, E Mordecki Theory of Probability & Its Applications 39 (1), 162-172, 1995	62	1995
Bounds of option prices for semimartingale market models AA Gushchin, E Mordecki Proceedings of the Steklov Institute of Mathematics-Interperiodica …, 2002	58	2002
Ruin probabilities for Lévy processes with mixed-exponential negative jumps E Mordecki Theory of Probability & Its Applications 48 (1), 170-176, 2004	56	2004
Optimal stopping of Hunt and Lévy processes E Mordecki, P Salminen Stochastics An International Journal of Probability and Stochastic Processes …, 2007	55	2007
Adaptive weak approximation of diffusions with jumps E Mordecki, A Szepessy, R Tempone, GE Zouraris SIAM Journal on Numerical Analysis 46 (4), 1732-1768, 2008	44	2008
The distribution of the maximum of a Lévy process with positive jumps of phase-type E Mordecki Theory Stoch. Process 8 (309-316), 2002	35	2002
SST anomaly variability in Southwestern Atlantic and El Niño/Southern oscillation DN Severov, E Mordecki, VA Pshennikov Advances in Space Research 33 (3), 343-347, 2004	33	2004
Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions F Crocce, E Mordecki Stochastics An International Journal of Probability and Stochastic Processes …, 2014	32	2014
Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions E Crocce, F. Mordecki Stochastics An International Journal of Probability and Stochastic Processes, 2013	32*	2013
Skewness premium with Lévy processes J Fajardo, E Mordecki Quantitative Finance 14 (9), 1619-1626, 2014	31*	2014
Pricing derivatives on two-dimensional Lévy processes J Fajardo, E Mordecki International journal of theoretical and applied finance 9 (02), 185-197, 2006	26	2006
Numerical approximation of backward stochastic differential equations with jumps A Lejay, E Mordecki, S Torres INRIA, 2014	23	2014
Hierarchical Cucker-Smale model subject to random failure F Dalmao, E Mordecki IEEE transactions on automatic control 57 (7), 1789-1793, 2012	23	2012
On optimal stopping of multidimensional diffusions S Christensen, F Crocce, E Mordecki, P Salminen Stochastic Processes and their Applications 129 (7), 2561-2581, 2019	16	2019

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