(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.
(42)
A.S. Cherny, R. Douady, S.A. Molchanov
On measuring hedge fund risk
Preprint, 9 p.
(41)
A.S. Cherny, B. Dupire
On certain distributions associated with the range of martingales
Preprint, 9 p.
(40)
A.S. Cherny, D.V. Orlov
On two approaches to coherent risk contribution
Mathematical Finance, 15 p.
(39)
A.S. Cherny, M. Kupper
Divergence utilities
Preprint, 25 p.
(38)
A.S. Cherny, D. Filipovic
Concave distortion semigroups
Preprint, 19 p.
(37)
A.S. Cherny
Risk-reward optimization with discrete-time coherent risk
Mathematical Finance, 20 (2010), No. 4, p. 571-595.
(36)
A.S. Cherny
Brownian moving averages have conditional full support
Annals of Applied Probability, 18 (2008), No. 5, p. 1825-1830.
(35)
A.S. Cherny
Capital allocation and risk contribution with discrete-time coherent risk
Mathematical Finance, 19 (2009), No. 1, p. 13-40.
(34)
A.S. Cherny, D.B. Madan
New measures for performance evaluation
Review of Financial Studies, 22 (2009), No. 7, p. 2571-2606.
(33)
A.S. Cherny
The Kolmogorov Students' Competitions on Probability Theory
Mathematics Today. A.A. Dorogovtsev (Ed.). Kiev, 2007, p. 147-198.
(32)
A.S. Cherny
Pricing and hedging European options with discrete-time coherent risk
Finance and Stochastics, 11 (2007), No. 4, p. 537-569.
(31)
A.S. Cherny, P.G. Grigoriev
Dilatation monotone risk measures are law invariant
Finance and Stochastics, 11 (2007), No. 2, p. 291-298.
(30)
A.S. Cherny
Equilibrium with coherent risk
Preprint, 34 p.
(29)
A.S. Cherny
Pricing with coherent risk
Probability Theory and Its Applications, 52 (2007), No. 3, p. 506-540.
(28)
A.S. Cherny
General arbitrage pricing model: possibility approach
Lecture Notes in Mathematics, 1899 (2007), p. 463-481.
(27)
A.S. Cherny
General arbitrage pricing model: transaction costs
Lecture Notes in Mathematics, 1899 (2007), p. 447-462
(26)
A.S. Cherny
General arbitrage pricing model: probability approach
Lecture Notes in Mathematics, 1899 (2007), p. 415-446
(25)
A.S. Cherny
Investigations on stochastic analysis and singular stochastic
differential equations (in Russian)
Doctoral thesis, 2006, 223 p.
(24)
A.S. Cherny, D.B. Madan
CAPM, rewards, and empirical asset pricing with coherent risk
Preprint, 20 p.
(23)
A.S. Cherny, D.B. Madan
Pricing and hedging in incomplete markets with coherent risk
Preprint, 22 p.
(22)
A.S. Cherny, D.B. Madan
Coherent measurement of factor risks
Preprint, 53 p.
(21)
A.S. Cherny
Weighted V@R and its properties
Finance and Stochastics, 10 (2006), No. 3, p. 367-393
(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
(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
(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
(17)
A.S. Cherny
Invariant distributions for singular stochastic differential equations
Stochastics and Stochastics Reports, 76 (2004), No. 2, p. 101-112
(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
(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
(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
(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)
(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
(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
(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
(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
(8)
A.S. Cherny
Families of consistent probability measures
Theory of Probability and Its Applications, 46 (2001), No. 1, p. 160-163
(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
(6)
A.S. Cherny
Qualitative behaviour of solutions of stochastic differential equations with singular coefficients (in Russian)
Ph.D. thesis, 2000, 104 p.
(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
(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
(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.
(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
(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