Ilya

846 reputation

215

bio	website	dcsc.tudelft.nl/~itkachev
	location	Leiden, Netherlands
	age	25
visits	member for	2 years, 3 months
	seen	Jun 6 at 17:32
stats	profile views	144

I am a PhD student at TU Delft, working in applied probability and stochastic optimal control. My current focus is on approximate model-checking of stochastic systems via bisimulations (a part of computer science). I am interested in a wide field of applications, in particular in some areas of finance, such as risk theory.

	846 reputation	bio	website	dcsc.tudelft.nl/~itkachev	visits	member for	2 years, 3 months
215 badges		location	Leiden, Netherlands		seen	Jun 6 at 17:32

summary answers questions tags badges favorites bounties reputation activity

14 Answers

votes activity newest

6	Software for decomposing structured products into plain vanilla products
5	How should you manage lot sizes in this situation?
4	Mathematical theories of (sub)-optimal trading strategies under “idealized” assumption - price is random process known to trader
4	Obtaining characteristics of stochastic model solution
3	Deterministic interpretation of stochastic differential equation

846 Reputation

+55	Mathematical theories of (sub)-optimal trading strategies under “idealized” assumption - price is random process known to trader
+15	George Soros models
+15	Monte Carlo simulating Cox-Ingersoll-Ross process
+5	Desired portfolio volume

12 Questions

votes activity newest

13	George Soros models
12	Discrete-time model: stock dynamics
11	Is there any good research on support and resistance?
7	Do people use unbounded interest rate models, and what alternatives exist?
6	Modern problems in financial mathematics

39 Tags

7 stochastic-calculus × 4	5 best-practices
7 option-pricing × 3	5 money-management
6 replication	4 differential-equations × 3
6 software	4 algorithmic-trading
5 fx × 3	2 equities

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