Dmitry Kramkov

Professor
Ph.D., Steklov Mathematical Institute

Office: Wean Hall 6126
Phone: (412) 268-5912
E-mail: kramkov@andrew.cmu.edu
Publications in electronic formats

Research

The main area of research is Computational Finance. Topics of interest include pricing of financial derivatives, optimal investment, numerical and software implementations of financial algorithms.

Selected Publications

Dmitry Kramkov and Mihai Sirbu. Sensitivity analysis of utility based prices and risk-tolerance wealth processes. Annals of Applied Probability, 16(4):2140-2194, 2006.

Dmitry Kramkov and Walter Schachermayer. The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Annals of Applied Probability, 9(3):904-950, 1999.

Dmitry Kramkov. Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets. Probability Theory and Related Fields, 105:459-479, 1996.