Faculty Visiting Faculty Staff Graduate Students Undergraduate Students Home		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.

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