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Roman N. Makarov

Observed names: Makarov, Roman, Makarov, Roman N., R. MAKAROV, R. Makarov, R. N. MAKAROV, R. N. Makarov, R.N. Makarov, ROMAN MAKAROV, Roman Makarov
ORCID: 0000-0002-0935-9445
Observed ORCID: 0000-0002-0935-9445
OpenAlex ID: A5068968226
Recent Progress and Modern Challenges in Applied Mathematics, Modeling and Computational Science
2017 · Melnik, Roderick, Makarov, Roman, et al. · Fields Institute communications · 43
Financial Mathematics : A Comprehensive Treatment
2021 · Giuseppe Campolieti, Roman N. Makarov · 24
Pricing Path-dependent Options on State Dependent Volatility Models With a Bessel Bridge
2007 · GIUSEPPE CAMPOLIETI, ROMAN MAKAROV · International Journal of Theoretical and Applied Finance · 19
On Properties of Analytically Solvable Families of Local Volatility Diffusion Models
2012 · Giuseppe Campolieti, Roman N. Makarov · Mathematical Finance · 16
Modelling default risk with occupation times
2015 · R. Makarov, A. Metzler, et al. · Finance research letters · 13
Pricing Step Options Under the Cev and Other Solvable Diffusion Models
2013 · G. CAMPOLIETI, R. MAKAROV, et al. · International Journal of Theoretical and Applied Finance · 12
Path integral pricing of Asian options on state-dependent volatility models
2008 · Giuseppe Campolieti, Roman Makarov · Quantitative Finance · 10
Numerical solution of quasilinear parabolic equations and backward stochastic differential equations
2003 · R. N. Makarov · Russian Journal of Numerical Analysis and Mathematical Modelling · 10
Interdisciplinary Topics in Applied Mathematics, Modeling and Computational Science
2015 · Monica G. Cojocaru, Ilias S. Kotsireas, et al. · Springer proceedings in mathematics & statistics · 9
Parallel Lattice Implementation for Option Pricing under Mixed State-Dependent Volatility Models
2005 · G. Campolieti, R. Makarov · Proceedings/Proceedings (International Symposium on High Performance Computing Systems and Applications) · 9
Numerical solution of quasilinear parabolic equations and backward stochastic differential equations
2003 · R. N. Makarov · Russian Journal of Numerical Analysis and Mathematical Modelling · 9
Solution of boundary value problems of the second and third kinds by the monte carlo methods
1997 · G. A. Mikhaĭlov, R. N. Makarov · Siberian Mathematical Journal · 9
Modeling liquidation risk with occupation times
2016 · Roman N. Makarov · International Journal of Financial Engineering · 8
Financial Mathematics
2018 · Giuseppe Campolieti, Roman N. Makarov · Chapman & Hall/CRC eBooks · 7
Performance evaluation metric for statistical learning trading strategies
2024 · Jiawei He, Roman N. Makarov, et al. · Data Science in Finance and Economics · 6
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Option Pricing and Portfolio Optimization under a Multi-Asset Jump-Diffusion Model with Systemic Risk
2023 · Roman N. Makarov · Risks · 4
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Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts
2017 · Giuseppe Campolieti, Roman N. Makarov · SIAM Journal on Financial Mathematics · 4
Stochastic Algorithms with Hermite Cubic Spline Interpolation for Global Estimation of Solutions of Boundary Value Problems
2007 · Roman N. Makarov, Elena V. Shkarupa · SIAM Journal on Scientific Computing · 4
Monte Carlo methods for solving boundary value problems of the second and third kinds
1998 · R. N. MAKAROV · Russian Journal of Numerical Analysis and Mathematical Modelling · 4
High-Frequency Statistical Modelling for Jump-Diffusion Multi-asset Price Processes with a Systemic Component
2021 · Rulin Xu, Roman N. Makarov · Springer proceedings in mathematics & statistics · 3
Modelling Asynchronous Assets with Jump-Diffusion Processes
2018 · Yuxin Chen, Roman N. Makarov · Springer proceedings in mathematics & statistics · 3
Exact Simulation of Occupation Times
2012 · Roman N. Makarov, Karl Wouterloot · Springer proceedings in mathematics & statistics · 3
Financial Mathematics
2022 · Giuseppe Campolieti, Roman N. Makarov · Chapman & Hall/CRC eBooks · 2
Financial Mathematics
2021 · Giuseppe Campolieti, Roman N. Makarov · Chapman & Hall/CRC eBooks · 2
Time Series Analysis and Calibration to Option Data: A Study of Various Asset Pricing Models
2015 · Giuseppe Campolieti, Roman N. Makarov, et al. · Springer proceedings in mathematics & statistics · 2
Works count: 82
Citation count: 255
H-index: 9
I10-index: 8
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