Ernesto Mordecki

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José Santiago Fajardo BarbachanFGV-EBAPEVerified email at fgv.br
Federico DalmaoUniversidad de la RepúblicaVerified email at unorte.edu.uy
Paavo SalminenProfessor of MathematicsVerified email at abo.fi
Antoine LejayInstitut Elie Cartan de Lorraine; InriaVerified email at univ-lorraine.fr
soledad torresAcademica CIMFAV, Facultad de Ingeniería Universidad de ValparaísoVerified email at uv.cl
Alexander GushchinSteklov Mathematical InstituteVerified email at mi-ras.ru
Alan L LewisNewport BeachVerified email at financepress.com
José R. LeónProfesor de Matemática IMERL. UDELARVerified email at ciens.ucv.ve
Laura AspirotFacultad de Ciencias Económicas y de Administración, Universidad de la RepúblicaVerified email at fcea.edu.uy
Ricardo FraimanProfesor, Centro de Matemática, Universidad de la República, UruguayVerified email at cmat.edu.uy
Gerardo RubinoInria/IrisaVerified email at inria.fr
Sören ChristensenUniversity of KielVerified email at math.uni-kiel.de
Raul TemponeProfessor of Applied Mathematics, Alexander von Humboldt Professor RWTH-Aachen & KAUSTVerified email at kaust.edu.sa
Georgios ZourarisProfessor, University of CreteVerified email at uoc.gr
Anders SzepessyKTH, StockholmVerified email at kth.se
Jean-Marc AzaïsInstitut de mathématiques de toulouseVerified email at math.univ-toulouse.fr
Diego ArmentanoUniversidad de la RepúblicaVerified email at cmat.edu.uy
Nicolás WscheborInstituto de Física, Facultad de Ingeniería, Universidad de la República, UruguayVerified email at fing.edu.uy
Federico LecumberryAssociate Professor, Facultad de Ingeniería, Universidad de la RepúblicaVerified email at fing.edu.uy
Marcelo FioriPhD, Universidad de la República, UruguayVerified email at fing.edu.uy

Ernesto Mordecki

Universidad de la República, Montevideo, Uruguay

Verified email at cmat.edu.uy - Homepage

Mathematics Stochastic Processes


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Optimal stopping and perpetual options for Lévy processes E Mordecki Finance and Stochastics 6 (4), 473-493, 2002	320	2002
Flocking in noisy environments F Cucker, E Mordecki Journal de mathématiques pures et appliquées 89 (3), 278-296, 2008	244	2008
Wiener-Hopf factorization for Lévy processes having positive jumps with rational transforms AL Lewis, E Mordecki Journal of Applied Probability 45 (1), 118-134, 2008	107	2008
Optimal stopping for a diffusion with jumps E Mordecki Finance and Stochastics 3, 227-236, 1999	104	1999
Cucker–Smale flocking under hierarchical leadership and random interactions F Dalmao, E Mordecki SIAM Journal on Applied Mathematics 71 (4), 1307-1316, 2011	76	2011
Symmetry and Duality in Lévy Markets J Fajardo, E Mordecki Quantitative Finance 6 (3), 219-227, 2006	73	2006
Integral option DO Kramkov, E Mordecki Theory of Probability & Its Applications 39 (1), 162-172, 1995	65	1995
Ruin probabilities for Lévy processes with mixed-exponential negative jumps E Mordecki Theory of Probability & Its Applications 48 (1), 170-176, 2004	59	2004
Optimal stopping of Hunt and Lévy processes E Mordecki, P Salminen Stochastics An International Journal of Probability and Stochastic Processes …, 2007	58	2007
Bounds of option prices for semimartingale market models AA Gushchin, E Mordecki Proceedings of the Steklov Institute of Mathematics-Interperiodica …, 2002	57	2002
Adaptive weak approximation of diffusions with jumps E Mordecki, A Szepessy, R Tempone, GE Zouraris SIAM Journal on Numerical Analysis 46 (4), 1732-1768, 2008	48	2008
SST anomaly variability in Southwestern Atlantic and El Niño/Southern oscillation DN Severov, E Mordecki, VA Pshennikov Advances in Space Research 33 (3), 343-347, 2004	37	2004
The distribution of the maximum of a Lévy process with positive jumps of phase-type E Mordecki Theory Stoch. Process 8 (309-316), 2002	36	2002
Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions F Crocce, E Mordecki Stochastics An International Journal of Probability and Stochastic Processes …, 2014	33	2014
Skewness premium with Lévy processes J Fajardo, E Mordecki Quantitative Finance 14 (9), 1619-1626, 2014	32*	2014
Hierarchical Cucker-Smale model subject to random failure F Dalmao, E Mordecki IEEE transactions on automatic control 57 (7), 1789-1793, 2012	28	2012
Pricing derivatives on two-dimensional Lévy processes J Fajardo, E Mordecki International journal of theoretical and applied finance 9 (02), 185-197, 2006	28	2006
Numerical approximation of backward stochastic differential equations with jumps A Lejay, E Mordecki, S Torres INRIA, 2014	27	2014
On optimal stopping of multidimensional diffusions S Christensen, F Crocce, E Mordecki, P Salminen Stochastic Processes and their Applications 129 (7), 2561-2581, 2019	21	2019
Is a Brownian Motion Skew? T Lejay, Mordecki Scandinavian Journal of Statistics 41 (2), 346-364, 2014	21	2014

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