Institution

# Central Economics and Mathematics Institute

Facility•Moscow, Russia•

About: Central Economics and Mathematics Institute is a(n) facility organization based out in Moscow, Russia. It is known for research contribution in the topic(s): Population & Foreign-exchange reserves. The organization has 297 authors who have published 580 publication(s) receiving 6449 citation(s). The organization is also known as: Federal State Institution of Science Central Economics and Mathematics Institute of the Russian Academy of Sciences.

##### Papers published on a yearly basis

##### Papers

More filters

••

Abstract: We investigate the term structure of zero coupon bonds when interest rates are driven by a general marked point process as well as by a Wiener process. Developing a theory that allows for measure–valued trading portfolios, we study existence and uniqueness of a martingale measure. We also study completeness and its relation to the uniqueness of a martingale measure. For the case of a finite jump spectrum we give a fairly general completeness result and for a Wiener–Poisson model we prove the existence of a time–independent set of basic bonds. We also give sufficient conditions for the existence of an affine term structure.

357 citations

••

TL;DR: It is shown that a market is approximately complete iff an equivalent martingale measure is unique and two constructions of stochastic integrals with respect to processes taking values in a space of continuous functions are suggested.

Abstract: To the memory of our friend and colleague Oliviero Lessi. Abstract. The main purpose of the paper is to provide a mathematical back- ground for the theory of bond markets similar to that available for stock markets. We suggest two constructions of stochastic integrals with respect to processes taking values in a space of continuous functions. Such integrals are used to define the evolution of the value of a portfolio of bonds corresponding to a trad- ing strategy which is a measure-valued predictable process. The existence of an equivalent martingale measure is discussed and HJM-type conditions are derived for a jump-diffusion model. The question of market completeness is considered as a problem of the range of a certain integral operator. We introduce a concept of approximate market completeness and show that a market is approximately complete iff an equivalent martingale measure is unique.

250 citations

••

Abstract: This paper describes the institutions and social norms that have accommodated corrup- tion in the Russian Federation in the post-transition years. We show how corruption is sustained by ill-defined boundaries between political and private business activity, and how the role of the state facilitates rather than hinders corruption. The paper draws upon a longer w

234 citations

••

TL;DR: This paper gives a new proof which uses techniques from stochastic calculus rather than functional analysis, and which removes any boundedness assumption.

Abstract: Let \({\cal Q}\) be the set of equivalent martingale measures for a given process \(S\), and let \(X\) be a process which is a local supermartingale with respect to any measure in \({\cal Q}\). The optional decomposition theorem for \(X\) states that there exists a predictable integrand \(\varphi\) such that the difference \(X-\varphi\cdot S\) is a decreasing process. In this paper we give a new proof which uses techniques from stochastic calculus rather than functional analysis, and which removes any boundedness assumption.

171 citations

••

TL;DR: One of out discoveries is that a cycle detection strategy of Tarjan greatly improves computational performance of a classical shortest path algorithm, making it competitive with the fastest known algorithms on a wide range of problems.

Abstract: We study the problem of finding a negative length cycle in a network. An algorithm for the negative cycle problem combines a shortest path algorithm and a cycle detection strategy. We survey cycle detection strategies, study various combinations of shortest path algorithms and cycle detection strategies and find the best combinations. One of out discoveries is that a cycle detection strategy of Tarjan greatly improves computational performance of a classical shortest path algorithm, making it competitive with the fastest known algorithms on a wide range of problems. As a part of out study, we develop problem families for testing negative cycle algorithms.

162 citations

##### Authors

Showing all 297 results

Name | H-index | Papers | Citations |
---|---|---|---|

Boris Mirkin | 35 | 178 | 6722 |

Yuri Kabanov | 26 | 85 | 3396 |

L. V. Chernysheva | 24 | 167 | 1867 |

Igor V. Evstigneev | 21 | 129 | 1838 |

Alexander Zeifman | 21 | 177 | 1502 |

Vladimir Popov | 20 | 169 | 2041 |

Vyacheslav V. Kalashnikov | 19 | 109 | 1217 |

Vladimir I. Danilov | 18 | 165 | 1255 |

Victor Polterovich | 17 | 126 | 1145 |

Ernst Presman | 15 | 41 | 875 |

Andrei Dmitruk | 13 | 51 | 604 |

Anatoly Peresetsky | 13 | 45 | 617 |

Anton Oleinik | 12 | 55 | 495 |

Vladimir Rotar | 11 | 28 | 577 |

Nikolai B. Melnikov | 11 | 72 | 323 |