Yashkir Consulting

Financial Applications



Lasers & Matter




Recent publications

  1. Overnight Index Rate: Model, Calibration, and Simulation
    Y. Yashkir, O.Yashkir
    Cogent Economics & Finance (2014)

  2. Monitoring of Credit Risk through the Cycle: Risk Indicators
    O.Yashkir, Y. Yashkir

  3. Loss given default modeling: a comparative analysis
    O.Yashkir, Y. Yashkir
    Journal of Risk Model Validation, v.7,No.1,(2013) ; Lambert Academic Publishing (2017)

  4. Modelling of stochastic fat-tailed auto-correlated processes: an application to short-term rates
    O.Yashkir, Y. Yashkir
    Quantitative Finance, v.3, 195-200 (2003)

Some publications before 2002

  1. Pricing and Hedging with Stochastic Implied Volatility
    C.Albanese, Peter Carr, Dilip Madan, O.Yashkir
    SIAM Annual Meeting, Toronto, 1998

  2. Nondifferentiable and stochastic optimization methods in physics (monograph)
    Y.Yashkir, O.Yashkir, Yu.Yermoliev
    "Naukova Dumka", April 1995, Kyiv,169 p.

  3. Statistical properties of a ring picosecond optical quantum oscillator with intracavity stimulated Raman frequency conversion
    Y.Yashkir, O.Yashkir
    "Ukrainian Journal of Physics", 38, 713-716 (1993)

  4. Mode spectrum evaluation in a planar waveguide by the nonsmooth optimization method
    O.Yashkir, Y.Yashkir
    "Methods of the control and decision making under the risk and uncertainty conditions" /
    Collected works of the Institute of Cybernetics, Kyiv 1993, p.23 - 27

  5. Numerical synthesis of the plane phase converters of the wave front
    O.Yashkir, Y.Yashkir
    "Mathematical methods of operation research, risk and safety theory" / Collected works of the
    Institute of Cybernetics, Kyiv 1992, p.64 - 67

  6. Simulations and numerical methods in the nonlinear auto-oscillating system analysis for the risk estimation of the transition into the irregular state
    O.Yashkir, Y.Yashkir
    All-Ukrainian conference: "Models and Methods of the Risk Estimation and Problems of EcoEconomic system safety", Kyiv 1992

  7. Influence of intracavity stimulated Raman scattering on the self-modulation of a ring laser emitting ultrashort pulses (Abstract)
    O.Yashkir, Y.Yashkir
    "Sov. J. Quantum Electronics", 21, no.11, p.1244 - 1246 (1991)

  8. Numerical simulation of the nonlinear four-wave interaction
    Y.Yashkir, O.Yashkir
    "Mathematical methods of simulation and system analysis with incomplete information" (collected works, Kyiv - 1991), p.43-48.