1. Fomin M., Shorokhov S. On Value-at-Risk and Expected Shortfall of Financial Asset with Stochastic Pricing.
10th International Congress on Ultra Modern Telecommunications and Control Systems and Workshops (ICUMT) - Emerging Technologies for Connected Society Location: Moscow, RUSSIA Date: NOV 05-09, 2018
https://doi.org/10.1109/icumt.2018.8631272
2. Шорохов С.Г. О ценах опционов в некоторых моделях локальной волатильности.
“Тезисы докладов, представленных на Третьей Международной конференции по стохастическим методам”, Теория вероятностей и ее применения, 2019, Т. 64, вып. 1, с. 193-194. Theory Probab. Appl., 64:1 (2019), 124-169
https://doi.org/10.4213/tvp5257
3. Shorokhov S.G., Khaptakhanova V.V. Web based application for operational loss collection and value-at-risk and expected shortfall calculation.
Selected Papers of the IX Conference “Information and Telecommunication Technologies and Mathematical Modeling of High-Tech Systems”, Moscow, Russia, 19-Apr-2019, published at http://ceur-ws.org Vol. 2407. - P. 141-148
http://ceur-ws.org/Vol-2407/paper-15-169.pdf
4. Shorokhov S.G., Fomin M.B. On Implied Volatility Surface Construction for Stochastic Investment Models.
In: Vishnevskiy V., Samouylov K., Kozyrev D. (eds) Distributed Computer and Communication Networks. DCCN 2019. Communications in Computer and Information Science, vol 1141. Springer, Cham, 2019. – P. 449-460
https://doi.org/10.1007/978-3-030-36625-4_36
5. Shorokhov S., Fomin M. Modeling of Financial Asset Prices with Hyperbolic-Sine Stochastic Model.
In: Sukhomlin V., Zubareva E. (eds) Convergent Cognitive Information Technologies. Convergent 2018. Communications in Computer and Information Science, vol 1140. Springer, Cham, 2020. – P. 3-10
https://doi.org/10.1007/978-3-030-37436-5_1
6. Shorokhov S.G. On option pricing in local volatility models using parallel computing.
Workshop on Information Technology and Scientific Computing in the Framework of the 10th International Conference Information and Telecommunication Technologies and Mathematical Modeling of High-Tech Systems, ITTMM 2020; Peoples' Friendship University of Russia (RUDN University) Moscow; Russian Federation, 13 April 2020, published at http://ceur-ws.org Vol. 2639. - P. 108-116.
http://ceur-ws.org/Vol-2639/paper-10.pdf
7. Shorokhov S.G. Wireless Channel Modeling and Simulation with K Distribution.
In: Vladimir M. Vishnevskiy • Konstantin E. Samouylov • Dmitry V. Kozyrev (Eds.) Distributed Computer and Communication Networks: Control, Computation, Communications. 23rd International Conference, DCCN 2020 Moscow, Russia, September 14–18, 2020 Revised Selected Papers. Communications in Computer and Information Science, vol 1337. Springer, Cham, 2020. – P. 407-421.
https://doi.org/10.1007/978-3-030-66242-4_32
8. Shorokhov S. On option pricing when volatility is proportional to stock price.
Пятая Международная конференция по стохастическим методам (МКСМ-5): материалы Международной научной конференции. Россия, Москва, 23–27 ноября 2020 г. / под общ. ред. Д. В. Козырева – Москва: РУДН, 2020. С.197-201.
9. Shorokhov S.G. Construction and simulation of continuous time portfolio with given properties.
Workshop on information technology and scientific computing in the framework of the XI International Conference Information and Telecommunication Technologies and Mathematical Modeling of High-Tech Systems (ITTMM-2021), Moscow, Russian, April 19–23, 2021, published at http://ceur-ws.org Vol. 2946. - P. 33-44.
http://ceur-ws.org/Vol-2946/paper-03.pdf
10. Shorokhov S.G. On deep learning for option pricing in local volatility models.
Proceedings of the 9th International Conference "Distributed Computing and Grid Technologies in Science and Education" (GRID'2021), Dubna, Russia, July 5-9, 2021, published at http://ceur-ws.org Vol. 3041. - P. 381-386.
https://doi.org/10.54546/MLIT.2021.17.84.001