Articles

  1. Convergence of binary statistical experiments and Hellinguer processes. E. Mordecki. Russian Mathematical Surveys 47, No. 6 226-227 (1992). Please request.
  2. Necessary conditions for the stable convergence of semimartingales. E. Mordecki. Russian Mathematical Surveys 48, No. 2, 197-198 (1993). Please request.
  3. Integral Options. D.O. Kramkov, E. Mordecki. Theory of Probability and its Applications. 39 (1994) pp. 162-171. Download dvi file.
  4. Asymptotic mixed normality and Hellinguer processes. E. Mordecki. Stochastics Stochastics Rep. 48, No.3-4, 129-143 (1994). Download(dvi file)
  5. Strong convergence of statistical experiments and Helliguer processes. E. Mordecki. Shiryaev, A.N. (ed.) et al. Frontiers in pure and applied probability II. Moskva:TVP Front. Pure Appl. Probab. 8, 139-152 (1996) . Download dvi file
  6. Ruin probabilities and optimal stopping for a diffusion with jumps. E. Mordecki. Proceedings of the Fourth Congress "Dr. Antonio A. R. Monteiro" (Bahia Blanca, 1997), 39-48, Univ. Nac. del Sur, Bahia Blanca, 1997. Download dvi file
  7. Optimal Stopping for a Compound Poisson Process with Exponential Jumps. E. Mordecki. Publicaciones Matemáticas del Uruguay. Vol. 7 (1997) pp. 55-66. Downloaddvi file
  8. Optimal Stopping and Maximal Inequalities for Poisson Processes. D.O. Kramkov and E. Mordecki Publicaciones Matemáticas del Uruguay. Vol. 8 (1999) pp. 153-178. Abstract and download
  9. Necessary conditions for stable convergence of semimartingales. E. Mordecki. Theory of Probability and Its Applications. 44,1,(1999) pp 229-232. Download dvi file or ps file
  10. Optimal Stopping for a Diffusion with Jumps. E. Mordecki. Finance & Stochastics. Vol III, issue 2 (1999), 227-238. Download pdf file - dvi file - ps file.
  11. Russian Options for a Difussion with Negative Jumps. Ernesto Mordecki, Walter Moreira. Publicaciones Matemáticas del Uruguay. Volume 9 (2001) pp. 37-51. Download at Walter Moreira's home page.
  12. Optimal stopping and perpetual options for Lévy processes. . E. Mordecki Finance and Stochastics.. Volume VI (2002) 4, 473-493 Abstract and download
  13. Perpetual Options for Lévy Processes in the Bachelier Model. E. Mordecki. Proceedings of the Steklov Mathematical Institute. Vol. 237 (2002) pp. 256-264. Abstract and download
  14. The distribution of the maximum of a Lévy processes with positive jumps of phase-type . Ernesto Mordecki. Theory of Stochastic Processes, 8(24), 2002, N3-4, pp. 309-316. Abstract and download
  15. Bounds on option prices for semimartingale market models . Alexander A. Gushchin and Ernesto Mordecki. Proceedings of the Steklov Mathematical Institute. Vol. 237 (2002) pp. 80-122 . Abstract and download
  16. Ruin probabilities for Lévy processes with mixed-exponential negative jumps. E. Mordecki. Theory of Probability and its Applications, Volumen 48, 2003, 188-194. Abstract and download
  17. Severov D.N., Mordecki E., Pshennikov V.A. (2004) SST anomaly variability in South-western Atlantic and El Niño/Southern oscillation. Advances in Space Research, 33, 343-347.
  18. Mordecki E, Wschebor M. Approximation of the occupation measure of Lévy processes. C. R. Acad. Sci., Paris, (2005) 340 Série I: 605-610.
  19. A note on Pricing, Duality and Symmetry for Two Dimensional Lévy Processes José Fajardo and and Ernesto Mordecki. From Stochastic Calculus to Mathematical Finance. The Shiryaev Festschrift. Eds: Yu. Kabanov, R. Liptser, J. Stoyanov, pp 249 - 256. Springer (2006) .
  20. Symmetry and Duality in Lévy Markets . José Fajardo and and Ernesto Mordecki. Quantitative Finance, 6 (2006), 219-227. Download pdf file
  21. Ernesto Mordecki and Mario Wschebor (2006). Smoothing the paths and weak approximation of the occupation measure of Lévy processes . Publicaciones Matemáticas del Uruguay, 11, 23-40. Abstract and download
  22. Pricing Derivatives on Two-Dimensional Lévy Processes . José Fajardo and and Ernesto Mordecki. International Journal of Theoretical and Applied Finance, Vol. 9, No. 2 (2006) 185-197 . Download pdf file
  23. Optimal Stopping of Hunt and Lévy Processes . Ernesto Mordecki and Paavo Salminen. Stochastics 79(3-4), 233-251 (2007) Download pdf file
  24. Felipe Cucker and Ernesto Mordecki (2008). Flocking in noisy environments Journal de Matématiques Pures et Appliquées, 89, Issue 3 (2008), 278-296. Download pdf file
  25. E. Mordecki, A. Szepessy, R. Tempone and G. E. Zouraris (2008). Adaptive Weak Approximation of Diffusions with Jumps, SIAM Journal on Numerical Analysis 46, Issue 4, (2008) 1732-1768. Download pdf file
  26. Alan Lewis and Ernesto Mordecki (2008) Wiener-Hopf factorization for Lévy processes having negative jumps with rational transforms Journal of Applied Probability, Vol 45, Nr. 1. (2008), 118-134. Abstract and download
  27. Fajardo, J. and Mordecki, E. (2008). Duality and Symmetry with Time-Changed Lévy processes. Brazilian Review of Econometrics, Vol. 28, Nr. 1, 95-110.
  28. Fajardo, J. and Mordecki, E. (2010). Market symmetry in time-changed Brownian models. Finance Research Letters Vol. 7, Issue 1, 53-59.
  29. Fajardo, J.; Mordecki, E. (2011). Skewness premium with Lévy processes. Quantitative Finance. 30.
  30. Dalmao, F.; Mordecki, E. (2011) Cucker-Smale Flocking Under Hierarchical Leadership and Random Interactions. SIAM Journal on Applied Mathematics, v.: 71 4, p.: 1307-1316. 31. Download pdf file
  31. Aspirot, L.; Mordecki, E.; Rubino, G. (2011). Fluid Limits Applied to Peer to Peer Net- work Analysis. Proceedings: Quantitative Evaluation of Systems (VIII QEST). pp. 13-20, IEEE Computer Society, Aachen.
  32. F. Dalmao, E. Mordecki. (2012) Hierarchical Cucker-Smale model subject to random failure, IEEE Transactions in Automatic Control. Issue 99.

Other preprints

  1. Optimal Stopping, Ruin Probabilities and Prophet Inequalities for Lévy Processes. E. Mordecki. Prepublicaciones de Matemática de la Universidad de la República, 2000/39. Abstract and download
  2. Elementary Proofs on Optimal Stopping. . E. Mordecki. Prepublicaciones de Matemática de la Universidad de la República, 2001/40. Abstract and download
  3. On the number of Knigth's tours . E. Mordecki. Prepublicaciones de Matemática de la Universidad de la República, 2001/40. Abstract and download
  4. A note on "Optimal stopping and perpetual options for Lévy processes." E. Mordecki. Abstract and download
  5. Counting Knight's Tours through the Randomized Warnsdorff Rule . Héctor Cancela and Ernesto Mordecki . August 2006. . Download pdf file
  6. Duality and Derivative Pricing with Lévy Processes . José Fajardo and Ernesto Mordecki. (2003) Preprint . Abstract and download