Russian and American put options under exponential phase-type Lévy models S Asmussen, F Avram, MR Pistorius Stochastic Processes and their Applications 109 (1), 79-111, 2004 | 417 | 2004 |
On the optimal dividend problem for a spectrally negative Lévy process F Avram, Z Palmowski, MR Pistorius | 318 | 2007 |
Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options F Avram, AE Kyprianou, MR Pistorius The Annals of Applied Probability 14 (1), 215-238, 2004 | 309 | 2004 |
On bilinear forms in Gaussian random variables and Toeplitz matrices F Avram Probability Theory and Related Fields 79 (1), 37-45, 1988 | 242 | 1988 |
Noncentral limit theorems and Appell polynomials F Avram, MS Taqqu The Annals of Probability, 767-775, 1987 | 212 | 1987 |
Erlangian approximations for finite-horizon ruin probabilities S Asmussen, F Avram, M Usabel ASTIN Bulletin: The Journal of the IAA 32 (2), 267-281, 2002 | 156 | 2002 |
Weak Convergence of Sums of Moving Averages in the -Stable Domain of Attraction F Avram, MS Taqqu The Annals of Probability 20 (1), 483-503, 1992 | 142 | 1992 |
Fluid models of sequencing problems in open queueing networks; an optimal control approach F Avram, D Bertsimas, M Ricard Institute for Mathematics and its Applications 71, 199, 1995 | 129 | 1995 |
On central limit theorems in geometrical probability F Avram, D Bertsimas The Annals of Applied Probability 3 (4), 1033-1046, 1993 | 128 | 1993 |
A two-dimensional ruin problem on the positive quadrant F Avram, Z Palmowski, M Pistorius Insurance: Mathematics and Economics 42 (1), 227-234, 2008 | 114 | 2008 |
The minimum spanning tree constant in geometrical probability and under the independent model: a unified approach F Avram, D Bertsimas The Annals of Applied Probability, 113-130, 1992 | 92 | 1992 |
Exit problem of a two-dimensional risk process from the quadrant: exact and asymptotic results F Avram, Z Palmowski, MR Pistorius | 90 | 2008 |
On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts F Avram, T Chan, M Usabel Stochastic Processes and their applications 100 (1-2), 75-107, 2002 | 69 | 2002 |
Phase-type approximations to finite-time ruin probabilities in the Sparre-Andersen and stationary renewal risk models DA Stanford, F Avram, AL Badescu, L Breuer, ADS Soares, G Latouche ASTIN Bulletin: The Journal of the IAA 35 (1), 131-144, 2005 | 68 | 2005 |
On Gerber–Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function F Avram, Z Palmowski, MR Pistorius | 67 | 2015 |
Weak convergence of moving averages with infinite variance F Avram, MS Taqqu Dependence in Probability and Statistics: A Survey of Recent Results, 399-415, 1986 | 61 | 1986 |
On a Szegö type limit theorem, the Hölder-Young-Brascamp-Lieb inequality, and the asymptotic theory of integrals and quadratic forms of stationary fields F Avram, N Leonenko, L Sakhno ESAIM: Probability and Statistics 14, 210-255, 2010 | 50 | 2010 |
Explicit solutions for variational problems in the quadrant F Avram, JG Dai, JJ Hasenbein Queueing Systems 37, 259-289, 2001 | 48 | 2001 |
Spectrally negative Lévy processes with Parisian reflection below and classical reflection above F Avram, JL Pérez, K Yamazaki Stochastic Processes and their Applications 128 (1), 255-290, 2018 | 36 | 2018 |
Ruin probabilities and deficit for the renewal risk model with phase-type interarrival times F Avram, M Usabel ASTIN Bulletin: The Journal of the IAA 34 (2), 315-332, 2004 | 36 | 2004 |