Nataliya Shchestyuk

Articles in journals

• Leonenko, N. N. , Liu, A. & Shchestyuk, N. (2025). Student Models for a Risky Asset with Dependence: Option Pricing and Greeks.  Austrian Journal of Statistics. [BibTeX]
• Boichenko, V. , Shchestyuk, N. & Florenko, A. (2023). Interpolation problems for random fields on Sierpinski’s carpet.  Mohyla Mathematical Journal, 6, 28-34. [BibTeX]
• Leonenko, N. N. , Liu, A. & Shchestyuk, N. (2023). SupOU-based and Related Fractal Activity Time Models for Risky Assets with Dependence.  Methodology and Computing in Applied Probability. [BibTeX]
• Pauk, V. , Petrenko, O. & Shchestyuk, N. (2022). Two Approaches for Option Pricing under Illiquidity.  Mohyla Mathematical Journal, 5, 38-45. [BibTeX]
• Shchestyuk, N. & Tyshchenko, O. (2021). Monte-Carlo method for option pricing in sub-diffusive arithmetic models.  Bulletin of Taras Shevchenko National University of Kyiv (2), 85-95. [BibTeX]
• Solomanchuk, G. & Shchestyuk, N. (2021). Risk Modelling Approaches for Student-like Models with Fractal Activity Time.  Mohyla Mathematical Journal, 4, 28-33. [BibTeX]
• Boluh, K. & Shchestyuk, N. (2020). Simulating Stochastic Diffusion Processes and Processes with “Market” Time.  Mohyla Mathematical Journal, 3, 25-30. [BibTeX]
• Castelli, F. , Leonenko, N. N. & Shchestyuk, N. (2017). Student-like models for risky asset with dependence.  Stochastic Analysis and Applications, 35 (3), 452-464. [BibTeX]
• Nazarenko, Y. & Shchestyuk, N. (2017). Безризиковий портфель для FAT моделі Стьюдент-типу для ризикових базових активів: [The riskless portfolio for the Student-like fractal activity time model for a risky asset with dependence].  Наукові записки НаУКМА. Фізико-математичні науки, 201, 12-17. [BibTeX]
• Moklyachuk, M. , Shchestyuk, N. & Florenko, A. S. (2016). Interpolation problems for random fields from observations in perforated plane.  Mathematical and computer modelling. Series: Technical sciences, 14, 83-97. [BibTeX]
• Shchestyuk, N. (2014). Ocinka spravedlyvoi ciny opcioniv v modifikacijah modeli Hejdy-Leonenka: [Evaluating of Fair Price of Options in modifications of Heyde-Leonenko models: Mathematical and computer modelling].  Математичне та комп'ютерне моделювання. Сер.: Фізико-математичні науки, 11, 223-236. [BibTeX]
• Shchestyuk, N. & Farfur, A. (2013). The Fair Price of European Options for Inverse Gamma Diffusion Pricing Models.  Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics, 139, 30-33. [BibTeX]
• Shchestyuk, N. (2012). Inverse Gamma Diffusions Pricing Models.  Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics, 113, 23-27. [BibTeX]
• Moklyachuk, M. & Shchestyuk, N. (2003). Extrapolation of random fields observed with noise.  Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics (4), 12-17. [BibTeX]
• Moklyachuk, M. & Shchestyuk, N. (2003). On robust estimates of random fields.  Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics, 32-41. [BibTeX]
• Moklyachuk, M. & Shchestyuk, N. (2003). Robust estimates of functionals of homogeneous random fields.  Teoriâ slučajnyh processov : Theory of Stochastic Processes, 9 (3-4), 101-113. [BibTeX]
• Moklyachuk, M. & Shchestyuk, N. (2002). On the filtering problem for random fields.  Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics (5), 116-125. [BibTeX]

Chapters in books

• Shchestyuk, N. & Tyshchenko, S. (2022). Option Pricing and Stochastic Optimization. In: Anatoliy Malyarenko; Ying Ni; Milica Rančić; Sergei Silvestrov, Stochastic Processes, Statistical Methods, and Engineering Mathematics: SPAS 2019, Västerås, Sweden, September 30-October 2 (pp. 651-665). . Springer. [BibTeX]

Conference papers

• Drin, S. & Shchestyuk, N. (2024). Forecast Model of the Price of a Product with a Cold Start. In: Marco Corazza; Frédéric Gannon; Florence Legros; Claudio Pizzi; Vincent Touzé,  Mathematical and Statistical Methods for Actuarial Sciences and Finance, MAF2024 Conference proceedings. Paper presented at International Conference of the Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF 2024), Le Havre, France, April 4-6, 2024. (pp. 154-159). Springer. [BibTeX]
• Shchestyuk, N. , Drin, S. & Tyshchenko, S. (2024). Risk Evaluating for Subdiffusive Option Price Model with Gamma Subordinator. In: Marco Corazza; Frédéric Gannon; Florence Legros; Claudio Pizzi; Vincent Touzé,  Mathematical and Statistical Methods for Actuarial Sciences and Finance, MAF2024 Conference proceedings. Paper presented at International Conference of the Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF 2024), Le Havre, France, April 4-6, 2024. (pp. 286-291). Springer. [BibTeX]
• Shchestyuk, N. & Tyshchenko, S. (2023). A PHYSICAL SUB-DIFFUSION APPROACH FOR ILLIQUID MARKETS. In: Paula Ortega Perals,  Dynamics of Socio Economic Systems DySES 2023. Paper presented at DySES 2023 (Dynamics of Socio Economic Systems), University of Almeria, Spain, October 17-20, 2023. (pp. 18-18). Universidad de Almería. [BibTeX]
• Shchestyuk, N. , Mazur, S. , Podolskiy, M. & Javed, F. (2023). Parameter estimation for time changed  fractional Brownian motion. Paper presented at 29th Nordic Conference in Mathematical Statistics (NORDSTAT 2023), Gothenburg, Sweden, June 19-22, 2023. [BibTeX]
• Shchestyuk, N. (2023). Subdiffusive option price model with Inverse Gaussian subordinator. Paper presented at 24th Workshop on Quantitative Finance (QFW2023), Gaeta, Italy, April 20-22, 2023. [BibTeX]
• Moklyachuk, M. , Florenko, A. & Shchestyuk, N. (2018). Interpolation problems for correlated random fields from observations in perforated plane. In: Olexander Nakonechnyi; Jaroslav Michálek; Jiří Neubauer; Maria Loseva,  XXXII International Conference PDMU-2018 Proceedings. Paper presented at XXXII International Conference PDMU, Prague, Czech Republic, August 27–31, 2018. (pp. 71-80). Taras Shevchenko National University of Kyiv, Ukraine / University of Defence, Czech Republic. [BibTeX]

Manuscripts

• Shchestyuk, N. & Tyshchenko, S. Subdiffusive option price model with Inverse Gaussian subordinator : working paper. [BibTeX]