Victoria Steblovskaya

  • Professor, Mathematical Sciences
  • Ph.D. Kiev State University

Teaching Interests

Financial Calculus and Derivative Pricing;
Continuous Probability for Risk Management;
Actuarial Topics in Probability and Risk Management; Mathematics of Investment and Financial Markets

Research Interests

Mathematics of Finance: continuous and discrete models of financial markets, insurance applications;
Infinite dimensional analysis, stochastic analysis;
Calculus of variations in infinite dimensions;
Laplace's method and the method of stationary phase in infinite dimensions

Bio

Teaches basic required Math courses as well as a wide variety of Math electives such as Continuous Probability for Risk Management, Financial Calculus and Derivative Pricing, Mathematics of Investment and Financial Markets. Interests include discrete and continuous financial market modeling, infinite dimensional analysis, stochastic analysis. Has presented numerous conference papers. Spent 1996 to 1998 as the Alexander von Humboldt Fellow at Universitat Bonn and Ruhr-Universitat Bochum, both in Germany. Before that, spent six years as an associate professor and four years as an assistant professor at the Kiev Polytechnic Institute in Ukraine.

Awards and Honors

  • 2020, Summer Research Grant, Bentley University
  • 2019, Bentley Research Council (BRC) Grant, Bentley University
  • 2019, Hausdorff Institute of Mathematics short term research grant, Hausdorff Institute of Mathematics, Bonn, Germany
  • 2019, Summer Research Grant, Bentley University
  • 2018, Alexander von Humboldt Fellowship Resumption, Alexander von Humboldt Foundation
  • 2018, Deans' Fund Grant for International Travel, Bentley University
  • 2018, Summer Research Grant, Bentley University
  • 2017, Dean's Fund Grant for International Travel, Bentley University
  • 2017, Hausdorff Institute of Mathematics short term research grant, Hausdorff Institute of Mathematics, Bonn, Germany
  • 2016, Dean's Fund Grant for International Travel, Bentley University
  • 2016, Hausdorff Institute of Mathematics short term research grant, Hausdorff Institute of Mathematics, Bonn, Germany
  • 2016, Summer Reseach Grant, Bentley University
  • 2015, Dean's Fund Grant for International Travel, Bentley University
  • 2015, Hausdorff Institute of Mathematics short term research grant, Hausdorff Institute of Mathematics, Bonn, Germany
  • 2015, Summer Reseach Grant, Bentley University
  • 2015, Centre Interfacultaire Bernoulli (CIB) short term researh grant, Centre Interfacultaire Bernoulli (CIB) - EPFL, Lausanne, Switzerland
  • 2014, Dean's Fund Grant for International Travel, Bentley
  • 2014, Alexander von Humboldt Fellowship Resumption, Alexander von Humboldt Foundation
  • 2014, Bentley University Summer Research Grant, Bentley
  • 2013, Hausdorff Institute of Mathematics short term research grant, Hausdorff Institute of Mathematics
  • 2013, Bentley University Summer Research Grant, Bentley University
  • 2012, Dean's Fund Grant for International Travel, Bentley University
  • 2012, Hausdorff Institute of Mathematics short term research grant, Hausdorff Institute of Mathematics, Bonn, Germany
  • 2012, Bentley University Summer Research Grant, Bentley University
  • 2011, Alexander von Humboldt Fellowship resumption, Alexander von Humboldt Foundation, Germany
  • 2010, Deans’ Fund for International Travel Grant, Bentley University
  • 2010, Hausdorff Institute of Mathematics short term research grant, Hausdorff Institute of Mathematics, Bonn, Germany
  • 2010, Summer Research Grant, Bentley University
  • 2009, Outstanding Scholarly Contribution Award, Bentley University
  • 1996, Alexander von Humboldt Fellowship, Alexander von Humboldt Foundation
  • Publications

    Journal Articles


  • Steblovskaya, V. R., Biedova, O. (2020). Multiplier Optimization for Constant Proportion Portfolio Insurance (CPPI) Strategy. The International Journal of Theoretical and Applied Finance, (23) 2 22.
  • Biedova, O., Steblovskaya, V. R. (2020). Multiplier Optimization for Constant Proportion Portfolio Insurance (CPPI) Strategy. International Journal of Theoretical and Applied Finance.
  • Albeverio, S., Steblovskaya, V. R., Wallbaum, K. (2017). The Volatility Target Effect in Structured Investment Products with Capital Protection. Review of Derivatives Research.
  • Kimball, L., Josephy, N., Steblovskaya, V. (2017). On The Numerical Aspects Of Optimal Option Hedging With Transaction Costs. International Journal of Theoretical and Applied Finance, (20) 1 1750002 (22 pages). (Link)
  • Steblovskaya, V. R., Josephy, N. H., Kimball, L. M. (2015). Optimal Hedging in an Extended Binomial Market under Transaction Costs. Quantitative Finance, (16) 5, May 2016 763-776.
  • Albeverio, S., Steblovskaya, V. R., Wallbaum, K. (2013). Investment Instruments with Volatility Target Mechanism. Quantitative Finance, (13) 10 1519-1528. (Link)
  • Josephy, N. H., Kimball, L. M., Steblovskaya, V. R. (2013). Alternative Hedging in a Discrete Time Incomplete Market. Journal of Risk.
  • Josephy, N. H., Kimball, L. M., Steblovskaya, V. R. (2011). Optimal Hedging and Pricing of Equity-Linked Life Insurance Products in a Discrete Time Incomplete Market. Journal of Probability and Statistics, (2011) 23 pages. (Link)
  • Albeverio, S., Steblovskaya, V. R., Wallbaum, K. (2009). Valuation of Equity-Linked Life Insurance Contracts Using a Model with Interacting Assets. Stochastic Analysis and Applications, (27) 5 1077-1095.
  • Josephy, N. H., Kimball, L. M., Steblovskaya, V. R. (2008). A Time-Series Approach to Non-Self-Financing Hedging in a Discrete-Time Incomplete Market. Journal of Applied Mathematics and Stochastic Analysis, (2008) (Link)
  • Josephy, N. H., Kimball, L. M., Steblovskaya, V. R. (2008). Optimal Hedging of Path Dependent Options in a Discrete Time Incomplete Market. Communications on Stochastic Analysis, (2) 3 385-404.
  • Josephy, N. H., Kimball, L. M., Steblovskaya, V. R., Nagaev, A., Pasniewski, M. (2007). An algorithmic approach to non-self-financinghedging in a discrete-time incomplete market. Discrete Mathematics and Applications, (17) 2 189-207.
  • Albeverio, S., Schmitz, M., Steblovskaya, V. R., Wallbaum, K. (2006). Poisson Processes in a Model with Interacting Assets. Stochastic Analysis and Applications, (24) 1 241-261.
  • Albeverio, S., Popovici, A., Steblovskaya, V. R. (2006). Numerical analysis of the extended Black-Scholes model. The International Journal of Theoretical and Applied Finance, (9) 1 69-89.
  • Nagaev, A., Steblovskaya, V. R. (2006). On a two dimensional binary model of a financial market and its extension. Discrete Mathematics and Applications, (18) 2 3-28.
  • Steblovskaya, V. R. (2004). Finite dimensional images of smooth measures. Methods of Functional Analysis and Topology, (10) 3 64-76.
  • Albeverio, S., Steblovskaya, V. R. (2002). A model of financial market with several interacting assets. Complete market case. Finance and Stochastics, (6) 383-396.
  • Albeverio, S., Steblovskaya, V. R. (2002). Financial market with interacting assets, pricing barrier options. Proceedings of the Steklov Institute of Mathematics, (237) 164-175.
  • Albeverio, S., Roeckle, H., Steblovskaya, V. R. (2000). Asymptotic expansions for Ornstein-Uhlenbeck semigroups over Banach space perturbed by a potential. Stochastics and Stochastics Reports, (69) 195-238.
  • Albeverio, S., Steblovskaya, V. R. (1999). Asymptotics of infinite dimensional integrals with respect to smooth measures I. Infinite Dimensional Analysis, Quantum Probability and Related Topics, (4) 2 529-556.
  • Nualart, D., Steblovskaya, V. R. (1999). Asymptotics of oscillatory integrals with quadratic phase function on Wiener space. Stochastics and Stochastics Reports, (66) 293-309.
  • Daletskii, Y., Steblovskaya, V. R. (1998). On transformations of smooth measure related to parabolic and hyperbolic differential equations in infinite dimensions. Stochastic Analysis and Applications, (16) 5 989-1007.
  • Daletskii, Y., Steblovskaya, V. R. (1996). On infinite-dimensional variational problems. Stochastic Analysis and Applications, (14) 1 47-71.
  • Daletskii, Y., Steblovskaya, V. R. (1996). On absolutely continuous and invariant evolution of smooth measure in Hilbert space. Comptes Rendus de l'Academie des Sciences, (323) 1 823-827.
  • DaletskiI, Y., Steblovskaya, V. R. (1995). Some problems of calculus of variations in infinite dimensions. Operator theory: Advances and Applications, (78) 77-88.
  • Steblovskaya, V. R. (1989). Smoothness of finite dimensional images of measure. Ukrainian Mathematical Journal, (41) 2 261-265.
  • Steblovskaya, V. R., Albeverio, S. (). Asymptotics of Gaussian Integrals in Infinite Dimensions. Infinite Dimensional Analysis, Quantum Probability and Related Topics, (Vol. 22) No. 1 (2019) 1950004 28 pages.
  • Steblovskaya, V. R., Albeverio, S., Wallbaum, K. (). The Volatility Target Effect in Investment-Linked Products with Embedded American-Type Derivatives. Investment Management and Financial Innovations, (16(3), 2019) 18-28.

    Book Chapters


  • Daletskii, Y., Steblovskaya, V. R. (2000). Measures with smooth finite-dimensional projections In Koroliuk, V.S, Portenko, N.I, Syta, H, (Eds.) . 132-146. Ukraine: Institute of Mathematics, Nat. Acad. Sci
  • Dalecky, Y., Steblovskaya, V. R. (1992). Smooth measure In , (Eds.) . 283-308. Holland: Kluwer Acad. Publ

  • Presentations

  • Bai, Z., Steblovskaya, V. R., Wallbaum, K. (2021). “Enhancing Retirement Outcomes Using The Target Volatility Investment Strategy” Presented at the Bentley University The 8th Annual Research Showcase Poster Session Waltham, MA, United States
  • Bai, Z., Steblovskaya, V. R., Wallbaum, K. (2021). “Prolonging Retirement Coverage With The Target Volatility Investment Strategy” Presented at the6th Analytics Without Border Conference 2021 Virtual
  • Steblovskaya, V. R., Kedra, J. (2019). “Optimal Hedging in the Multi-Asset Binomial Market” Presented at the Monash University Business School, Australia The 5th Symposium on Quantitative Finance and Risk Analysis (QFRA 2019) Kos, Greece
  • Steblovskaya, V. R., Kedra, J. (2019). “Optimal Hedging in the Multi-Asset Binomial Market” Presented at theThe 9th General AMaMeF (Advanced Mathematical Methods in Finance) Conference Paris, France
  • Biedova, O., Steblovskaya, V. R., Wallbaum, K. (2018). “Volatility Target Portfolio Insurance (VTPI): VolTarget Linked Investment Product with a Guarantee” Presented at the Bentley University Annual Research Showcase Poster Session Bentley University, Waltham, MA
  • Biedova, O., Steblovskaya, V. R., Wallbaum, K. (2018). “Comparison Study of Capital Protection Risk Management Strategies” Presented at the4th Symposium on Quantitative Finance and Risk Analysis (QFRA 2018) Mykonos, Greece
  • Steblovskaya, V. R., Kimball, L. M., Josephy, N. H. (2018). “Optimal Hedging in an Extended Binomial Market with Transaction Costs” Presented at the Monash University Business School, Australia The 4th Symposium on Quantitative Finance and Risk Analysis (QFRA 2018) Mykonos, Greece
  • Steblovskaya, V. R., Kimball, L. M., Josephy, N. H. (2018). “Optimal Hedging in an Extended Binomial Market with Transaction Costs” Presented at the Cardiff University Research seminar at the Mathematics Department of Cardiff University Cardiff, Wales, UK
  • Steblovskaya, V. R. (2018). “Comparison Study of Capital Protection Risk Management Strategies: CPPI versus Volatility Target Based Investment Strategy with a Guarantee” Presented at the Oxford-Man Institute for Quantitative Finance Research workshop at Oxford-Man Institute for Quantitative Finance Oxford, UK
  • Biedova, O., Steblovskaya, V. R., Wallbaum, K. (2018). “Parameter Optimization for Constant Proportion Portfolio Insurance (CPPI) Investment ” Presented at the Bentley University and Bryant University Analytics without Borders Bentley University, Waltham, MA
  • Steblovskaya, V. R. (2017). “Volatility Target Mechanism and Structured Investment Products with Capital Protection” Presented at the University of Amsterdam, Amsterdam, The Netherlands The 8th General AMaMeF (Advanced Mathematical Methods in Finance) Conference Amsterdam, The Netherlands
  • Steblovskaya, V. R. (2017). “Volatility Target Mechanism and Structured Investment Products with Capital Protection” Presented at the University of Liverpool, Liverpool, UK The 3rd Symposium on Quantitative Finance and Risk Analysis (QFRA 2017) Corfu, Greece
  • Steblovskaya, V. R. (2016). “Volatility Target Mechanism and Investment Products with Guarantees” Presented at theSeminar of the Mathematical Sciences Department of Bentley University Bentley University
  • Steblovskaya, V. R., Albeverio, S. (2015). “Asymptotic analysis of infinite dimensional probabilistic integrals” Presented at the Centre Interfacultaire Bernoulli (CIB) - EPFL Semester program "Geometric Mechanics, Variational and Stochastic Methods" Lausanne, Switzerland
  • Steblovskaya, V. R., Albeverio, S. (2014). “Asymptotic Analysis of Probabilistic Integrals in Infinite Dimensions” Presented at the Kansai University International Conference on Stochastic Processes, Analysis and Mathematical Physics Osaka, Japan
  • Steblovskaya, V. R., Josephy, N. H., Kimball, L. M. (2013). “Optimal Hedging under Proportional Transaction Costs” Presented at the American Mathematical Society AMS Eastern Sectional Meeting, special section on Financial Mathematics Boston College, Chestnut Hill, MA
  • Steblovskaya, V. R. (2012). “Asymptotic Analysis of Probabilistic Integrals in Infinite Dimensions” Presented at the Crimean Vernadsky University International Conference Crimean Autumn Mathematical School-Symposium Simferopol, Ukraine
  • Steblovskaya, V. R. (2011). “Investment Instruments with Volatility Targeting” Presented at theSeminar of the Economics Department of Bonn University Bonn, Germany
  • Josephy, N. H., Kimball, L. M., Steblovskaya, V. R. (2006). “Risk Management in Incomplete Markets” Presented at theHawaii International Conference on Statistics, Mathematics and Related Fields Honolulu, Hawaii
  • Kimball, L. M., Josephy, N. H., Steblovskaya, V. R. (2006). “Optimal Hedging in Incomplete Markets” Presented at theSIAM Conference on Financial Mathematics and Engineering Boston, MA
  • Service

    Department Service


  • Committee Chair for Ph.D. in Business Analytics Task Force 2016 - Present
  • Committee Member for Scholarly Activities Committee 2015 - Present
  • Committee Chair for Departmental Search Committee 2018 - 2019
  • Committee Chair for Departmental Search Committee 2014 - 2015
  • Committee Chair for Departmental Scholarly Activities Committee 2014 - 2014
  • Committee Chair for Scholarly Activities Committee 2013 - 2013
  • Committee Member for Scholarly Activities Committee 2013 - 2013
  • Committee Member for Scholarly Activities Committee 2012 - 2012
  • Committee Chair for Search Committee 2011 - 2012
  • Committee Chair for Search Committee 2011 - 2011
  • University Service


  • Committee Member for Research Council 2012 - 2015
  • Professional Service


  • Reviewer, Journal Article for AMS Math Reviews 2015 - Present
  • Reviewer, Journal Article for International Journal of Theoretical and Applied Finance 2015 - Present
  • Reviewer, Journal Article for Stochastics 2011 - 2011
  • Reviewer, Journal Article for International Journal of Stochastic Analysis 2011 - 2011