Victoria Steblovskaya

Victoria Steblovskaya

  • Professor, Mathematical Sciences
  • Ph.D. in Probability Theory and Mathematical Statistics, 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

  • Summer Research Grant, Bentley University
  • Bentley Research Council (BRC) Grant, Bentley University
  • Hausdorff Institute of Mathematics short term research grant, Hausdorff Institute of Mathematics, Bonn, Germany
  • Summer Research Grant, Bentley University
  • Alexander von Humboldt Fellowship Resumption, Alexander von Humboldt Foundation
  • Deans' Fund Grant for International Travel, Bentley University
  • Summer Research Grant, Bentley University
  • Dean's Fund Grant for International Travel, Bentley University
  • Hausdorff Institute of Mathematics short term research grant, Hausdorff Institute of Mathematics, Bonn, Germany
  • Dean's Fund Grant for International Travel, Bentley University
  • Hausdorff Institute of Mathematics short term research grant, Hausdorff Institute of Mathematics, Bonn, Germany
  • Summer Reseach Grant, Bentley University
  • Dean's Fund Grant for International Travel, Bentley University
  • Hausdorff Institute of Mathematics short term research grant, Hausdorff Institute of Mathematics, Bonn, Germany
  • Summer Reseach Grant, Bentley University
  • Centre Interfacultaire Bernoulli (CIB) short term researh grant, Centre Interfacultaire Bernoulli (CIB) - EPFL, Lausanne, Switzerland
  • Dean's Fund Grant for International Travel, Bentley
  • Alexander von Humboldt Fellowship Resumption, Alexander von Humboldt Foundation
  • Bentley University Summer Research Grant, Bentley
  • Hausdorff Institute of Mathematics short term research grant, Hausdorff Institute of Mathematics
  • Bentley University Summer Research Grant, Bentley University
  • Dean's Fund Grant for International Travel, Bentley University
  • Hausdorff Institute of Mathematics short term research grant, Hausdorff Institute of Mathematics, Bonn, Germany
  • Bentley University Summer Research Grant, Bentley University
  • Alexander von Humboldt Fellowship resumption, Alexander von Humboldt Foundation, Germany
  • Deans’ Fund for International Travel Grant, Bentley University
  • Hausdorff Institute of Mathematics short term research grant, Hausdorff Institute of Mathematics, Bonn, Germany
  • Summer Research Grant, Bentley University
  • Outstanding Scholarly Contribution Award, Bentley University
  • Alexander von Humboldt Fellowship, Alexander von Humboldt Foundation

    • Scholarly Contributions and Creative Productions

    Journal Articles

  • Bai, Z., Pachamanova, D., Steblovskaya, V. R., Wallbaum, K. (2025). Target Volatility Strategies: Optimal Rebalancing Boundary for Transaction Cost Minimization. Financial Markets and Portfolio Management
  • Kedra, J., Libman, A., Steblovskaya, V. R. (2025). Minimum Cost Super-Hedging in a Discrete Time Multi-Asset Binomial Market Model. Theory of Probability and Mathematical Statistics, (112 (2025)) 85-97.
  • Bai, ., Steblovskaya, V. R., Wallbaum, . (2023). Improving Retirement Coverage Durability with Target Volatility Strategy for Changing Interest Rate Environment. Asia-Pacific Journal of Financial Studies, (23-Dec) 30 pages.
  • Kedra, J., Libman, A., Steblovskaya, V. R. (2023). Pricing Multi-Asset Contingent Claims in a Multi-Dimensional Binomial Market. Journal of Stochastic Analysis Vol. 4: No. 1 (Link)
  • 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
  • Steblovskaya, V. R., Albeverio, S., Wallbaum, K. (2019). The Volatility Target Effect in Investment-Linked Products with Embedded American-Type Derivatives. Investment Management and Financial Innovations, (16(3), 2019) 18-28.
  • Steblovskaya, V. R., Albeverio, S. (2019). Asymptotics of Gaussian Integrals in Infinite Dimensions. Infinite Dimensional Analysis, Quantum Probability and Related Topics, (Vol. 22) No. 1 (2019) 1950004 28 pages.
  • 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., 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 28-Mar.
  • 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.
  • 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 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. (1996). On infinite-dimensional variational problems. Stochastic Analysis and Applications, (14) 1 47-71.
  • 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.

    • Book Chapters

  • Daletskii, Y., Steblovskaya, V. R. (2000). Measures with smooth finite-dimensional projections . Ukraine: Institute of Mathematics, Nat. Acad. Sci
  • Dalecky, Y., Steblovskaya, V. R. (1992). Smooth measure . Holland: Kluwer Acad. Publ

    • Presentations

  • Bai, Z., Pachamanova, D., Steblovskaya, V., Wallbaum, K. (2025). “Target Volatility Strategy: Optimal Rebalancing Boundary for Transaction Cost Minimization” Presented at the Monash University Business School, Australia The 8th Symposium on Quantitative Finance and Risk Analysis (QFRA 2024) Corfu, Greece
  • Steblovskaya, V. R. (2023). “Pricing and Hedging European Basket Options in a Multi-Dimensional Binomial Incomplete Market” Presented at the Monash University Business School, Australia The 6th Symposium on Quantitative Finance and Risk Analysis QFRA 2023 Crete, Greece
  • 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

    • Service

    Service: Department

  • Committee Member for Scholarly Activities Committee - Present
  • Task Force Member for Quantitative Finance Major Task Force 2024-09-01 - Present
  • Committee Chair for Departmental Search Committee 2024-09-01 - 2024-12-31
  • Task Force Member for Task Force to increase enrollment in Math courses. 2024-09-01 - Present
  • Committee Member for Departmental Search Committee 2022-09-01 - 2023-03-31
  • Committee Chair for Departmental Ph.D. Committee 2021-01-01 - Present
  • Committee Chair for Departmental Search Committee 2018-07-01 - 2019-02-28
  • Committee Chair for Ph.D. in Business Analytics Task Force 2016-09-01 - 2021-12-31
  • Committee Chair for Scholarly Activities Committee 2015-09-01 - Present
  • Committee Chair for Departmental Search Committee 2014-09-01 - 2015-05-31
  • Committee Chair for Departmental Scholarly Activities Committee 2014-01-01 - 2014-08-31
  • Committee Chair for Scholarly Activities Committee 2013-09-01 - 2013-12-31
  • Committee Member for Scholarly Activities Committee 2013-01-01 - 2013-08-31
  • Committee Member for Scholarly Activities Committee 2012-09-01 - 2012-12-31
  • Committee Chair for Search Committee 2011-08-01 - 2012-03-31
  • Committee Chair for Search Committee 2011-08-01 - 2011-12-31

    • Service: Professional

  • Committee Member for Management Chair Committee of the Quantitative Finance and Risk Analysis (QFRA) international conference - Present

    • Service: Ph.D. Advising

  • Committee Member 2024/02 - 2025/01
  • Supervisor 2023/01 - Present
  • Supervisor 2017/01 - 2021/02
  • Supervisor 2015/01 - 2019/03

    • Service: University

  • Committee Member for Ph.D. Council 2021-07-01 - Present
  • Committee Member for Research Council 2012-09-01 - 2015-06-30