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Search: person:"Levendorskij, Sergej Z."
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Optionspreistheorie
22
Option pricing theory
21
Stochastischer Prozess
18
Stochastic process
15
Theorie
11
Theory
11
Option trading
6
Optionsgeschäft
6
Real options analysis
6
Realoptionsansatz
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Wiener-Hopf factorization
5
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Decision under uncertainty
4
Entscheidung unter Unsicherheit
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Lévy processes
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Search theory
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barrier options
4
Black-Scholes-Modell
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Economy of time
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Entscheidung bei Unsicherheit
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Fourier transform
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Near money
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credit default swaps
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parabolic inverse Laplace transform
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English
37
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Levendorskij, Sergej Z.
37
Bojarčenko, Svetlana I.
20
Boyarchenko, Mitya
2
Boyarchenko, Nina
2
Agapov, Stanislav
1
Barndorff-Nielsen, Ole E.
1
Boyarchenko, S. I.
1
Cui, Zhenyu
1
Innocentis, Marco de
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Kudryavtsev, Oleg
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Kyrkby, J. Lars
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Centre for Analytical Finance <Århus>
2
Spectral and Cubature Methods in Finance and Econometrics, an Interdisciplinary International Research Workshop <2009, Leicester>
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William Davidson Institute <Ann Arbor, Mich.>
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International journal of theoretical and applied finance
13
Mathematical finance : an international journal of mathematics, statistics and financial theory
4
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3
Applied mathematical finance
2
Journal of mathematical economics
2
Studies in economic theory
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Models of investment under uncertainty when shocks are non-Gaussian
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Studies in Economic Theory
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ECONIS (ZBW)
35
USB Cologne (EcoSocSci)
2
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1
Sinh-acceleration for B-spline projection with option pricing applications
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
; …
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-50
Persistent link: https://www.econbiz.de/10012887408
Saved in:
2
Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-49
Persistent link: https://www.econbiz.de/10012019776
Saved in:
3
Ultra-fast pricing barrier options and CDSs
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011734044
Saved in:
4
Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 1089-1123
Persistent link: https://www.econbiz.de/10011765022
Saved in:
5
Pitfalls of the fourier transform method in affine models, and remedies
Levendorskij, Sergej Z.
- In:
Applied mathematical finance
23
(
2016
)
1/2
,
pp. 81-134
Persistent link: https://www.econbiz.de/10011546994
Saved in:
6
Method of paired contours and pricing barrier options and CDSs of long maturities
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
17
(
2014
)
5
,
pp. 1-58
Persistent link: https://www.econbiz.de/10010437194
Saved in:
7
Preemption games under Lévy uncertainty
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
Games and economic behavior
88
(
2014
),
pp. 354-380
Persistent link: https://www.econbiz.de/10011292563
Saved in:
8
Efficient Laplace inversion, Wiener-Hopf factorization and pricing lookbacks
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
16
(
2013
)
3
,
pp. 1-40
Persistent link: https://www.econbiz.de/10009756073
Saved in:
9
American options in the Heston model with stochastic interest rate and its generalizations
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
Applied mathematical finance
20
(
2013
)
1/2
,
pp. 26-49
Persistent link: https://www.econbiz.de/10009737181
Saved in:
10
Valuation of continuously monitored double barrier options and related securities
Boyarchenko, Mitya
;
Levendorskij, Sergej Z.
- In:
Mathematical finance : an international journal of …
22
(
2012
)
3
,
pp. 419-444
Persistent link: https://www.econbiz.de/10009613187
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