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The eigenfunction expansion method in multi-factor quadratic term structure models
Boyarchenko, Nina; Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 17 (2007) 4, pp. 503-539
Persistent link: https://www.econbiz.de/10003626604
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On errors and bias of Fourier transform methods in quadratic term structure models
Boyarchenko, Nina; Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 10 (2007) 2, pp. 273-306
Persistent link: https://www.econbiz.de/10003441974
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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
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Efficient pricing and reliable calibration in the Heston model
Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-44
Persistent link: https://www.econbiz.de/10009685887
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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
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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
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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
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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
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Search-money-and-barter models of financial stabilization
Boyarchenko, S. I. (contributor);  … - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001649816
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Pricing of the American put under Lévy processes
Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 7 (2004) 3, pp. 303-335
Persistent link: https://www.econbiz.de/10002111463