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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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2
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
Saved in:
3
Ambiguity shifts and the 2007 - 2008 financial crisis
Boyarchenko, Nina
- In:
Journal of monetary economics
59
(
2012
)
5
,
pp. 493-507
Persistent link: https://www.econbiz.de/10009622320
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4
Comment on "Central bank policy and the concentration of risk : empirical estimates" by Nuno Coimbra, Daisoon Kim and Hélène Rey
Boyarchenko, Nina
- In:
Journal of monetary economics
125
(
2022
),
pp. 199-201
Persistent link: https://www.econbiz.de/10013350620
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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
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6
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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7
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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8
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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9
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:
10
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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