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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
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Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
Boyarchenko, Mitya; Innocentis, Marco de; Levendorskij, … - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1045-1090
Persistent link: https://www.econbiz.de/10009407673
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Special issue on spectral methods in finance
Levendorskij, Sergej Z. (contributor) - Spectral and Cubature Methods in Finance and … - 2011
Persistent link: https://www.econbiz.de/10009407692
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Preface: Spectral and cubature methods in finance and econometrics : an Interdisciplinary International Research Workshop University of Leicester, United Kingdom, 18 - 20 June 2009
Levendorskij, Sergej Z.; Mijatovi´c, Aleksandar; … - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 5-7
Persistent link: https://www.econbiz.de/10009408859
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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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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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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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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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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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Pseudodiffusions and quadratic term structure models
Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 15 (2005) 3, pp. 393-424
Persistent link: https://www.econbiz.de/10002983089