Pitfalls of the Fourier Transform Method in Affine Models, and Remedies (Q4682701): Difference between revisions

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-Sergei Levendorskii
@@ Property / author: Sergei Levendorskii / rank @@
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@@ Property / author: Sergei Levendorskii / rank @@
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+Moment explosions in stochastic volatility models
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+PRICES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS, NEAR BARRIER
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+Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method
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+ON ERRORS AND BIAS OF FOURIER TRANSFORM METHODS IN QUADRATIC TERM STRUCTURE MODELS
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+EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS
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+QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES
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+LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
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+A NOTE ON THE DAI-SINGLETON CANONICAL REPRESENTATION OF AFFINE TERM STRUCTURE MODELS*
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+Affine processes and applications in finance
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+PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
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+MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS
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+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
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+The Accurate Numerical Inversion of Laplace Transforms
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/1350486x.2016.1159918
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+W3124063987
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+Publication:4682701