Oleg Kudryavtsev
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List of research outcomes
This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!
| Publication | Date of Publication | Type |
|---|---|---|
| Numerical methods for computing risk measures of variable annuities under exponential Lévy models Insurance Mathematics & Economics | 2025-11-25 | Paper |
| Fast calculation of integral convolution operators in problems of evaluating options in Lévy's models Computational Mathematics and Mathematical Physics | 2025-01-13 | Paper |
| Universal Monte Carlo method for Lévy processes and their extrema Vestnik Rossiĭskikh Universitetov. Matematika | 2024-11-28 | Paper |
| Monte Carlo method for pricing lookback type options in Lévy models Theory of Probability and its Applications | 2024-08-19 | Paper |
| A simplified Wiener-Hopf factorization method for pricing double barrier options under Lévy processes Computational Management Science | 2024-06-11 | Paper |
Research outcomes over time
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