| Publication | Date of Publication | Type |
|---|
Efficient evaluation of double-barrier options
International Journal of Theoretical and Applied Finance | 2024-11-06 | Paper |
Efficient evaluation of joint pdf of a L\'evy process, its extremum, and hitting time of the extremum
| 2023-12-08 | Paper |
Simulation of a L\'evy process, its extremum, and hitting time of the extremum via characteristic functions
| 2023-12-06 | Paper |
Efficient inverse $Z$-transform: sufficient conditions
| 2023-05-18 | Paper |
Efficient evaluation of double-barrier options and joint cpdf of a L\'evy process and its two extrema
| 2022-10-30 | Paper |
Efficient evaluation of expectations of functions of a stable L\'evy process and its extremum
| 2022-09-25 | Paper |
Efficient evaluation of expectations of functions of a L\'evy process and its extremum
| 2022-07-06 | Paper |
Efficient inverse $Z$-transform and pricing barrier and lookback options with discrete monitoring
| 2022-07-06 | Paper |
L\'evy models amenable to efficient calculations
| 2022-07-05 | Paper |
SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
International Journal of Theoretical and Applied Finance | 2022-03-11 | Paper |
Conformal accelerations method and efficient evaluation of stable distributions
Acta Applicandae Mathematicae | 2021-05-03 | Paper |
Static and semistatic hedging as contrarian or conformist bets
Mathematical Finance | 2021-03-23 | Paper |
Optimal stopping problems in Lévy models with random observations
Acta Applicandae Mathematicae | 2019-11-07 | Paper |
Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
International Journal of Theoretical and Applied Finance | 2019-05-21 | Paper |
Early exercise boundary and option prices in Lévy driven models
Quantitative Finance | 2019-01-15 | Paper |
Feller processes of normal inverse Gaussian type
Quantitative Finance | 2019-01-14 | Paper |
Pricing of perpetual Bermudan options
Quantitative Finance | 2019-01-14 | Paper |
Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method
Quantitative Finance | 2018-09-19 | Paper |
Pitfalls of the Fourier transform method in affine models, and remedies
Applied Mathematical Finance | 2018-09-19 | Paper |
American options in the Heston model with stochastic interest rate and its generalizations
Applied Mathematical Finance | 2018-07-20 | Paper |
Pricing arithmetic Asian options under Lévy models by backward induction in the dual space
SIAM Journal on Financial Mathematics | 2018-04-16 | Paper |
Efficient pricing of barrier options and credit default swaps in Lévy models with stochastic interest rate
Mathematical Finance | 2017-10-24 | Paper |
Ultra-fast pricing barrier options and CDSs
International Journal of Theoretical and Applied Finance | 2017-09-08 | Paper |
Preemption games under Lévy uncertainty
Games and Economic Behavior | 2015-05-19 | Paper |
Pricing discrete barrier options and credit default swaps under Lévy processes
Quantitative Finance | 2015-04-16 | Paper |
Method of paired contours and pricing barrier options and CDSs of long maturities
International Journal of Theoretical and Applied Finance | 2014-09-25 | Paper |
Efficient Laplace inversion, Wiener-Hopf factorization and pricing lookbacks
International Journal of Theoretical and Applied Finance | 2013-07-24 | Paper |
Valuation of continuously monitored double barrier options and related securities
Mathematical Finance | 2013-02-28 | Paper |
Efficient pricing and reliable calibration in the Heston model
International Journal of Theoretical and Applied Finance | 2013-01-16 | Paper |
Consistency conditions for affine term structure models II. Option pricing under diffusions with embdded jumps
Annals of Finance | 2012-03-06 | Paper |
American options: the EPV pricing model
Annals of Finance | 2012-03-05 | Paper |
Optimal stopping in Lévy models for nonmonotone discontinuous payoffs
SIAM Journal on Control and Optimization | 2012-02-11 | Paper |
Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
International Journal of Theoretical and Applied Finance | 2011-12-28 | Paper |
Convergence of price and sensitivities in Carr's randomization approximation globally and near barrier
SIAM Journal on Financial Mathematics | 2011-02-10 | Paper |
American options in regime-switching models
SIAM Journal on Control and Optimization | 2010-06-10 | Paper |
Fast and accurate pricing of barrier options under Lévy processes
Finance and Stochastics | 2010-04-22 | Paper |
American options in Lévy models with stochastic interest rates
The Journal of Computational Finance | 2010-02-08 | Paper |
Prices and sensitivities of barrier and first-touch digital options in Lévy-driven models
International Journal of Theoretical and Applied Finance | 2010-02-05 | Paper |
American and European options in multi-factor jump-diffusion models, near expiry
Finance and Stochastics | 2009-08-08 | Paper |
THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS
Mathematical Finance | 2008-05-22 | Paper |
Exit problems in regime-switching models
Journal of Mathematical Economics | 2008-02-06 | Paper |
Irreversible decisions under uncertainty. Optimal stopping made easy
Studies in Economic Theory | 2007-10-08 | Paper |
Generalizations of the classical Weyl and Colin de Verdière's formulas and the orbit method
Proceedings of the National Academy of Sciences of the United States of America | 2007-06-30 | Paper |
ON ERRORS AND BIAS OF FOURIER TRANSFORM METHODS IN QUADRATIC TERM STRUCTURE MODELS
International Journal of Theoretical and Applied Finance | 2007-06-20 | Paper |
Optimal stopping made easy
Journal of Mathematical Economics | 2007-05-04 | Paper |
Beyond the classical Weyl and Colin de Verdière's formulas for Schrödinger operators with polynomial magnetic and electric fields
Annales de l'Institut Fourier | 2007-04-24 | Paper |
PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES
International Journal of Theoretical and Applied Finance | 2006-09-12 | Paper |
Consistency conditions for affine term structure models.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
PSEUDODIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS
Mathematical Finance | 2005-09-28 | Paper |
PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
International Journal of Theoretical and Applied Finance | 2005-02-28 | Paper |
Barrier options and touch-and-out options under regular Lévy processes of exponential type
The Annals of Applied Probability | 2003-05-06 | Paper |
Spectral asymptotics of the Neumann Laplacian on oscillating horns.
Russian Journal of Mathematical Physics | 2002-09-03 | Paper |
Perpetual American Options Under Lévy Processes
SIAM Journal on Control and Optimization | 2002-06-23 | Paper |
scientific article; zbMATH DE number 1742902 (Why is no real title available?)
| 2002-05-21 | Paper |
On the structure of spectra of periodic elliptic operators
Transactions of the American Mathematical Society | 2001-12-10 | Paper |
scientific article; zbMATH DE number 1642338 (Why is no real title available?)
| 2001-11-18 | Paper |
scientific article; zbMATH DE number 1552003 (Why is no real title available?)
| 2001-07-22 | Paper |
OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
International Journal of Theoretical and Applied Finance | 2001-07-05 | Paper |
The Floquet theory for the Schrödinger operator with a perturbed periodic potential and precise spectral asymptotics.
Doklady Mathematics | 2001-02-13 | Paper |
Spectral asymptotics of Laplacians on horns: The case of a rapidly growing counting function
Functional Analysis and Its Applications | 1999-10-14 | Paper |
Asymptotic formulae with remainder estimates for eigenvalue branches of the Schrödinger operator $H - \lambda W$ in a gap of $H$
Transactions of the American Mathematical Society | 1999-01-27 | Paper |
An asymptotic formula for the number of eigenvalue branches of a divergence form operator A+λB in a spectral gap of A
Communications in Partial Differential Equations | 1998-10-27 | Paper |
scientific article; zbMATH DE number 1185517 (Why is no real title available?)
| 1998-08-09 | Paper |
Spectral asymptotics with a remainder estimate of the Neumann Laplacian on horns: the case of the rapidly growing counting function
Proceedings of the Royal Society of Edinburgh: Section A Mathematics | 1998-05-04 | Paper |
Spectral properties of Schrödinger operators with irregular magnetic potentials, for a \(\text{spin }\frac{1}{2}\) particle
Journal of Mathematical Analysis and Applications | 1998-03-03 | Paper |
Magnetic Floquet theory and spectral asymptotics for Schrödinger operators
Functional Analysis and Its Applications | 1997-11-05 | Paper |
Precise spectral asymptotics for perturbed magnetic Schrödinger operator
Journal de Mathématiques Pures et Appliquées. Neuvième Série | 1997-07-27 | Paper |
The asymptotics for the number of eigenvalue branches for the magnetic Schrödinger operator \(H-\lambda W\) in a gap of \(H\)
Mathematische Zeitschrift | 1997-07-03 | Paper |
Spectral asymptotics with a remainder estimate for Schrödinger operators with slowly growing potentials
Proceedings of the Royal Society of Edinburgh: Section A Mathematics | 1996-11-12 | Paper |
Yangian construction of the Virasoro algebra
Letters in Mathematical Physics | 1996-09-01 | Paper |
Lower bounds for the number of eigenvalue branches for the schrödinger operator H - λ W In a Gap of H: The Case of Indefinite W
Communications in Partial Differential Equations | 1995-05-23 | Paper |
On affine Yangians
Letters in Mathematical Physics | 1995-01-31 | Paper |
On generators and defining relations of Yangians
Journal of Geometry and Physics | 1994-04-26 | Paper |
scientific article; zbMATH DE number 479970 (Why is no real title available?)
| 1993-12-12 | Paper |
The quantum Weyl group and the universal quantum \(R\)-matrix for affine Lie algebra \(A^{(1)}_ 1\)
Letters in Mathematical Physics | 1993-12-05 | Paper |
On PBW bases for Yangians
Letters in Mathematical Physics | 1993-06-29 | Paper |
scientific article; zbMATH DE number 194997 (Why is no real title available?)
| 1993-06-05 | Paper |
On a class of elliptic operators with nonpolynomial degeneracy on a boundary
Siberian Mathematical Journal | 1993-03-28 | Paper |
AN ALGEBRA OF BOUNDARY VALUE PROBLEMS FOR A CLASS OF PSEUDODIFFERENTIAL OPERATORS OF VARIABLE ORDER
Mathematics of the USSR-Izvestiya | 1992-09-26 | Paper |
Quantum group \(A_ \infty\)
Communications in Mathematical Physics | 1992-06-27 | Paper |
scientific article; zbMATH DE number 20579 (Why is no real title available?)
| 1992-06-26 | Paper |
scientific article; zbMATH DE number 14701 (Why is no real title available?)
| 1992-06-25 | Paper |
scientific article; zbMATH DE number 5597 (Why is no real title available?)
| 1992-06-25 | Paper |
Twisted function algebras on a compact quantum group and their representations
Functional Analysis and Its Applications | 1992-06-25 | Paper |
scientific article; zbMATH DE number 4208708 (Why is no real title available?)
| 1991-01-01 | Paper |
Quantum Weyl group and a multiplicative formula for the R-matrix of a simple Lie algebra
Functional Analysis and Its Applications | 1991-01-01 | Paper |
Algebras of functions on compact quantum groups, Schubert cells and quantum tori
Communications in Mathematical Physics | 1991-01-01 | Paper |
scientific article; zbMATH DE number 4216115 (Why is no real title available?)
| 1991-01-01 | Paper |
Degenerate elliptic equations and boundary problems
| 1990-01-01 | Paper |
Some applications of the quantum Weyl groups
Journal of Geometry and Physics | 1990-01-01 | Paper |
scientific article; zbMATH DE number 4183656 (Why is no real title available?)
| 1990-01-01 | Paper |
ON TYPES OF DEGENERATE ELLIPTIC OPERATORS
Mathematics of the USSR-Sbornik | 1990-01-01 | Paper |
scientific article; zbMATH DE number 4194319 (Why is no real title available?)
| 1990-01-01 | Paper |
scientific article; zbMATH DE number 4161277 (Why is no real title available?)
| 1989-01-01 | Paper |
ON THE SYMBOLS OF DEGENERATE ELLIPTIC DIFFERENTIAL AND HYPOELLIPTIC PSEUDODIFFERENTIAL OPERATORS
Mathematics of the USSR-Izvestiya | 1988-01-01 | Paper |
scientific article; zbMATH DE number 4115126 (Why is no real title available?)
| 1988-01-01 | Paper |
Asymptotics of the discrete spectrum of the Dirac operator with decreasing potential
Siberian Mathematical Journal | 1988-01-01 | Paper |
Non-classical spectral asymptotics
Russian Mathematical Surveys | 1988-01-01 | Paper |
scientific article; zbMATH DE number 4109260 (Why is no real title available?)
| 1988-01-01 | Paper |
scientific article; zbMATH DE number 4190495 (Why is no real title available?)
| 1988-01-01 | Paper |
ASYMPTOTICS OF THE SPECTRUM OF PROBLEMS WITH CONSTRAINTS
Mathematics of the USSR-Sbornik | 1987-01-01 | Paper |
scientific article; zbMATH DE number 4067481 (Why is no real title available?)
| 1987-01-01 | Paper |
Asymptotic behavior of the spectra of weakly elliptic systems of pseudodifferential operators
Siberian Mathematical Journal | 1986-01-01 | Paper |
The approximate spectral projection method
Acta Applicandae Mathematicae | 1986-01-01 | Paper |
THE METHOD OF APPROXIMATE SPECTRAL PROJECTION
Mathematics of the USSR-Izvestiya | 1986-01-01 | Paper |
scientific article; zbMATH DE number 4040436 (Why is no real title available?)
| 1986-01-01 | Paper |
scientific article; zbMATH DE number 3834534 (Why is no real title available?)
| 1986-01-01 | Paper |
scientific article; zbMATH DE number 3988058 (Why is no real title available?)
| 1985-01-01 | Paper |
scientific article; zbMATH DE number 3996254 (Why is no real title available?)
| 1985-01-01 | Paper |
ASYMPTOTICS OF THE SPECTRUM OF LINEAR OPERATOR PENCILS
Mathematics of the USSR-Sbornik | 1985-01-01 | Paper |
scientific article; zbMATH DE number 4017500 (Why is no real title available?)
| 1985-01-01 | Paper |
Asymptotics of the spectra of degenerate elliptic systems in unbounded regions
Functional Analysis and Its Applications | 1985-01-01 | Paper |
Asymptotic distribution of the eigenvalues of systems of Navier-Stokes type
Russian Mathematical Surveys | 1984-01-01 | Paper |
Asymptotic behavior of the spectrum of problems of the form \(Au=tBu\) for operators that are elliptic in the Douglis-Nirenberg sense
Functional Analysis and Its Applications | 1984-01-01 | Paper |
scientific article; zbMATH DE number 3881175 (Why is no real title available?)
| 1984-01-01 | Paper |
scientific article; zbMATH DE number 3834533 (Why is no real title available?)
| 1984-01-01 | Paper |
scientific article; zbMATH DE number 3834535 (Why is no real title available?)
| 1984-01-01 | Paper |
scientific article; zbMATH DE number 3853632 (Why is no real title available?)
| 1983-01-01 | Paper |
Distribution of eigenvalues of systems of the form \(Au=tBu\)
Functional Analysis and Its Applications | 1983-01-01 | Paper |
scientific article; zbMATH DE number 3865846 (Why is no real title available?)
| 1983-01-01 | Paper |
scientific article; zbMATH DE number 3910958 (Why is no real title available?)
| 1983-01-01 | Paper |
ASYMPTOTIC DISTRIBUTION OF EIGENVALUES
Mathematics of the USSR-Izvestiya | 1983-01-01 | Paper |
scientific article; zbMATH DE number 3808159 (Why is no real title available?)
| 1982-01-01 | Paper |
scientific article; zbMATH DE number 3738188 (Why is no real title available?)
| 1981-01-01 | Paper |
scientific article; zbMATH DE number 3743776 (Why is no real title available?)
| 1981-01-01 | Paper |
BOUNDARY VALUE PROBLEMS IN A HALF-SPACE FOR QUASIELLIPTIC PSEUDODIFFERENTIAL OPERATORS DEGENERATING ON THE BOUNDARY
Mathematics of the USSR-Sbornik | 1981-01-01 | Paper |
General calculus of pseudodifferential operators and asymptotic properties of the spectrum
Functional Analysis and Its Applications | 1981-01-01 | Paper |
scientific article; zbMATH DE number 3678350 (Why is no real title available?)
| 1980-01-01 | Paper |
scientific article; zbMATH DE number 3674716 (Why is no real title available?)
| 1979-01-01 | Paper |
scientific article; zbMATH DE number 3676452 (Why is no real title available?)
| 1979-01-01 | Paper |
scientific article; zbMATH DE number 3638512 (Why is no real title available?)
| 1979-01-01 | Paper |
Efficient inverse $Z$-transform and Wiener-Hopf factorization
| N/A | Paper |
