.
Levendorskii, Sergei's
Scholarly Papers
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column.
Aggregate Statistics
Total 11,560
Total Citations 301
1.
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
887(11,143)
3
Optimal stopping, American options, regime switching,stochastic volatility models, Heston model,stochastic interest rate, CIR process
2.
Practical Guide to Real Options in Discrete Time
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Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
Posted:
06 Mar 04
Last Revised:
18 Mar 07
649(17,794)
16
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
28
16
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
621
16
Real options, embedded options, expected present value operators
3.
Levendorskii, Sergei University of Leicester - Department of Mathematics
527(23,752)
1
Real options, perpetual American options, exponential Ornstein-Uhlenbeck process, optimal stopping
4.
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
468(27,729)
20
Real options, random walks on lattices, expected present value operators
5.
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
449(29,326)
10
optimal stopping, American options, finite time horizon, regime switching, Levy processes, stochastic volatility models, stochastic interest rate models
6.
Boyarchenko, Mitya University of Michigan - Department of Mathematics
Levendorskii, Sergei University of Leicester - Department of Mathematics
Posted:
24 May 08
Last Revised:
11 Jun 08
420(31,953)
8
Option pricing, Fourier transform, FFT, Levy processes, Carr's randomization, barrier options, Wiener-Hopf factorization
7.
Boyarchenko, Mitya University of Michigan - Department of Mathematics
Levendorskii, Sergei University of Leicester - Department of Mathematics
382(35,995)
18
Option pricing, greeks, barrier options, first-touch digitals, Levy processes, KoBoL processes, CGMY model, Normal Inverse Gaussian processes, Variance Gamma processes, Fast Fourier transform, Carr's randomization, Wiener-Hopf factorization
8.
Kudryavtsev, Oleg E. Russian Customs Academy Rostov Branch - Department of Informatics
Levendorskii, Sergei University of Leicester - Department of Mathematics
361(38,557)
15
barrier options, Levy processes, numerical methods
9.
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
Posted:
20 Nov 07
Last Revised:
12 May 08
358(38,945)
4
optimal stopping, American options, regime switching, Levy processes, stochastic volatility models, Heston model, Bates model
10.
Boyarchenko, Nina Federal Reserve Bank of New York
Levendorskii, Sergei University of Leicester - Department of Mathematics
357(39,094)
1
Derivative pricing, multi-factor exactly solvable models, eigenfunction expansion, continuous algebraic Riccati equations, Lyapunov equations, representation theory of Lie algebras, Hermite polynomials
11.
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
322(44,265)
13
Real options, embedded options, expected present value operators
12.
Levendorskii, Sergei University of Leicester - Department of Mathematics
Kudryavtsev, Oleg E. Russian Customs Academy Rostov Branch - Department of Informatics
Zherder, Vadim M. Rostov State Economic University
297(48,715)
3
American options, Levy processes, numerical methods
13.
Valuation of Continuously Monitored Double Barrier Options and Related Securities
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Boyarchenko, Mitya University of Michigan - Department of Mathematics
Levendorskii, Sergei University of Leicester - Department of Mathematics
Posted:
17 Aug 08
Last Revised:
28 Jul 09
275(53,181)
10
Boyarchenko, Mitya University of Michigan - Department of Mathematics
Levendorskii, Sergei University of Leicester - Department of Mathematics
Posted:
17 Aug 08
Last Revised:
28 Jul 09
275
10
Option pricing, double barrier options, double-no-touch options, Levy processes, Variance Gamma processes, KoBoL processes, CGMY model, fast Fourier transform, Carr's randomization, Wiener-Hopf factorization, Laplace transform
14.
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
268(54,729)
10
regime switching, Levy processes, real options, exit problems
15.
Boyarchenko, Nina Federal Reserve Bank of New York
Levendorskii, Sergei University of Leicester - Department of Mathematics
268(54,729)
7
Derivative pricing, swaptions, caps and floors, multi-factor exactly solvable models, eigenfunction expansion, continuous algebraic Riccati equations, Lyapunov equations, representation theory of Lie algebras, Hermite polynomials
16.
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
260(56,646)
credit default swaps, counterparty risk, asymmetric information
17.
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
245(60,407)
19
Levy processes, option pricing, dividend paying assets
18.
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
Posted:
24 May 11
Last Revised:
06 Jun 11
229(64,986)
5
European Options, Greeks, FFT, Inverse Fourier Transform, COS, CONV, KoBoL, CGMY, VG Model, Hyperbolic iFT Method, Parabolic iFT Method
19.
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
225(66,205)
10
optimal stopping, American options, regime switching, Levy processes, stochastic volatility models, stochastic interest rate models
20.
Levendorskii, Sergei University of Leicester - Department of Mathematics
224(66,489)
4
affine term structure models,Feynman-Kac
21.
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
215(69,385)
8
optimal stopping, American options, regime switching, Lévy processes, stochastic interest rate models, quadratic term structure models
22.
Levendorskii, Sergei University of Leicester - Department of Mathematics
196(76,198)
3
Levy processes, early exercise boundary, option pricimg
23.
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
194(76,971)
7
optimal stopping, American options, regime switching, Lévy processes, stochastic interest rate models, Vasicek model, Black's model, Ornstein-Uhlenbeck driven models, affine term structure models
24.
Kudryavtsev, Oleg E. Russian Customs Academy Rostov Branch - Department of Informatics
Levendorskii, Sergei University of Leicester - Department of Mathematics
188(79,323)
3
First touch digitals, Levy processes, fast pricing
25.
Boyarchenko, Nina Federal Reserve Bank of New York
Levendorskii, Sergei University of Leicester - Department of Mathematics
186(80,166)
7
Derivative pricing, quadratic term structure models, Fourier transform, Fast Fourier transform
26.
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
182(81,819)
Time preference, discounted utility anomalies, decision-making under uncertainty, optimal stopping
27.
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
179(83,077)
2
Exit and entry, emdebbed options, technology adoption, capital expansion
28.
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
173(85,879)
16
Levy processes, optimal stopping, general payoffs
29.
Levendorskii, Sergei University of Leicester - Department of Mathematics
Xie, Jiayao University of Leicester - Department of Mathematics
Posted:
14 Apr 10
Last Revised:
28 Sep 10
171(86,814)
2
Option pricing, sensitivities, Fast Fourier transform, refined and enhanced Fast Fourier transform, Integration-along-cut method, Levy processes, Normal Inverse Gaussian model, Variance Gamma model, KoBoL, CGMY, out-of-the-money options
30.
Levendorskii, Sergei University of Leicester - Department of Mathematics
171(86,814)
6
Levy processes, bond pricing, option pricing
31.
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
167(88,711)
3
optimal stopping, American options, regime switching, Levy processes, stochastic interest rate, CIR model
32.
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
Posted:
01 May 08
Last Revised:
29 Jul 08
163(90,732)
6
optimal stopping, American options, finite time horizon, regime switching, Levy models, stochastic volatility models, stochastic interest rate models
33.
Boyarchenko, Nina Federal Reserve Bank of New York
Levendorskii, Sergei University of Leicester - Department of Mathematics
161(91,710)
Term structure models, Ornstein-Uhlenbeck processes, jump diffusions, derivative pricing, eigenfunction expansion, perturbation theory, asymptotic solutions
34.
Levendorskii, Sergei University of Leicester - Department of Mathematics
158(93,315)
Heston model, Fourier transform, European options, calibration
35.
Levendorskii, Sergei University of Leicester - Department of Mathematics
142(102,568)
7
critical price near expiry, American puts, calls, exchange options, bond options, European options near expiry, jump-diffusions, ATSM, QTSM
36.
Levendorskii, Sergei University of Leicester - Department of Mathematics
142(102,568)
1
European out-of-the-money options, early exercise boundary, processes with jumps
37.
Kudryavtsev, Oleg E. Russian Customs Academy Rostov Branch - Department of Informatics
Levendorskii, Sergei University of Leicester - Department of Mathematics
125(114,045)
1
Levy processes, KoBoL, CGMY, barrier options, lookback options, barrier-lookback options, Wiener-Hopf factorization, inverse Laplace transform, Fast Fourier transform
38.
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
125(114,045)
13
embedded options, technology adoption, capital expansion
39.
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
123(115,567)
2
Levy processes, option pricing, dividend paying assets
40.
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
105(130,456)
Levy processes, Wiener-Hopf factorization, lookbacks, KoBoL, CGMY
41.
Boyarchenko, Mitya University of Michigan - Department of Mathematics
de Innocentis, Marco University of Leicester - Department of Mathematics
Levendorskii, Sergei University of Leicester - Department of Mathematics
105(130,456)
17
barrier options, first-touch digitals, Levy processes,Carr's randomization, KoBoL processes, CGMY model,Normal Inverse Gaussian processes, Variance Gamma processes, Wiener-Hopf factorization, asymptotics
42.
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
102(133,166)
1
real options, time preference, discounted utility anomalies
43.
Levendorskii, Sergei University of Leicester - Department of Mathematics
Xie, Jiayao University of Leicester - Department of Mathematics
97(137,876)
Option pricing, flat iFT method, parabolic iFT method, FFT, refined and enhanced FFT, L\'evy processes, KoBoL, CGMY, BM, Asian options
44.
Boyarchenko, Nina Federal Reserve Bank of New York
Levendorskii, Sergei University of Leicester - Department of Mathematics
96(138,806)
estimating function, spectral decomposition, eigenfunctions, eigenvalues, time irreversible processes, quadratic term structure models, affine term structure models, Ornstein-Uhlenbeck process
45.
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
Posted:
22 Mar 10
Last Revised:
06 Apr 10
70(169,128)
time preference, discounted utility anomalies
46.
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
65(176,039)
1
hyperbolic discounting, bid-ask asymmetry, gain-loss asymmetries
47.
Levendorskii, Sergei University of Leicester - Department of Mathematics
63(179,060)
2
barrier options, first-touch digitals, L'evy processes, Carr's randomization, KoBoL processes, CGMY model, Normal Inverse Gaussian processes, Variance Gamma processes, Wiener-Hopf factorization, asymptotics, Greeks
48.
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
62(180,470)
1
Optimal stopping, Levy processes, non-monotone an discontinuous payoffs
49.
de Innocentis, Marco University of Leicester - Department of Mathematics
Levendorskii, Sergei University of Leicester - Department of Mathematics
59(185,110)
Barrier options, credit default swaps, CDS, defaultable bonds, discrete monitoring, credit derivatives, Greeks, inverse Fourier transform, FFT, Hilbert transform, CONV method, COS method, Levy processes, KoBoL processes, CGMY model, Variance Gamma processes
50.
Boyarchenko, Svetlana University of Texas at Austin - Department of Economics
Levendorskii, Sergei University of Leicester - Department of Mathematics
54(193,276)
3
stopping time games, preemption, Levy uncertainty
51.
Boyarchenko, Nina Federal Reserve Bank of New York
Levendorskii, Sergei University of Leicester - Department of Mathematics
26(254,665)
6
52.
Levendorskii, Sergei University of Leicester - Department of Mathematics
24(261,122)
6
53.
Boyarchenko, Mitya University of Michigan - Department of Mathematics
Levendorskii, Sergei University of Leicester - Department of Mathematics
Option pricing, greeks, barrier options, first-touch digitals, Lévy processes, Fast Fourier transform; Carr's randomization; KoBoL processes; CGMY model; Normal Inverse Gaussian processes, Variance Gamma processes, Wiener–Hopf factorization
54.
Levendorskii, Sergei University of Leicester - Department of Mathematics
Kudryavtsev, Oleg E. Russian Customs Academy Rostov Branch - Department of Informatics
Zherder, Vadim M. Rostov State Economic University
American options, Lévy processes, Lévy, Carr et al (2002), LevendorskiˇI (2004a)
55.
Levendorskii, Sergei University of Leicester - Department of Mathematics
0
L\'evy processes, Laplace inversion, Wiener-Hopf factorization,barrier options, lookbacks, Fourier transform, conformal deformations,CDS, joint distribution of a L\'evy process and its extrema,Gaver-Wynn-Rho algorithm, Gaver-Stehfest algorithm,
