Sergei Levendorskii

Calico Science Consulting

Founder and partner

Austin, TX

United States

SCHOLARLY PAPERS

80

DOWNLOADS
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Top 3,214

in Total Papers Downloads

17,404

SSRN CITATIONS
Rank 4,773

SSRN RANKINGS

Top 4,773

in Total Papers Citations

79

CROSSREF CITATIONS

202

Scholarly Papers (80)

1.

American Options in the Heston Model With Stochastic Interest Rate

EFA 2008 Athens Meetings Paper
Number of pages: 22 Posted: 20 Nov 2007
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 1,139 (28,869)
Citation 6

Abstract:

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Optimal stopping, American options, regime switching,stochastic volatility models, Heston model,stochastic interest rate, CIR process

2.

Perpetual American Options and Real Options Under Mean-Reverting Processes

Number of pages: 27 Posted: 04 May 2005
Sergei Levendorskii
Calico Science Consulting
Downloads 734 (53,112)
Citation 6

Abstract:

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Real options, perpetual American options, exponential Ornstein-Uhlenbeck process, optimal stopping

3.
Downloads 728 (53,597)
Citation 18

Practical Guide to Real Options in Discrete Time

Number of pages: 28 Posted: 06 Mar 2004
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 699 (55,791)
Citation 8

Abstract:

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Real options, embedded options, expected present value operators

Practical Guide to Real Options in Discrete Time

International Economic Review, Vol. 48, No. 1, pp. 311-342, February 2007
Number of pages: 32 Posted: 08 Feb 2007
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 29 (717,767)

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4.

American Options in Regime-Switching Models

Number of pages: 36 Posted: 11 Sep 2006
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 586 (70,950)
Citation 11

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optimal stopping, American options, finite time horizon, regime switching, Levy processes, stochastic volatility models, stochastic interest rate models

5.

Optimal Stopping Made Easy

Number of pages: 19 Posted: 29 Oct 2004
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 575 (72,677)
Citation 4

Abstract:

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Real options, random walks on lattices, expected present value operators

6.

Refined and Enhanced Fast Fourier Transform Techniques, with an Application to the Pricing of Barrier Options

Number of pages: 33 Posted: 24 May 2008 Last Revised: 11 Jun 2008
Mitya Boyarchenko and Sergei Levendorskii
University of Michigan - Department of Mathematics and Calico Science Consulting
Downloads 531 (80,234)
Citation 16

Abstract:

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Option pricing, Fourier transform, FFT, Levy processes, Carr's randomization, barrier options, Wiener-Hopf factorization

7.

Prices and Sensitivities of Barrier and First-Touch Digital Options in Levy-Driven Models

Number of pages: 43 Posted: 05 Jul 2008
Mitya Boyarchenko and Sergei Levendorskii
University of Michigan - Department of Mathematics and Calico Science Consulting
Downloads 492 (88,157)
Citation 15

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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.

New Efficient Versions of Fourier Transform Method in Applications to Option Pricing

Number of pages: 64 Posted: 24 May 2011 Last Revised: 06 Jun 2011
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 474 (92,261)
Citation 2

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European Options, Greeks, FFT, Inverse Fourier Transform, COS, CONV, KoBoL, CGMY, VG Model, Hyperbolic iFT Method, Parabolic iFT Method

9.

American Options in Levy Models with Stochastic Volatility

Number of pages: 36 Posted: 20 Nov 2007 Last Revised: 12 May 2008
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 471 (93,013)
Citation 5

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optimal stopping, American options, regime switching, Levy processes, stochastic volatility models, Heston model, Bates model

10.

Fast and Accurate Pricing of Barrier Options Under Levy Processes

Number of pages: 32 Posted: 06 Dec 2007
Oleg E. Kudryavtsev and Sergei Levendorskii
Russian Customs Academy Rostov Branch - Department of Informatics and Calico Science Consulting
Downloads 458 (96,037)
Citation 13

Abstract:

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barrier options, Levy processes, numerical methods

11.

Efficient Pricing and Reliable Calibration in the Heston Model

Number of pages: 40 Posted: 04 Jan 2012
Sergei Levendorskii
Calico Science Consulting
Downloads 450 (98,015)
Citation 2

Abstract:

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Heston model, Fourier transform, European options, calibration

12.

Eigenfunction Expansion Method in Multi-Factor Models

Number of pages: 52 Posted: 01 Dec 2004
Nina Boyarchenko and Sergei Levendorskii
Federal Reserve Bank of New York and Calico Science Consulting
Downloads 415 (107,751)
Citation 3

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Derivative pricing, multi-factor exactly solvable models, eigenfunction expansion, continuous algebraic Riccati equations, Lyapunov equations, representation theory of Lie algebras, Hermite polynomials

13.

Calibration and Backtesting of the Heston Model for Counterparty Credit Risk

Number of pages: 11 Posted: 01 May 2016 Last Revised: 08 Jan 2018
Marco de Innocentis, Marco de Innocentis and Sergei Levendorskii
Credit Suisse Securities (Europe) LimitedThe Royal Bank of Scotland - NatWest Markets and Calico Science Consulting
Downloads 387 (116,704)
Citation 4

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Heston model, calibration, benchmarking, SR-11-7, backtest, COS, FFT, counterparty risk, CVA

14.

Practical Guide to Real Options in Discrete Time Ii

Number of pages: 28 Posted: 04 Jan 2005
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 352 (129,831)
Citation 1

Abstract:

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Real options, embedded options, expected present value operators

15.

The Eigenfunction Expansion Method in Multi-Factor Quadratic Term Structure Models

Number of pages: 48 Posted: 10 Jan 2006
Nina Boyarchenko and Sergei Levendorskii
Federal Reserve Bank of New York and Calico Science Consulting
Downloads 345 (132,802)
Citation 3

Abstract:

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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

Valuation of Continuously Monitored Double Barrier Options and Related Securities

Number of pages: 56 Posted: 17 Aug 2008 Last Revised: 28 Jul 2009
Mitya Boyarchenko and Sergei Levendorskii
University of Michigan - Department of Mathematics and Calico Science Consulting
Downloads 334 (136,605)
Citation 6

Abstract:

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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

17.

Exit Problems in Regime-Switching Models

Number of pages: 29 Posted: 08 Jun 2006
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 336 (136,641)
Citation 2

Abstract:

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regime switching, Levy processes, real options, exit problems

18.

A Note on Relative Efficiency of Some Numerical Methods for Pricing of American Options Under Levy Processes

Number of pages: 40 Posted: 28 Oct 2004
Sergei Levendorskii, Oleg E. Kudryavtsev and Vadim M. Zherder
Calico Science Consulting, Russian Customs Academy Rostov Branch - Department of Informatics and Rostov State Economic University
Downloads 327 (140,654)
Citation 2

Abstract:

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American options, Levy processes, numerical methods

19.

Snowball Effect of a CDS Market

Number of pages: 27 Posted: 31 Jul 2009
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 322 (142,897)

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credit default swaps, counterparty risk, asymmetric information

20.

Perpetual American Options in Regime-Switching Models

Number of pages: 27 Posted: 06 Sep 2006
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 303 (152,368)
Citation 5

Abstract:

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optimal stopping, American options, regime switching, Levy processes, stochastic volatility models, stochastic interest rate models

21.

American Options: The Epv Pricing Model

Number of pages: 19 Posted: 19 May 2004
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 294 (157,163)
Citation 12

Abstract:

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Levy processes, option pricing, dividend paying assets

22.

American Options in Lévy Models with Stochastic Interest Rates

Number of pages: 31 Posted: 20 Sep 2007
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 286 (161,758)
Citation 4

Abstract:

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optimal stopping, American options, regime switching, Lévy processes, stochastic interest rate models, quadratic term structure models

23.

Pricing of Discretely Sampled Asian Options Under Levy Processes

Number of pages: 39 Posted: 21 Jun 2012
Sergei Levendorskii and Jiayao Xie
Calico Science Consulting and affiliation not provided to SSRN
Downloads 277 (167,240)
Citation 11

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Option pricing, flat iFT method, parabolic iFT method, FFT, refined and enhanced FFT, L\'evy processes, KoBoL, CGMY, BM, Asian options

24.

Fast Pricing and Calculation of Sensitivities of OTM European Options Under Levy Processes

Number of pages: 44 Posted: 14 Apr 2010 Last Revised: 28 Sep 2010
Sergei Levendorskii and Jiayao Xie
Calico Science Consulting and affiliation not provided to SSRN
Downloads 258 (179,581)
Citation 6

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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

25.

Efficient Laplace Inversion, Wiener-Hopf Factorization and Pricing Lookbacks

Number of pages: 36 Posted: 04 Jan 2012
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 257 (180,295)
Citation 3

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Levy processes, Wiener-Hopf factorization, lookbacks, KoBoL, CGMY

26.

Consistency Conditions for Affine Term Structure Models Ii. Option Pricing Under Diffusions with Embedded Jumps

Number of pages: 20 Posted: 01 Dec 2004
Sergei Levendorskii
Calico Science Consulting
Downloads 252 (183,866)
Citation 4

Abstract:

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affine term structure models,Feynman-Kac

27.

On Errors and Bias of Fourier Transform Methods in Quadratic Term Structure Models

Number of pages: 29 Posted: 10 Jan 2006
Nina Boyarchenko and Sergei Levendorskii
Federal Reserve Bank of New York and Calico Science Consulting
Downloads 251 (184,621)
Citation 1

Abstract:

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Derivative pricing, quadratic term structure models, Fourier transform, Fast Fourier transform

28.

American Options in Levy Models With Stochastic Interest Rate of CIR-Type

Number of pages: 37 Posted: 27 Nov 2007
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 248 (186,809)
Citation 5

Abstract:

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optimal stopping, American options, regime switching, Levy processes, stochastic interest rate, CIR model

29.

Efficient Pricing Options with Barrier and Lookback Features Under Levy Processes

Number of pages: 29 Posted: 05 Jun 2011
Oleg E. Kudryavtsev and Sergei Levendorskii
Russian Customs Academy Rostov Branch - Department of Informatics and Calico Science Consulting
Downloads 238 (194,406)
Citation 6

Abstract:

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Levy processes, KoBoL, CGMY, barrier options, lookback options, barrier-lookback options, Wiener-Hopf factorization, inverse Laplace transform, Fast Fourier transform

30.

American Options in Regime-Switching Lévy Models With Non-Semibounded Stochastic Interest Rates

Number of pages: 6 Posted: 20 Sep 2007
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 237 (195,217)
Citation 7

Abstract:

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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

31.

Asymptotic Pricing in Term Structure Models Driven by Jump-Diffusions of Ornstein-Uhlenbeck Type

Number of pages: 27 Posted: 14 Mar 2006
Nina Boyarchenko and Sergei Levendorskii
Federal Reserve Bank of New York and Calico Science Consulting
Downloads 231 (200,119)
Citation 2

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Term structure models, Ornstein-Uhlenbeck processes, jump diffusions, derivative pricing, eigenfunction expansion, perturbation theory, asymptotic solutions

32.

The American Put and European Options Near Expiry, Under Levy Processes

Number of pages: 29 Posted: 23 Mar 2004
Sergei Levendorskii
Calico Science Consulting
Downloads 227 (203,464)
Citation 5

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Levy processes, early exercise boundary, option pricimg

33.

A Theory of Endogenous Time Preference, and Discounted Utility Anomalies

Number of pages: 33 Posted: 20 Feb 2005
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 225 (205,183)

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Time preference, discounted utility anomalies, decision-making under uncertainty, optimal stopping

34.

Pricing of First Touch Digitals Under Normal Inverse Gaussian Processes

Number of pages: 23 Posted: 25 Mar 2004
Oleg E. Kudryavtsev and Sergei Levendorskii
Russian Customs Academy Rostov Branch - Department of Informatics and Calico Science Consulting
Downloads 225 (205,183)
Citation 4

Abstract:

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First touch digitals, Levy processes, fast pricing

35.

Real Options and the Universal Bad News Principle

Number of pages: 34 Posted: 04 May 2004
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 222 (207,808)
Citation 2

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Exit and entry, emdebbed options, technology adoption, capital expansion

36.

Pricing American Options in Regime-Switching Models: FFT Realization

Number of pages: 23 Posted: 01 May 2008 Last Revised: 29 Jul 2008
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 215 (214,184)

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optimal stopping, American options, finite time horizon, regime switching, Levy models, stochastic volatility models, stochastic interest rate models

37.

Perpetual Put-Like and Call-Like American Options Under Levy Processes, and Incremental Capital Expansion

Number of pages: 17 Posted: 06 Mar 2004
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 208 (220,943)
Citation 5

Abstract:

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Levy processes, optimal stopping, general payoffs

38.

Pseudo-Diffusions and Quadratic Term Structure Models

Number of pages: 39 Posted: 23 Mar 2004
Sergei Levendorskii
Calico Science Consulting
Downloads 204 (224,832)

Abstract:

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Levy processes, bond pricing, option pricing

39.

Prices of Barrier and First-Touch Digital Options in Levy-Driven Models, Near Barrier

Number of pages: 63 Posted: 28 Nov 2009
University of Michigan - Department of Mathematics, Credit Suisse Securities (Europe) LimitedThe Royal Bank of Scotland - NatWest Markets and Calico Science Consulting
Downloads 175 (257,470)
Citation 10

Abstract:

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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

40.

Pricing Discrete Barrier Options and Credit Default Swaps Under Levy Processes

Number of pages: 63 Posted: 10 Jun 2012
Marco de Innocentis, Marco de Innocentis and Sergei Levendorskii
Credit Suisse Securities (Europe) LimitedThe Royal Bank of Scotland - NatWest Markets and Calico Science Consulting
Downloads 173 (260,017)
Citation 8

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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

41.

American and European Options Near Expiry, Under Markov Processes with Jumps

Number of pages: 19 Posted: 02 Nov 2004
Sergei Levendorskii
Calico Science Consulting
Downloads 170 (263,936)
Citation 1

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European out-of-the-money options, early exercise boundary, processes with jumps

42.

American and European Options in Multi-Factor Jump-Diffusion Models, Near Expiry

Number of pages: 20 Posted: 26 Feb 2007
Sergei Levendorskii
Calico Science Consulting
Downloads 168 (266,742)
Citation 1

Abstract:

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critical price near expiry, American puts, calls, exchange options, bond options, European options near expiry, jump-diffusions, ATSM, QTSM

43.

General Option Exercise Rules, with Applications to Embedded Options and Monopolistic Expansion

Number of pages: 40 Posted: 02 Nov 2005
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 153 (288,270)
Citation 4

Abstract:

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embedded options, technology adoption, capital expansion

44.

Universal Bad News Principle and Pricing of Options on Dividend-Paying Assets

Number of pages: 24 Posted: 19 Mar 2004
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 145 (301,178)
Citation 1

Abstract:

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Levy processes, option pricing, dividend paying assets

45.

Discount Factors Ex Post and Ex Ante, and Discounted Utility Anomalies

Number of pages: 35 Posted: 04 Nov 2005
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 143 (304,485)
Citation 4

Abstract:

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real options, time preference, discounted utility anomalies

46.

Efficient Option Pricing Under Levy Processes, with CVA and FVA

Number of pages: 31 Posted: 25 Mar 2015
Justin Shek, Jimmy Law and Sergei Levendorskii
Bank of China International, Ernst & Young, UK and Calico Science Consulting
Downloads 141 (307,918)

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Credit Valuation Adjustment (CVA), Funding Valuation Adjustment (FVA), KoBoL, CGMY, Variance Gamma, DEJD, European Options, Barrier Options

47.

Estimating Equations for a Class of Time-Irreversible Multi-Factor Models

Number of pages: 26 Posted: 31 Jan 2008
Nina Boyarchenko and Sergei Levendorskii
Federal Reserve Bank of New York and Calico Science Consulting
Downloads 129 (329,686)

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estimating function, spectral decomposition, eigenfunctions, eigenvalues, time irreversible processes, quadratic term structure models, affine term structure models, Ornstein-Uhlenbeck process

48.

Ultra-Fast Pricing Barrier Options and CDSs

Number of pages: 21 Posted: 14 Jan 2016
Sergei Levendorskii
Calico Science Consulting
Downloads 128 (331,617)
Citation 2

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Spectrally one-sided Levy processes, Wiener-Hopf factorization, barrier options, credit default swaps, Laplace transform, parabolic inverse Laplace transform

49.
Downloads 128 (331,617)
Citation 8

Preemption Games Under Levy Uncertainty

Number of pages: 47 Posted: 15 May 2011
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 93 (417,072)
Citation 2

Abstract:

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stopping time games, preemption, Levy uncertainty

Preemption Games Under Levy Uncertainty

Games and Economic Behavior, Forthcoming
Number of pages: 41 Posted: 23 Oct 2014
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 35 (673,973)
Citation 2

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stopping time games, preemption, Levy uncertainty

50.

Pitfalls of the Fourier Transform Method in Affine Models, and Remedies

Number of pages: 47 Posted: 15 Dec 2013 Last Revised: 06 Dec 2015
Sergei Levendorskii
Calico Science Consulting
Downloads 125 (337,453)
Citation 2

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Affine models, quadratic term structure models, parabolic (inverse) Fourier transform, moment explosions, analytic continuation of characteristic functions, Riccati equations, Runge-Kutta method

51.

Efficient Pricing Barrier Options and CDS in Lévy Models with Stochastic Interest Rate

Number of pages: 29 Posted: 02 Jan 2015 Last Revised: 06 Dec 2015
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 119 (349,758)
Citation 1

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Stochastic interest rate, quadratic term structure models, L'evy processes, Wiener-Hopf factorization, barrier options, credit default swaps, parabolic inverse Laplace transform, parabolic inverse Fourier transform, quanto CDS

52.

Ambiguous Jump-Diffusions and Optimal Stopping

Number of pages: 41 Posted: 24 Oct 2014
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 113 (362,827)

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optimal stopping, jump-diffusion process, ambiguity

53.

Optimal Stopping in Levy Models, for Non-Monotone Discontinuous Payoffs

Number of pages: 24 Posted: 08 Sep 2010
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 108 (374,489)
Citation 1

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Optimal stopping, Levy processes, non-monotone an discontinuous payoffs

54.

Discounting When Income is Stochastic and Discounted Utility Anomalies

Number of pages: 24 Posted: 22 Mar 2010 Last Revised: 06 Apr 2010
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 107 (376,844)

Abstract:

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time preference, discounted utility anomalies

55.

Discount Factors Ex Post and Ex Ante, and Discounted Utility Anomalies II

Number of pages: 15 Posted: 14 Jan 2009
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 105 (381,796)

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hyperbolic discounting, bid-ask asymmetry, gain-loss asymmetries

56.

Pricing Barrier Options and Credit Default Swaps (CDS) in Spectrally One-Sided Levy Models: The Parabolic Laplace Inversion Method

Number of pages: 34 Posted: 05 Nov 2013
Mitya Boyarchenko and Sergei Levendorskii
University of Michigan - Department of Mathematics and Calico Science Consulting
Downloads 92 (416,648)
Citation 3

Abstract:

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Spectrally one-sided Levy processes, Wiener-Hopf factorization, barrier options, credit default swaps, parabolic inverse Laplace transform, parabolic inverse Fourier transform

57.

Convergence of Price and Sensitivities in Carr's Randomization Approximation Globally and Near Barrier

Number of pages: 34 Posted: 26 Dec 2009
Sergei Levendorskii
Calico Science Consulting
Downloads 90 (422,538)

Abstract:

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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

58.

Method of Paired Contours and Pricing Barrier Options and CDs of Long Maturities

Number of pages: 44 Posted: 20 May 2013
Sergei Levendorskii
Calico Science Consulting
Downloads 83 (443,651)
Citation 3

Abstract:

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Levy processes, Laplace inversion, Wiener-Hopf factorization,barrier options, lookbacks, Fourier transform, conformal deformations,CDS, joint distribution of a Levy process and its extrema, Gaver-Wynn-Rho algorithm, Gaver-Stehfest algorithm,

59.

Poisson Bandits of Evolving Shade of Gray

Number of pages: 44 Posted: 24 Aug 2015
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 81 (450,002)
Citation 2

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two-armed Poisson bandits, optimal stopping, jump-diffusion processes

60.

Ghost Calibration and Pricing Barrier Options and CDS in Spectrally One-Sided L'evy Models: The Parabolic Laplace Inversion Method

Number of pages: 38 Posted: 03 Jun 2014
Mitya Boyarchenko and Sergei Levendorskii
University of Michigan - Department of Mathematics and Calico Science Consulting
Downloads 72 (481,060)
Citation 4

Abstract:

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61.

Fractional-Parabolic Deformations with Sinh-Acceleration

Number of pages: 74 Posted: 07 Apr 2016
Sergei Levendorskii
Calico Science Consulting
Downloads 69 (492,172)
Citation 3

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Fourier Transform, Laplace Transform, Conformal Deformations, Simplified Trapezoid Rule, Hypergeometric Functions, Euler Integrals, Bessel Functions, Parabolic Cylinder Functions, Probability Distributions, Wiener-Hopf Factorization, European Options, Levy Models, Heston Model, SV Models

62.

Double Spiral Method, Gamma Transform and Pricing Arithmetic Asian Options

Number of pages: 29 Posted: 23 Aug 2016
Sergei Levendorskii
Calico Science Consulting
Downloads 62 (519,957)

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Arithmetic Asian Options, Hilbert Transform, Generalized Hilbert Transform, Gamma Transform, Double Spiral Method, Fast Convolution, Fast Hilbert Transform

63.

Sinh-Acceleration: Efficient Evaluation of Probability Distributions, Option Pricing, and Monte-Carlo Simulations

Number of pages: 39 Posted: 05 Mar 2018 Last Revised: 09 May 2018
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 60 (528,166)
Citation 5

Abstract:

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sinh-regular Lévy processes, sinh-regular distributions, sinh-acceleration, Heston model, KoBoL, CGMY, CIR, CIR subordinator, Monte-Carlo simulations

64.

Perpetual American Options with Disconnected Exercise Regions in Lévy Models

Number of pages: 23 Posted: 29 Jul 2014
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 50 (573,938)

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Lévy processes, perpetual American options with additional barrier, perpetual straddles and strangles, Wiener-Hopf factorization, EPV operators

65.

Conformal Pseudo-Asymptotics and Special Functions

Number of pages: 42 Posted: 11 Jan 2016
Sergei Levendorskii
Calico Science Consulting
Downloads 42 (615,710)

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Conformal deformations, simplified trapezoid rule, hypergeometric functions, Euler integrals, Bessel functions, parabolic cylinder functions, Whittaker functions, elliptic integrals

66.

Static and Semi-Static Hedging as Contrarian or Conformist Bets

Number of pages: 65 Posted: 14 Feb 2019
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 40 (627,015)
Citation 1

Abstract:

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Static Hedging, Semi-Static Hedging, Levy Processes, Exotic European Options, Barrier Options, Wiener-Hopf Factorization, Fourier-Laplace Inversion, Sinh-Acceleration

67.

New Families of Integral Representations and Efficient Evaluation of Stable Distributions

Number of pages: 52 Posted: 16 May 2018
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 32 (676,195)
Citation 2

Abstract:

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Stable Lévy Processes, PDF, CPDF, Quantile, Conformal Principal Components, Sinh-Acceleration, Simplified Trapezoid Rule, Simplified Conic Trapezoid Rule, Richardson Extrapolation, Signal Processing

68.

Gauge Transformations in the Dual Space, and Pricing and Estimation in the Long Run in Affine Jump-Diffusion Models

Number of pages: 23 Posted: 13 Jan 2020 Last Revised: 26 Mar 2021
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 31 (690,129)

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affine jump-diffusions, eigenfunction expansion, long run, estimation, Ornstein-Uhlenbeck model, Vasicek model, square root model, CIR model

69.

The Eigenfunction Expansion Method in Multi-Factor Quadratic Term Structure Models

Mathematical Finance, Vol. 17, No. 4, pp. 503-539, October 2007
Number of pages: 38 Posted: 14 Sep 2007
Nina Boyarchenko and Sergei Levendorskii
Federal Reserve Bank of New York and Calico Science Consulting
Downloads 28 (704,537)

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70.

Pseudodiffusions and Quadratic Term Structure Models

Mathematical Finance, Vol. 15, No. 3, pp. 393-424, July 2005
Number of pages: 32 Posted: 01 Jul 2005
Sergei Levendorskii
Calico Science Consulting
Downloads 25 (727,265)

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71.

SINH-Acceleration for B-Spline Projection with Option Pricing Applications

Number of pages: 45 Posted: 23 Oct 2021
Svetlana Boyarchenko, Sergei Levendorskii, Justin Kirkby and Zhenyu Cui
University of Texas at Austin - Department of Economics, Calico Science Consulting, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Stevens Institute of Technology - School of Business
Downloads 23 (743,436)

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options pricing, Fourier, sinh-acceleration, barrier option, inversion, B-spline

72.

Conformal Accelerations Method and Efficient Evaluation of Stable Distributions

Number of pages: 26 Posted: 24 Jul 2018 Last Revised: 13 Aug 2018
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 22 (751,448)
Citation 1

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Stable Levy Processes, Monte Carlo Simulations, Conformal Principal Components, Sinh-Acceleration, Simplified Trapezoid Rule, Simplified Conic Trapezoid Rule, Richardson Extrapolation, Signal Processing

73.

Levy Models Amenable to Efficient Calculations

Number of pages: 46 Posted: 15 Jun 2022
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 16 (802,948)

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Stieltjes-L\'evy processes, sinh-acceleration, SINH-regular L\'evy processes, HEJD, KoBoL, CGMY, NIG,Normal Tempered Stable L\'evy processes, Variance Gamma, Meixner processes, beta-model, meromorphic processes, Hyperbolic processes, Generalized Hyperbolic,subordinated BM

74.

Efficient Inverse Z-Transform and Pricing Barrier and Lookback Options With Discrete Monitoring

Number of pages: 28 Posted: 19 Jul 2022
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 13 (831,256)

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$Z$-transform, extrema of a random walk, lookback options, barrier options, discrete monitoring, L\'evy processes, Fourier transform, Hilbert transform, Fast Fourier transform, fast Hilbert transform, trapezoid rule, sinh-acceleration

75.

Efficient Evaluation of Expectations of Functions of a Lévy Process and Its Extremum

Number of pages: 34 Posted: 30 Jun 2022
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 12 (840,871)

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76.

Efficient Evaluation of Expectations of Functions of a Lévy Process and Its Extremum. II

Number of pages: 33 Posted: 08 Aug 2022
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 10 (860,299)

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Lévy process, extrema of a Lévy process, lookback options, barrier options, Fourier transform, Hilbert transform, Fast Fourier transform, fast Hilbert transform, Gaver-Wynn Rho algorithm, sinh-acceleration

77.

Efficient Evaluation of Expectations of Functions of a Stable Levy Process and Its Extremum

Number of pages: 30 Posted: 30 Sep 2022
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 4 (921,824)

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stable L\'evy processes, extrema of a stable L\'evy process, fractional partial differential equations, Fourier transform, Gaver-Wynn Rho algorithm, sinh-acceleration, conformal acceleration technique

78.

Efficient Evaluation of Double-Barrier Options and Joint CPDF of a Levy Process and Its Two Extrema

Number of pages: 37 Posted: 09 Nov 2022
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 3 (934,063)

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Levy process, extrema of a Levy process, double barrier options, Fourier transform, Gaver-Wynn Rho algorithm, sinh-acceleration

79.

Prices and Sensitivities of Barrier and First-Touch Digital Options in Lévy-Driven Models

International Journal of Theoretical and Applied Finance (IJTAF), 2010
Posted: 08 Jun 2010
Mitya Boyarchenko and Sergei Levendorskii
University of Michigan - Department of Mathematics and Calico Science Consulting

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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

80.

The Relative Efficiency of Numerical Methods for Pricing American Options Under LéVy Processes

Journal of Computational Finance, Vol. 9, No. 2, Spring 2006
Posted: 10 May 2006
Sergei Levendorskii, Oleg E. Kudryavtsev and Vadim M. Zherder
Calico Science Consulting, Russian Customs Academy Rostov Branch - Department of Informatics and Rostov State Economic University

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American options, Lévy processes, Lévy, Carr et al (2002), LevendorskiˇI (2004a)