Vladimir Surkov

RBC Capital Markets

New York, NY

United States

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 8,427

SSRN RANKINGS

Top 8,427

in Total Papers Downloads

6,383

SSRN CITATIONS
Rank 26,375

SSRN RANKINGS

Top 26,375

in Total Papers Citations

11

CROSSREF CITATIONS

23

Scholarly Papers (7)

1.

Fourier Space Time-Stepping for Option Pricing With Levy Models

Journal of Computational Finance, Vol. 12, No. 2, pp. 1-29, 2008
Number of pages: 30 Posted: 10 Oct 2007 Last Revised: 01 Jul 2009
University of Toronto - Department of Computer Science, University of Toronto - Department of Statistics and RBC Capital Markets
Downloads 1,848 (10,110)
Citation 19

Abstract:

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Fourier space time-stepping, option pricing, Levy processes, multi-asset options

2.

Levy Based Cross-Commodity Models and Derivative Valuation

SIAM Journal on Financial Mathematics, 2(1), pp. 464-487, 2011
Number of pages: 31 Posted: 18 Nov 2008 Last Revised: 15 Jun 2016
Sebastian Jaimungal and Vladimir Surkov
University of Toronto - Department of Statistics and RBC Capital Markets
Downloads 1,268 (18,210)
Citation 1

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Multi asset commodity derivatives, Option pricing, Mean reverting Levy processes, Fourier transform based method

3.

Option Pricing Using Fourier Space Time-Stepping Framework

Number of pages: 134 Posted: 28 Sep 2009
Vladimir Surkov
RBC Capital Markets
Downloads 1,075 (23,322)
Citation 6

Abstract:

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Option pricing, Levy processes, partial integro-differential equation, Fourier transform

4.

Valuing Early Exercise Interest Rate Options with Multi-Factor Affine Models

Jaimungal, Sebastian, and Vladimir Surkov. "Valuing Early-Exercise Interest-Rate Options With Multi-Factor Affine Models." International Journal of Theoretical and Applied Finance 16.06 (2013).
Number of pages: 27 Posted: 04 Mar 2010 Last Revised: 27 Apr 2015
Sebastian Jaimungal and Vladimir Surkov
University of Toronto - Department of Statistics and RBC Capital Markets
Downloads 702 (42,439)
Citation 3

Abstract:

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Option pricing, interest-rate derivatives, affine models, fourier space time-stepping, accrual swaps, range notes

5.

Parallel Option Pricing with Fourier Space Time-Stepping Method on Graphics Processing Units

Parallel Computing, 36(7), pp. 372-380, 2010
Number of pages: 7 Posted: 09 Oct 2007 Last Revised: 12 Jun 2013
Vladimir Surkov
RBC Capital Markets
Downloads 594 (52,858)
Citation 1

Abstract:

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Option pricing, Levy processes, Fourier Space Time-stepping, Fast Fourier Transform, Graphics Processing Unit, parallel computing

6.

Stepping Through Fourier Space

RISK, pp. 78-83, July 2009
Number of pages: 8 Posted: 14 Oct 2008 Last Revised: 29 Jun 2011
Sebastian Jaimungal and Vladimir Surkov
University of Toronto - Department of Statistics and RBC Capital Markets
Downloads 522 (62,249)

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Option pricing, Levy processes, regime switching, Fourier methods, American options, catastrophe options

7.

Efficient Construction of Robust Hedging Strategies Under Jump Models

Canadian Applied Mathematics Quarterly, 17(4), pp. 755-776, 2009
Number of pages: 15 Posted: 04 Mar 2010 Last Revised: 12 Jun 2013
Vladimir Surkov and Matt Davison
RBC Capital Markets and University of Western Ontario
Downloads 374 (92,840)
Citation 4

Abstract:

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Option Greeks, jump-diffusion models, static hedging