Vladimir Surkov

RBC Capital Markets

New York, NY

United States

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 7,251

SSRN RANKINGS

Top 7,251

in Total Papers Downloads

6,196

SSRN CITATIONS
Rank 24,810

SSRN RANKINGS

Top 24,810

in Total Papers Citations

6

CROSSREF CITATIONS

22

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 1,764 (9,029)
Citation 15

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 1,247 (15,683)

Abstract:

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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 1,030 (20,861)
Citation 2

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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 689 (36,813)
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 590 (45,314)
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 508 (54,764)

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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 368 (80,839)
Citation 4

Abstract:

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Option Greeks, jump-diffusion models, static hedging