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Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 1089-1123
Persistent link: https://www.econbiz.de/10011765022
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Pseudodiffusions and quadratic term structure models
Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 15 (2005) 3, pp. 393-424
Persistent link: https://www.econbiz.de/10002983089
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Consistency conditions for affine term structure models : II. option pricing under diffusions with embedded jumps
Levendorskij, Sergej Z. - In: Annals of finance 2 (2006) 2, pp. 207-224
Persistent link: https://www.econbiz.de/10003282260
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On errors and bias of Fourier transform methods in quadratic term structure models
Boyarchenko, Nina; Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 10 (2007) 2, pp. 273-306
Persistent link: https://www.econbiz.de/10003441974
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The eigenfunction expansion method in multi-factor quadratic term structure models
Boyarchenko, Nina; Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 17 (2007) 4, pp. 503-539
Persistent link: https://www.econbiz.de/10003626604
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Pitfalls of the fourier transform method in affine models, and remedies
Levendorskij, Sergej Z. - In: Applied mathematical finance 23 (2016) 1/2, pp. 81-134
Persistent link: https://www.econbiz.de/10011546994