← All authors Sergei Levendorskiǐ BioSciCon (United States) (per OpenAlex) · ORCID · OpenAlex
60 papers in scope · 59 published · 1 on the econ.EM arXiv · 2,113 citations · h-index 24 (over the papers listed here)
Papers (1 of 60)
Lévy models amenable to efficient calculations
published 2025 · Stochastic Processes and their Applications · 3 citations · first circulated 2022
Efficient evaluation of expectations of functions of a Lévy process and its extremum
published 2025 · Finance and Stochastics · 3 citations · first circulated 2022
Efficient inverse $ Z $ -transform and pricing barrier and lookback options with discrete monitoring
published 2025 · Frontiers of Mathematical Finance · 4 citations · first circulated 2022
EFFICIENT EVALUATION OF DOUBLE-BARRIER OPTIONS
published 2024 · International Journal of Theoretical and Applied Finance · 7 citations · first circulated 2022
Faster than FFT: Conformal accelerations method
published 2024 · IFAC-PapersOnLine · 1 citations
working paper 2023 · arXiv · 2 citations
Operators and Boundary Problems in Finance, Economics and Insurance: Peculiarities, Efficient Methods and Outstanding Problems
published 2022 · Mathematics · 4 citations
SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
published 2021 · International Journal of Theoretical and Applied Finance · 10 citations
Conformal Accelerations Method and Efficient Evaluation of Stable Distributions
published 2020 · Acta Applicandae Mathematicae · 18 citations · first circulated 2018
SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS
published 2019 · International Journal of Theoretical and Applied Finance · 27 citations · first circulated 2018
Static and Semi-Static Hedging as Contrarian or Conformist Bets
published 2019 · Mathematical Finance · 15 citations
Optimal Stopping Problems in Lévy Models with Random Observations
published 2018 · Acta Applicandae Mathematicae · 3 citations
Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space
published 2018 · SIAM Journal on Financial Mathematics · 13 citations
ULTRA-FAST PRICING BARRIER OPTIONS AND CDSs
published 2017 · International Journal of Theoretical and Applied Finance · 11 citations · first circulated 2016
EFFICIENT PRICING OF BARRIER OPTIONS AND CREDIT DEFAULT SWAPS IN LÉVY MODELS WITH STOCHASTIC INTEREST RATE
published 2016 · Mathematical Finance · 24 citations
Pitfalls of the Fourier Transform Method in Affine Models, and Remedies
published 2016 · Applied Mathematical Finance · 24 citations · first circulated 2013
Efficient option pricing under Lévy processes, with CVA and FVA
published 2015 · Frontiers in Applied Mathematics and Statistics
with Chun Kong Shek, Jimmy Law, Justin Shek
Efficient variations of the Fourier transform in applications to option pricing
published 2014 · The Journal of Computational Finance · 19 citations
Preemption games under Lévy uncertainty
published 2014 · Games and Economic Behavior · 24 citations · first circulated 2011
Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method
published 2014 · Quantitative Finance · 33 citations · first circulated 2013
with Mitya Boyarchenko
METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES
published 2014 · International Journal of Theoretical and Applied Finance · 41 citations · first circulated 2013
Pricing discrete barrier options and credit default swaps under Lévy processes
published 2013 · Quantitative Finance · 51 citations · first circulated 2012
with Marco de Innocentis
EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS
published 2013 · International Journal of Theoretical and Applied Finance · 43 citations · first circulated 2012
EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL
published 2012 · International Journal of Theoretical and Applied Finance · 51 citations
Fast pricing and calculation of sensitivities of out-of-the-money European options under Lévy processes
published 2012 · The Journal of Computational Finance · 12 citations · first circulated 2002
American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations
published 2012 · Applied Mathematical Finance · 27 citations · first circulated 2007
PREFACE — Spectral and Cubature Methods in Finance and Econometrics
published 2011 · International Journal of Theoretical and Applied Finance · 1 citations
with Aleksandar Mijatović, Martijn Pistorius
PRICES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS, NEAR BARRIER
published 2011 · International Journal of Theoretical and Applied Finance · 31 citations · first circulated 2009
with Mitya Boyarchenko, Marco de Innocentis
Optimal Stopping in Lévy Models for Nonmonotone Discontinuous Payoffs
published 2011 · 1 citations
VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES
published 2010 · Mathematical Finance · 53 citations · first circulated 2009
with Mitya Boyarchenko
PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS
published 2009 · International Journal of Theoretical and Applied Finance · 66 citations · first circulated 2008
with Mitya Boyarchenko
Fast and accurate pricing of barrier options under Lévy processes
published 2009 · Finance and Stochastics · 94 citations · first circulated 2007
with Oleg Kudryavtsev
American options in Lévy models with stochastic interest rates
published 2009 · 57 citations · first circulated 2006
American and European options in multi-factor jump-diffusion models, near expiry
published 2008 · Finance and Stochastics · 23 citations · first circulated 2007
Carr's randomization for American options in regime‐switching models
published 2007 · PAMM · 1 citations
Exit problems in regime-switching models
published 2007 · Journal of Mathematical Economics · 29 citations · first circulated 2006
THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS
published 2007 · Mathematical Finance · 64 citations · first circulated 2004
with Nina Boyarchenko
ON ERRORS AND BIAS OF FOURIER TRANSFORM METHODS IN QUADRATIC TERM STRUCTURE MODELS
published 2007 · International Journal of Theoretical and Applied Finance · 16 citations · first circulated 2006
with Nina Boyarchenko
PRACTICAL GUIDE TO REAL OPTIONS IN DISCRETE TIME*
published 2007 · International Economic Review · 23 citations · first circulated 2004
Optimal stopping made easy
published 2007 · Journal of Mathematical Economics · 17 citations · first circulated 2004
PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES
published 2006 · International Journal of Theoretical and Applied Finance · 21 citations · first circulated 2004
with Oleg Kudryavtsev
General Option Exercise Rules, with Applications to Embedded Options and Monopolistic Expansion
published 2006 · Contributions in Theoretical Economics · 33 citations · first circulated 2005
American options: the EPV pricing model
published 2005 · Annals of Finance · 8 citations · first circulated 2004
PSEUDODIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS
published 2005 · Mathematical Finance · 25 citations
Discount factors ex post and ex ante, and discounted utility anomalies
published 2005 · Économie publique/Public economics · 4 citations
Early exercise boundary and option prices in Lévy driven models
published 2004 · Quantitative Finance · 30 citations
PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
published 2004 · International Journal of Theoretical and Applied Finance · 166 citations
Real options and the universal bad news principle
published 2004 · Fainansu · 3 citations
Consistency conditions for affine term structure models
published 2003 · Stochastic Processes and their Applications · 22 citations
Pricing of perpetual Bermudan options
published 2002 · Quantitative Finance · 29 citations
Barrier options and touch-and-out options under regular Lévy processes of exponential type
published 2002 · The Annals of Applied Probability · 155 citations
Perpetual American Options Under Lévy Processes
published 2002 · 197 citations
Elements of calculus of pseudodifferential operators
published 2002 · World Scientific Book Chapters
no link
Endogenous default and pricing of the corporate debt
published 2002 · World Scientific Book Chapters
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Pricing and hedging of contingent claims of European type
published 2002 · World Scientific Book Chapters
no link
Investment under uncertainty and capital accumulation
published 2002 · World Scientific Book Chapters
no link
Perpetual American options
published 2002 · World Scientific Book Chapters
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Feller processes of normal inverse Gaussian type
published 2001 · Quantitative Finance · 164 citations
with Ole E. Barndorff-Nielsen
Option Pricing and Hedging Under Regular Lévy Processes of Exponential Type
published 2001 · Mathematical Finance · 6 citations
OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
published 2000 · International Journal of Theoretical and Applied Finance · 304 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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