Svetlana Boyarchenko

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All published works

Action	Title	Year	Authors
+ PDF Chat	Asymptotics of survival probabilities and lower tail probability problem	2025	Svetlana Boyarchenko Sergei Levendorskiı̌
+ PDF Chat	CORRECT IMPLIED VOLATILITY SHAPES AND RELIABLE PRICING IN THE ROUGH HESTON MODEL	2025	Svetlana Boyarchenko Sergei Levendorskiı̌
+ PDF Chat	Correct implied volatility shapes and reliable pricing in the rough Heston model	2024	Svetlana Boyarchenko Sergei Levendorskiı̌
+ PDF Chat	Efficient inverse $Z$-transform and Wiener-Hopf factorization	2024	Svetlana Boyarchenko Sergei Levendorskiı̌
+ PDF Chat	Alternative models for FX: pricing double barrier options in regime-switching L\'evy models with memory	2024	Svetlana Boyarchenko Sergei Levendorskiı̌
+ PDF Chat	Alternative Models for FX: Pricing Double Barrier Options in Regime-switching Lévy Models With Memory	2024	Svetlana Boyarchenko Sergei Levendorskiı̌
+ PDF Chat	Efficient inverse Z-transform and Wiener-Hopf factorization	2024	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Faster than FFT: Conformal accelerations method	2024	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Efficient inverse $Z$-transform: sufficient conditions	2023	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in Lévy models	2023	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Simulation of a Lévy process, its extremum, and hitting time of the extremum via characteristic functions	2023	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Efficient evaluation of joint pdf of a Lévy process, its extremum, and hitting time of the extremum	2023	Svetlana Boyarchenko Sergei Levendorskiı̌
+ PDF Chat	Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models	2023	Svetlana Boyarchenko Sergei Levendorskiı̌
+ PDF Chat	Efficient evaluation of joint pdf of a L\'evy process, its extremum, and hitting time of the extremum	2023	Svetlana Boyarchenko Sergei Levendorskiı̌
+ PDF Chat	Simulation of a L\'evy process, its extremum, and hitting time of the extremum via characteristic functions	2023	Svetlana Boyarchenko Sergei Levendorskiı̌
+ PDF Chat	Levy Models Amenable to Efficient Calculations	2022	Svetlana Boyarchenko Sergei Levendorskiı̌
+ PDF Chat	Efficient Evaluation of Expectations of Functions of a Lévy Process and Its Extremum	2022	Svetlana Boyarchenko Sergei Levendorskiı̌
+ PDF Chat	Efficient Inverse Z-Transform and Pricing Barrier and Lookback Options With Discrete Monitoring	2022	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Efficient evaluation of expectations of functions of a Lévy process and its extremum	2022	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Efficient evaluation of expectations of functions of a stable Lévy process and its extremum	2022	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Efficient Evaluation of Expectations of Functions of a Lévy Process and Its Extremum. II	2022	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Efficient evaluation of double-barrier options and joint cpdf of a Lévy process and its two extrema	2022	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Lévy models amenable to efficient calculations	2022	Svetlana Boyarchenko Sergei Levendorskiı̌
+ PDF Chat	Efficient Evaluation of Expectations of Functions of a Stable Levy Process and Its Extremum	2022	Svetlana Boyarchenko Sergei Levendorskiı̌
+ PDF Chat	Efficient Evaluation of Double-Barrier Options and Joint CPDF of a Levy Process and Its Two Extrema	2022	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Efficient inverse $Z$-transform and pricing barrier and lookback options with discrete monitoring	2022	Svetlana Boyarchenko Sergei Levendorskiı̌
+ PDF Chat	SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS	2021	Svetlana Boyarchenko Sergei Levendorskiı̌ J. LARS KYRKBY Zhenyu Cui
+	SINH-acceleration for B-spline projection with Option Pricing Applications	2021	Svetlana Boyarchenko Sergei Levendorskiı̌ Justin Kirkby Zhenyu Cui
+ PDF Chat	SINH-Acceleration for B-Spline Projection with Option Pricing Applications	2021	Svetlana Boyarchenko Sergei Levendorskiı̌ Justin Kirkby Zhenyu Cui
+	SINH-acceleration for B-spline projection with Option Pricing Applications	2021	Svetlana Boyarchenko Sergei Levendorskiui Justin Kirkby Zhenyu Cui
+ PDF Chat	Static and semistatic hedging as contrarian or conformist bets	2020	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Conformal Accelerations Method and Efficient Evaluation of Stable Distributions	2020	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Gauge transformations in the dual space, and pricing and estimation in the long run in affine jump-diffusion models	2019	Svetlana Boyarchenko Sergei Levendorskiı̌
+ PDF Chat	SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS	2019	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Static and semi-static hedging as contrarian or conformist bets	2019	Svetlana Boyarchenko Sergei Levendorskiı̌
+ PDF Chat	Gauge Transformations in the Dual Space, and Pricing and Estimation in the Long Run in Affine Jump-Diffusion Models	2019	Svetlana Boyarchenko Sergei Levendorskiı̌
+ PDF Chat	Static and Semi-Static Hedging as Contrarian or Conformist Bets	2019	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Gauge transformations in the dual space, and pricing and estimation in the long run in affine jump-diffusion models	2019	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Static and semi-static hedging as contrarian or conformist bets	2019	Svetlana Boyarchenko Sergei Levendorskiı̌
+	SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations	2018	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Conformal accelerations method and efficient evaluation of stable distributions, revisited	2018	Svetlana Boyarchenko Sergei Levendorskiı̌
+ PDF Chat	Sinh-Acceleration: Efficient Evaluation of Probability Distributions, Option Pricing, and Monte-Carlo Simulations	2018	Svetlana Boyarchenko Sergei Levendorskiı̌
+	New Families of Integral Representations and Efficient Evaluation of Stable Distributions	2018	Svetlana Boyarchenko Sergei Levendorskiı̌
+	SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations	2018	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Double Barrier Options in Regime-Switching Hyper-Exponential Jump-Diffusion Models	2009	Mitya Boyarchenko Svetlana Boyarchenko
+ PDF Chat	PRACTICAL GUIDE TO REAL OPTIONS IN DISCRETE TIME*	2007	Svetlana Boyarchenko Sergei Levendorskiı̌
+	American Options in Regime-Switching Lévy Models With Non-Semibounded Stochastic Interest Rates	2007	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Practical guide to real options in discrete time	2004	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Universal bad news principle and pricing of options on dividend-paying assets	2004	Svetlana Boyarchenko Sergei Levendorskiı̌
+ PDF Chat	Universal Bad News Principle and Pricing of Options on Dividend-Paying Assets	2004	Svetlana Boyarchenko Sergei Levendorskiı̌
+ PDF Chat	Practical Guide to Real Options in Discrete Time	2004	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Practical guide to real options in discrete time	2004	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Universal bad news principle and pricing of options on dividend-paying assets	2004	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Regular Lévy Processes of Exponential type in 1D	2002	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Pseudo-differential operators with constant symbols	2002	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Spectral asymptotics of laplacians on horns: The case of a rapidly growing counting function	1998	Svetlana Boyarchenko Sergei Levendorskiı̌
+	Spectral asymptotics with a remainder estimate of the Neumann Laplacian on horns: the case of the rapidly growing counting function	1998	Svetlana Boyarchenko Sergei Levendorskiı̌
+ PDF Chat	Спектральные асимптотики операторов Лапласа на каспе: случай быстро растущей считающей функции	1998	S.I. Boiarchenko Svetlana Boyarchenko Sergei Levendorskiı̌ Sergei Levendorskiı̌
+	Precise spectral asymptotics for perturbed magnetic Schrödinger operator	1997	Svetlana Boyarchenko Sergei Levendorskiı̌
+	An asymptotic formula for the number of eigenvalue branches of a divergence form operator A+λB in a spectral gap of A	1997	Svetlana Boyarchenko Sergei Levendorskiı̌
+	On affine yangians	1994	Svetlana Boyarchenko Sergei Levendorskiı̌

Common Coauthors

Coauthor	Papers Together
Sergei Levendorskiı̌	59
Zhenyu Cui	4
Justin Kirkby	3
J. LARS KYRKBY	1
Mitya Boyarchenko	1
S.I. Boiarchenko	1
Sergei Levendorskiui	1

Commonly Cited References

Action	Title	Year	Authors	# of times referenced
+ PDF Chat	SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS	2019	Svetlana Boyarchenko Sergei Levendorskiı̌	16
+ PDF Chat	PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES	2004	Sergei Levendorskiı̌	15
+	Numerical Methods Based on Sinc and Analytic Functions	1993	Frank Stenger	15
+ PDF Chat	Static and semistatic hedging as contrarian or conformist bets	2020	Svetlana Boyarchenko Sergei Levendorskiı̌	13
+	Conformal Accelerations Method and Efficient Evaluation of Stable Distributions	2020	Svetlana Boyarchenko Sergei Levendorskiı̌	11
+	Multi‐precision Laplace transform inversion	2004	Joseph Abate Peter P. Valkó	9
+	Processes of normal inverse Gaussian type	1997	Ole E. Barndorff‐Nielsen	9
+	The Fourier-series method for inverting transforms of probability distributions	1992	Joseph Abate Ward Whitt	8
+ PDF Chat	A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions	2008	F. Fang Cornelis W. Oosterlee	8
+	A Unified Framework for Numerically Inverting Laplace Transforms	2006	Joseph Abate Ward Whitt	8
+ PDF Chat	Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options	2015	Gianluca Fusai Guido Germano Daniele Marazzina	7
+	Levy Processes and Infinitely Divisible Distributions	1999	Ken‐iti Sato	7
+	Boundary Value Problems for Elliptic Pseudodifferential Equations	2008	G. Èskin	7
+	First passage times of a jump diffusion process	2003	Steven Kou Hui Wang	7
+ PDF Chat	SINH-Acceleration for B-Spline Projection with Option Pricing Applications	2021	Svetlana Boyarchenko Sergei Levendorskiı̌ Justin Kirkby Zhenyu Cui	6
+	Asymptotic Distribution of Eigenvalues of Differential Operators	1990	Serge Levendorskiǐ	5
+	Asymptotic Distribution of Eigenvalues of Differential Operators	1990	Serge Levendorskiǐ	5
+	The Variance Gamma (V.G.) Model for Share Market Returns	1990	Dilip B. Madan E. Seneta	5
+	Degenerate Elliptic Equations	1993	Serge Levendorskiǐ	4
+	Comparison of sequence accelerators forthe Gaver method of numerical Laplace transform inversion	2004	Peter P. Valkó Joseph Abate	4
+	Parameterizations and modes of stable distributions	1998	John P. Nolan	4
+	The Analysis of Linear Partial Differential Operators III: Pseudo-Differential Operators	2018	Lars H�rmander	4
+ PDF Chat	Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes	2010	Alexey Kuznetsov	4
+ PDF Chat	Lookback option pricing using the Fourier transform B-spline method	2014	Gareth G. Haslip Vladimir K. Kaishev	4
+	Option pricing by transform methods: extensions, unification and error control	2004	Roger Lee	4
+	Modelling with mixture of symmetric stable distributions using Gibbs sampling	2009	D. Salas-González Erçan E. Kuruoğlu Diego P. Ruíz	4
+	The Accurate Numerical Inversion of Laplace Transforms	1979	A. Talbot	4
+ PDF Chat	Monte Carlo Simulation of the CGMY Process and Option Pricing	2014	Laura Ballotta Ioannis Kyriakou	4
+	Boundary Value Problems for Elliptic Pseudodifferential Equations	2008	Gregory Eskin	3
+	Fourier analysis and applications: filtering, numerical computation, wavelets	1999		3
+	Saddlepoint methods for option pricing	2009	Peter Carr Dilip B. Madan	3
+	An introduction to nonharmonic Fourier series	1980	Robert M. Young	3
+ PDF Chat	Modeling Financial Data with Stable Distributions	2003	John P. Nolan	3
+	New Families of Integral Representations and Efficient Evaluation of Stable Distributions	2018	Svetlana Boyarchenko Sergei Levendorskiı̌	3
+ PDF Chat	Geometrically Convergent Simulation of the Extrema of Lévy Processes	2021	Jorge González Cázares Aleksandar Mijatović Gerónimo Uribe Bravo	3
+	Principles of random walk	1964	Frank Spitzer	3
+	Summary of sinc numerical methods	2000	Frank Stenger	3
+	First passage times of a jump diffusion process	2003	Steven Kou Hui Wang	3
+	Eigenvalue asymptotics of the Neumann Laplacian of regions and manifolds with cusps	1992	Vojkan Jakšić S. A. Molčanov Barry Simon	3
+ PDF Chat	Accurate and efficient numerical calculation of stable densities via optimized quadrature and asymptotics	2017	Sebastian Ament Michael O’Neil	3
+	Spectral properties of Neumann Laplacian of horns	1992	E. B. Davies Barry Simon	3
+	Nonclassical eigenvalue asymptotics	1983	Barry Simon	3
+	Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space	2018	Sergei Levendorskiı̌	3
+	On the spectrum of the Dirichlet Laplacian for horn-shaped regions in Rn with infinite volume	1984	M. van den Berg	3
+ PDF Chat	The asymptotic distribution of eigenvalues of the Laplace operator in an unbounded domain	1976	Hideo Tamura	3
+	Robust Option Pricing with Characteristic Functions and the B-Spline Order of Density Projection	2014	Justin Kirkby	2
+	The analysis of linear partial differential operators	1990	Lars Hörmander	2
+ PDF Chat	Pricing of Discretely Sampled Asian Options Under Levy Processes	2012	Sergei Levendorskiı̌ Jiayao Xie	2
+	Analytical representations for the basic affine jump diffusion	2015	Lingfei Li Rafael Mendoza‐Arriaga Daniel Mitchell	2
+	Asymptotic Pricing in Term Structure Models Driven by Jump-Diffusions of Ornstein-Uhlenbeck Type	2006	Nina Boyarchenko Sergei Levendorskiı̌	2