Recent preprints

Valuation of Continuously Monitored Double Barrier Options and Related Securities (with Mitya Boyarchenko) August 14, 2008. Available at SSRN: http://ssrn.com/abstract=1227065
Prices and Sensitivities of Barrier and First-Touch Digital Options in Levy-Driven Models (with Mitya Boyarchenko) July 3, 2008. Available at SSRN: http://ssrn.com/abstract=1155149
Refined and Enhanced Fast Fourier Transform Techniques, with an Application to the Pricing of Barrier Options (with Mitya Boyarchenko) May 10, 2008, http://ssrn.com/abstract=1142833
Pricing American Options in Regime-Switching Models: FFT Realization (with Svetlana Boyarchenko), April 2008, http://ssrn.com/abstract=1127562
Estimating equations for a class of time-irreversible multi-factor models (with Nina Boyarchenko) , February, 2008, http://ssrn.com/abstract=1088922
Fast and accurate pricing of barrier options under Lévy processes (with Oleg Kudrayvtsev), Dec 2007 http://ssrn.com/abstract=1040061
American options in the Heston model with stochastic interest rates (with Svetlana Boyarchenko), November 2007, http://ssrn.com/abstract=1031282
American options in Lévy models with stochastic volatility (with Svetlana Boyarchenko), November 2007, http://ssrn.com/abstract=1031280
American options in Lévy models with stochastic interest rates of CIR type (with Svetlana Boyarchenko), November 2007, http://ssrn.com/abstract=1032716
American Options in Lévy Models With Stochastic Interest Rates (with Svetlana Boyarchenko) (September 17, 2007). Available at SSRN: http://ssrn.com/abstract=1015409
American Options in Regime-Switching Lévy Models With Non-Semibounded Stochastic Interest Rates (with Svetlana Boyarchenko) (September 17, 2007). Available at SSRN: http://ssrn.com/abstract=1015410
American and European Options in Multi-Factor Jump-Diffusion Models, Near Expiry (February 24, 2007), http://ssrn.com/abstract=965192
Perpetual American Options in Regime-Switching Models (with Svetlana Boyarchenko) (September 5, 2006) http://ssrn.com/abstract=928474
American Options in Regime-Switching Models (with Svetlana Boyarchenko) (September 6, 2006) submitted to SIAM J Control and Optimization http://ssrn.com/abstract=929215
Asymptotic Pricing in Term Structure Models Driven by Jump-Diffusions of Ornstein-Uhlenbeck Type (with Nina Boyarchenko) (March 14, 2006) http://ssrn.com/abstract=890725
Discount factors ex post and ex ante, and discounted utility anomalies (with Svetlana Boyarchenko)(10/25/05). http://ssrn.com/abstract=836064
Perpetual American Options and Real Options under Mean-Reverting Processes (2005) http://ssrn.com/abstract=714321
A Theory of Endogenous Time Preference, and Discounted Utility Anomalies (with Svetlana Boyarchenko) (February 18, 2005). http://ssrn.com/abstract=669062
American and European Options Near Expiry, Under Markov Processes with Jumps . http://ssrn.com/abstract=610544
The American Put and European Options Near Expiry, Under Lévy Processes (February 26, 2004). http://ssrn.com/abstract=520062
Optimal Stopping Made Easy (with Svetlana Boyarchenko) (October 26, 2004). http://ssrn.com/abstract=610621
Eigenfunction Expansion Method in Multi-factor Models (with Nina Boyarchenko) (November 30, 2004). http://ssrn.com/abstract=627642
Practical Guide to Real Options in Discrete Time (with Svetlana Boyarchenko) (February 24, 2004). http://ssrn.com/abstract=510324
Practical Guide to Real Options in Discrete Time II (with Svetlana Boyarchenko). http://ssrn.com/abstract=642262
Search-Money-and-Barter Models of Financial Stabilization, Working Paper Number 332, July 2000, The William Davidson Institute Working Paper Series, The William Davidson Institute at the University of Michigan Business School.

Personal tools

Sections

Department of Mathematics

Recent preprints