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Recent presentations

Recent presentations were on the following topics: 1. pricing American and real options in regime-switching models, with applications to models with stochastic volatility and/or stochastic interest rate (joint work with Svetlana Boyarchenko); 2. Efficient methods for pricing barrier options (joint works with Mitya Boyarchenko and, separately, with Oleg Kudryavtsev); 3. Estimation of a class of time-iireversible multi-factor models (with Nina Boyarchenko). Some of the talks were given by my co-authors.

  1. Refined and enhanced FFT techniques, with applications to pricing barrier options and their sensitivities  (with Mitya Boyarchenko), Stochastic  laboratory seminar, Cambridge, 24 February 2009
  2. Refined and enhanced FFT techniques, with applications to pricing barrier options and their sensitivities  (with Mitya Boyarchenko), Mathematical Finance seminar, King’s College London, 17 February 2009
  3. Refined and enhanced FFT techniques, with applications to pricing barrier options and their sensitivities  (with Mitya Boyarchenko), Conference on small time asymptotics, perturbation theory and heat kernel methods in mathematical finance, Vienna, 10-12 February 2009
  4. Refined and enhanced FFT techniques, with applications to pricing barrier options and their sensitivities (with Mitya Boyarchenko), SIAM Conference on Financial Mathematics and Engineering, New Brunswick, NJ November 21-22
  5. The Wiener-Hopf factorization as a general method for valuation of real and American options (with Svetlana Boyarchenko), Colloquim talk, Rutgers University, 20 November, 2008
  6. Refined and enhanced FFT techniques, with applications to pricing barrier options and their sensitivities (with Mitya Boyarchenko), Talks in Financial and Insurance Mathematics, ETH Zurich, 13 November 2008
  7. Carr's Randomization and New FFT Techniques for the Fast and Accurate Pricing of Barrier Options (with Mitya Boyarchenko (presenter) and Svetlana Boyarchenko), talk at Bloomberg, 12 November 2008
  8. The Wiener-Hopf factorization as a general method for valuation of real and American options (with Svetlana Boyarchenko), Stochastic analysis seminar, Oxford-Man Institute, 20 October 2008
  9. Estimating Equations for a Class of Time-Irreversible Multifactor Models (presenter: Nina Boyarchenko) EEA/ESEM joint meetings, Milan, August 27-31
  10. Estimating equations for a class of time-irreversible multi-factor models  (with Nina Boyarchenko), Winter Meeting of the Econometric Society, New Orleans, January 5, 2008
  11. American options in the Heston model with stochastic interest rate and its generalizations  (with Svetlana Boyarchenko) 35TH EFA Annual Meeting, 27-30 August 2008, Athens, Greece
  12. American options in the Heston model with stochastic interest rate (presenter: Svetlana Boyarchenko) 14th Annual Conference on Computing in Economics and Finance, Université de la Sorbonne, Paris, June 26-28, 2008.
  13. American options in regime-switching Lévy models with stochastic volatility and stochastic interest rate (with Svetlana Boyarchenko), 2008 World Congress of Bachelier Finance Society, London, July 18, 2008
  14. Fast and accurate pricing of barrier options under Lévy processes (presenter: Oleg Kudrayvtsev), 2008 World Congress of Bachelier Finance Society, London, July 17, 2008
  15. American options in regime-switching Lévy models with non-semibounded stochastic interest rates (with Svetlana Boyarchenko), The 2008 American Control Conference, Seattle, June 11, 2008
  16. The Wiener-Hopf factorization as a general method for valuation of real and American options (with Svetlana Boyarchenko), Finance seminar, University of Geneva, Geneva, May 13, 2008
  17. The Wiener-Hopf factorization as a general method for valuation of real and American options, Workshop at Math.Dept. Imperial College, London, May 14, 2008
  18. The Wiener-Hopf factorization as a general method for valuation of real and American options (with Svetlana Boyarchenko), Seminar at Math.Dept. University of Leicester, Leicester, May 15, 2008
  19. The Wiener-Hopf factorization as a general method for valuation of real and American options (with Svetlana Boyarchenko), Seminar at Math.Dept. University of South Wales, Swansea, May 16, 2008
  20. The Wiener-Hopf factorization as a general method for valuation of real and American options (with Svetlana Boyarchenko), Seminar at Math.Dept. University of York, York, May 19, 2008
  21. American options in Lévy models with stochastic volatility (presenter: Svetlana Boyarchenko), 57th Annual Meeting Midwest Finance Association, San Antonio, Texas, February 27-March 1, 2008
  22. The Wiener-Hopf factorization as a general method for valuation of real and American options (with Svetlana Boyarchenko), Seminar at Math.Dept. University of Michigan, Ann Arbor, January 25, 2008
  23. The Wiener-Hopf factorization as a general method for valuation of real and American options (presenter: Svetlana Boyarchenko), Research seminar, department of Risk Management and Insurance, J. Mack Robinson College of Business, Georgia State University, January 15, 2008
  24. The Wiener-Hopf factorization as a general method for valuation of real and American options (presenter: Svetlana Boyarchenko), Research seminar, Finance department, the Belk College of Business, University of North Carolina at Charlotte, November 2, 2007
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Department of Mathematics
University of Leicester
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