Recent preprints

  1. Pitfalls of the Fourier Transform Method in Affine Models, and Remedies. Submitted  to   Applied Mathematical Finance. Available at SSRN: http://ssrn.com/abstract=2367547

  2. Pricing Barrier Options and Credit Default Swaps (CDS) in Spectrally One-Sided Levy Models: The Parabolic Laplace Inversion Method (with Mitya Boyarchenko) Under revision for Quantitative Finance. Available at SSRN:

    http://ssrn.com/abstract=2348194
    1. Method of paired contours  and Pricing Barrier Options and CDSs of Long Maturities (2013). To appear in  International Journal of Theoretical and Applied Finance Available at SSRN: http://ssrn.com/abstract=2267107

    2. Levendorskii, Sergei Z. and Xie, Jiayao, Pricing of Discretely Sampled Asian Options Under Levy Processes  (June 20, 2012). Available at SSRN: http://ssrn.com/abstract=2088214

    3. De Innocentis, Marco and Levendorskii, Sergei Z., Pricing Discrete Barrier Options and Credit Default Swaps Under Levy Processes (June 8, 2012). Available at SSRN:  http://ssrn.com/abstract=2080215

    4.  

      Boyarchenko, Svetlana I. and Levendorskii, Sergei Z., Efficient Laplace Inversion, Wiener-Hopf Factorization and Pricing Lookbacks (January 4, 2012).  Available at SSRN: http://ssrn.com/abstract=1979227
    5. Levendorskii, Sergei Z., Efficient Pricing and Reliable Calibration in the Heston Model  (January 4, 2012). Available at SSRN: http://ssrn.com/abstract=1979225

    6. Kudryavtsev, Oleg E. and Levendorskii, Sergei Z.,  Efficient Pricing Options with Barrier and Lookback Features Under Levy Processes (June 4, 2011). Available at SSRN: http://ssrn.com/abstract=1857943

    7. Boyarchenko, Svetlana I. and Levendorskii, Sergei Z.,  New Efficient Versions of Fourier Transform Method in Applications to Option Pricing (May 19, 2011).

    8. Boyarchenko, Svetlana I. and Levendorskii, Sergei Z., Preemption Games Under Levy Uncertainty (May 14, 2011).  Available at SSRN: http://ssrn.com/abstract=1841823

    9. Boyarchenko, Svetlana I. and Levendorskii, Sergei Z., Optimal Stopping in Levy Models, for Non-Monotone Discontinuous Payoffs (September 6, 2010).  Available at SSRN: http://ssrn.com/abstract=1673034

    10. Levendorskii, Sergei Z., Jiayao Xie, Fast pricing and calculation of sensitivities of out-of-the-money European options under Lévy processes  Available at SSRN:  http://ssrn.com/abstract=1589809

    11. Boyarchenko, Svetlana I. and Levendorskii, Sergei Z.,Discounting when income is stochastic and discounting utility anomalies, Available at SSRN:  http://ssrn.com/abstract=1571753

    12. Levendorskii, Sergei Z., Convergence of Price and Sensitivities in Carr's Randomization Approximation Globally and Near Barrier(December 20, 2009). Available at SSRN: http://ssrn.com/abstract=1526383

    13. Boyarchenko, Mitya, De Innocentis, Marco and Levendorskii, Sergei Z., Prices of Barrier and First-Touch Digital Options in Levy-Driven Models, Near Barrier (November 26, 2009). Available at SSRN: http://ssrn.com/abstract=1514025

    14. Boyarchenko, Svetlana I. and Levendorskii, Sergei Z., Snowball Effect of a CDS Market(July 28, 2009).  Available at SSRN: http://ssrn.com/abstract=1440388

    15. Boyarchenko, Svetlana I. and Levendorski, Sergei Z.,Discount Factors Ex Post and Ex Ante,  and  Discounted Utility Anomalies II(January 12, 2009). Available at SSRN: http://ssrn.com/abstract=1326708

    16. Valuation of Continuously Monitored Double Barrier Options and Related Securities  (with Mitya Boyarchenko)  August 14, 2008. Available at SSRN: http://ssrn.com/abstract=1227065
    17. 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
    18. 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
    19. Pricing American Options in Regime-Switching Models: FFT Realization (with Svetlana Boyarchenko), April 2008, http://ssrn.com/abstract=1127562
    20. Estimating equations for a class of time-irreversible multi-factor models (with Nina Boyarchenko) , February, 2008,  http://ssrn.com/abstract=1088922  
    21. Fast and accurate pricing of barrier options under Lévy processes (with Oleg Kudrayvtsev), Dec 2007 http://ssrn.com/abstract=1040061
    22. American options in the Heston model with stochastic interest rates  (with Svetlana Boyarchenko), November 2007,  http://ssrn.com/abstract=1031282  
    23. American options in Lévy models with stochastic volatility (with Svetlana Boyarchenko), November 2007,   http://ssrn.com/abstract=1031280
    24. American options in Lévy models with  stochastic interest rates of CIR type (with Svetlana Boyarchenko), November 2007,  http://ssrn.com/abstract=1032716
    25. American Options in Lévy Models With Stochastic Interest Rates (with Svetlana Boyarchenko) (September 17, 2007). Available at SSRN: http://ssrn.com/abstract=1015409
    26. 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
    27. American and European Options in Multi-Factor Jump-Diffusion Models, Near Expiry (February 24, 2007), http://ssrn.com/abstract=965192
    28. Perpetual American Options in Regime-Switching Models (with Svetlana Boyarchenko) (September 5, 2006)  http://ssrn.com/abstract=928474
    29. American Options in Regime-Switching Models (with Svetlana Boyarchenko) (September 6, 2006) submitted to SIAM J Control and Optimization http://ssrn.com/abstract=929215
    30. 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
    31. Discount factors ex post and ex ante, and discounted utility anomalies  (with Svetlana Boyarchenko)(10/25/05). http://ssrn.com/abstract=836064
    32. Perpetual American Options and Real Options under Mean-Reverting Processes (2005) http://ssrn.com/abstract=714321
    33. A Theory of Endogenous Time Preference, and Discounted Utility Anomalies  (with Svetlana Boyarchenko)  (February 18, 2005). http://ssrn.com/abstract=669062
    34. American and European Options Near Expiry, Under Markov Processes with Jumps . http://ssrn.com/abstract=610544
    35. The American Put and European Options Near Expiry, Under Lévy Processes (February 26, 2004). http://ssrn.com/abstract=520062
    36. Optimal Stopping Made Easy (with Svetlana Boyarchenko)  (October 26, 2004). http://ssrn.com/abstract=610621
    37. Eigenfunction Expansion Method in Multi-factor Models (with Nina  Boyarchenko) (November 30, 2004). http://ssrn.com/abstract=627642
    38. Practical Guide to Real Options in Discrete Time (with Svetlana Boyarchenko) (February 24, 2004). http://ssrn.com/abstract=510324
    39. Practical Guide to Real Options in Discrete Time II (with Svetlana Boyarchenko). http://ssrn.com/abstract=642262
    40. 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.    

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