Recent presentations

Recent presentations were on the following topics: 1. new efficient realizations of Fourier transform, Laplace transform and Wiener-Hopf factorization techniques, with applications to pricing various options and CDS (co-authored with Svetlana Boyarchenko, Mitya Boyarchenko and my PhD students). 2. Optimal stopping with non-monotone and discontinuous payoffs, with applications to real options with strategic intercations and ambiguity (with Svetlana Boyarchenko) Some of the talks were given by my co-authors.
  1. Efficient Laplace and Fourier inversion and Wiener-Hopf factorization in financial applications. Mathematical Finance Seminar, Department of Mathematics, University of York, May 12, 2014
  2. Efficient Laplace and Fourier inversion and Wiener-Hopf factorization in financial applications.  Seminar   at Department of Statistics, Purdue University, April 8, 2014
  3. Efficient Laplace and Fourier inversion and Wiener-Hopf factorization in  financial applications. Conference Mathematical finance and Partial Differential Equations 2013, Rutgers University, Nov 1, 2013
  4. Fast and accurate pricing using parabolic inverse Fourier and Laplace transforms, and method of paired contours. AMS Meeting, Philadelphia, October 12, 2013
  5. Efficient Laplace and Fourier inversion and Wiener-Hopf factorization in  financial applications. Mathematical Finance seminar at ETH Zurich, June 20, 2013
  6. Patience and impatience in optimal stopping problems. Workshop: Stochastic Optimization - Models and Algorithms. University of Bonn, May 27 - 29, 2013
  7. Patience and Impatience uncertainty (with Svetlana Boyarchenko) SAET 2013, Paris, July 22-July 27, 2013
  8. Efficient pricing and fast calibration of Heston model. Seminar of FX group,  UniCredit, London, September 20, 2013
  9. Stopping time games under Knightian uncertainty The 23rd International Conference on Game Theory at Stony Brook University, July 15-July 19, 2012
  10. Preemption Games Under Levy Uncertainty (with Svetlana Boyarchenko) The 23rd International Conference on Game Theory at Stony Brook University, July 15-July 19, 2012
  11. Efficient pricing and fast calibration of Heston model. SIAMFM 2012, Minneapolis, July 2012
  12. Ambiguous jump-diffusions, and when Brownian motion is the worst prior (with Svetlana Boyarchenko) SAET 2012, Brisbane, June 29-July 3, 2012
  13. Stopping time games under Knightian uncertainty (with Svetlana Boyarchenko) SAET 2012, Brisbane, June 29-July 3, 2012
  14. A template for fast and reliable calibration. 2012 Congress of The Bachelier Finance Society, Sydney, Australia, June 2012
  15. Pricing of Discretely Sampled  Asian Options Under Levy Processes (with Jiayao Xie) ) 2012 Congress of The Bachelier Finance Society, Sydney, Australia, June 2012
  16. Pricing Discrete Barrier Options and Credit Default Swaps Under Levy Processes (with M.De Innocentis) 2012 Congress of The Bachelier Finance Society, Sydney, Australia, June 2012
  17. Efficient Pricing Options with Barrier and Lookback Features Under Levy Processes (with Oleg Kudrayvtsev), 2012 Congress of The Bachelier Finance Society, Sydney, Australia, June 2012
  18. New Efficient Versions of Fourier Transform Method in Applications to Option Pricing (with Svetlana Boyarchenko)   Computational Finance Workshop, Warwick, July 6, 2011
  19. Effects of ambiguity on strategic interactions (with Svetlana Boyarchenko)  11thSAET Conference, June 27, 2011 Ancao (Faro), Portugal
  20. Preemption Games Under Levy Uncertainty (with Svetlana Boyarchenko)  11thSAET Conference, June 27, 2011 Ancao (Faro), Portugal
  21. A novel modeling of stochastic skewness with applications to fitting and hedging (with Marco de Innocentis), SIAM FM10, San Francisco, November 2010
  22. No-remorse principles for real options(with Svetlana Boyarchenko), SIAM FM10, San Francisco, November 2010
  23. Snowball effect of a CDS market (with Svetlana Boyarchenko), Conference “Expectations, Asset bubbles and financial crises”, Rotterdam, September 2010
  24. Calculus of expected present value operators and comparative statics in real option theory (with Svetlana Boyarchenko), MNTS2010, Budapest, July 2010
  25. Convergence of price and sensitivities in Carr's randomization approximation globally and near barrier, Congress of Bachelier Finance Society, Toronto, June 2010
  26. Prices of Barrier and First-Touch Digital Options in Levy-Driven Models, Near Barrier (with Mitya Boyarchenko and Marco de Innocentis), Congress of Bachelier Finance Society, Toronto, June 2010
  27. Fast pricing and calculation of sensitivities of OTM European options under Levy Processes (with Jiayao Xie),Congress of Bachelier Finance Society, Toronto, June 2010
  28. Prices and sensitivities of barrier and first touch digital options in Lévy-driven models, near barrier, Mathematical Finance seminar, University of Chicago, 6 November 2009
  29. Prices and sensitivities of barrier and first touch digital options in Lévy-driven models, near barrier, Mathematical Finance seminar, University of Edinburgh, 4 October 2009
  30. Refined and enhanced FFT techniques, with applications to pricing barrier options and their sensitivities (with Mitya Boyarchenko),  Mathematical Finance seminar, University of Marne la Vallée, 20 March 2009

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