Artur Sepp
Artur Sepp
Research Director, Quantica Capital AG
Email verificata su quantica-capital.com - Home page
Titolo
Citata da
Citata da
Anno
Credit value adjustment for credit default swaps via the structural default model
A Lipton, A Sepp
The Journal of Credit Risk 5 (2), 127-150, 2009
1502009
Pricing options on realized variance in the Heston model with jumps in returns and volatility
A Sepp
Journal of Computational Finance 11 (4), 33-70, 2008
1462008
Analytical pricing of double-barrier options under a double-exponential jump diffusion process: applications of Laplace transform
A Sepp
International Journal of Theoretical and Applied Finance 7 (2), 151-175, 2004
1262004
VIX option pricing in a jump-diffusion model
A Sepp
Risk magazine, 84-89, 2008
1232008
Extended credit grades model with stochastic volatility and jumps
A Sepp
Wilmott Magazine, 50-62, 2006
472006
Pricing european-style options under jump diffusion processes with stochastic volatility: Applications of fourier transform
A Sepp
Kangro, R., Parna, K., and Sepp, A.,(2004)," Pricing European-Style Options …, 2003
452003
Fourier transform for option pricing under affine jump-diffusions: An overview
A Sepp
SSRN paper http://ssrn.com/abstract=1412333, 2003
442003
Affine models in mathematical finance: an analytical approach (PhD Thesis)
A Sepp
Tartu University Press, 2007
33*2007
Filling the gaps
A Lipton, A Sepp
Risk Magazine, October, 66-71, 2011
312011
Stochastic volatility models and Kelvin waves
A Lipton, A Sepp
Journal of Physics A: Mathematical and Theoretical 41 (34), 344012, 2008
252008
Pricing options on realized variance in the Heston model with jumps in returns and volatility. Part II. An approximate distribution of discrete variance
A Sepp
Journal of Computational Finance 16 (2), 3-32, 2012
242012
An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs
A Sepp
Quantitative Finance 12 (7), 1119-1141, 2012
202012
Option pricing with jumps
A Sepp, I Skachkov
17*2003
Dynamic credit models
S Inglis, A Lipton, I Savescu, A Sepp
Statistics and its Interface 1 (2), 211-227, 2008
16*2008
Log-normal stochastic volatility model: pricing of vanilla options and econometric estimation
A Sepp
SSRN 2522425, 4-8, 2015
15*2015
Efficient numerical PDE methods to solve calibration and pricing problems in local stochastic volatility models
A Sepp
Global Derivatives, 2011
15*2011
Beta stochastic volatility model
A Sepp, P Karasinski
Risk Magazine, 66-71, 2012
142012
Variance swaps under no conditions
A Sepp
Risk Magazine, 82-87, 2007
132007
Parametric and Non-parametric Local Volatility Models: Achieving Consistent Modeling Of VIX and Equities Derivatives
A Sepp
Quant Congress Europe, 2011
11*2011
Pricing barrier options under local volatility
A Sepp
Math. Comp, 2002
102002
Il sistema al momento non può eseguire l'operazione. Riprova più tardi.
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