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Artur Sepp
Artur Sepp
LGT Banks, Head Quant
Verified email at artursepp.com - Homepage
Title
Cited by
Cited by
Year
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
1692008
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
1682009
VIX option pricing in a jump-diffusion model
A Sepp
Risk magazine, 84-89, 2008
1332008
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
1292004
Extended credit grades model with stochastic volatility and jumps
A Sepp
Wilmott Magazine, 50-62, 2006
522006
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
462003
Filling the gaps
A Lipton, A Sepp
Risk Magazine, October, 66-71, 2011
432011
Fourier transform for option pricing under affine jump-diffusions: An overview
A Sepp
SSRN paper http://ssrn.com/abstract=1412333, 2003
432003
Stochastic volatility models and Kelvin waves
A Lipton, A Sepp
Journal of Physics A: Mathematical and Theoretical 41 (34), 344012, 2008
322008
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
282012
Log-normal Stochastic Volatility Model with Quadratic Drift
A Sepp, P Rakhmonov
Available at SSRN 2522425, 2022
26*2022
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
232012
Efficient numerical PDE methods to solve calibration and pricing problems in local stochastic volatility models
A Sepp
Global Derivatives, 2011
23*2011
Beta stochastic volatility model
A Sepp, P Karasinski
Risk Magazine, 66-71, 2012
212012
Affine models in mathematical finance: an analytical approach (PhD Thesis)
A Sepp
Tartu University Press, 2007
19*2007
Option pricing with jumps
A Sepp, I Skachkov
182003
Dynamic credit models
S Inglis, A Lipton, I Savescu, A Sepp
Statistics and its Interface 1 (2), 211-227, 2008
17*2008
Variance swaps under no conditions
A Sepp
Risk Magazine, 82-87, 2007
172007
Pricing barrier options under local volatility
A Sepp
Math. Comp, 2002
17*2002
When you hedge discretely: Optimization of sharpe ratio for delta-hedging strategy under discrete hedging and transaction costs
A Sepp
Journal of Investment Strategies 3 (1), 19-59, 2013
162013
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