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 | 169 | 2008 |
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 | 168 | 2009 |
VIX option pricing in a jump-diffusion model A Sepp Risk magazine, 84-89, 2008 | 133 | 2008 |
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 | 129 | 2004 |
Extended credit grades model with stochastic volatility and jumps A Sepp Wilmott Magazine, 50-62, 2006 | 52 | 2006 |
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 | 46 | 2003 |
Filling the gaps A Lipton, A Sepp Risk Magazine, October, 66-71, 2011 | 43 | 2011 |
Fourier transform for option pricing under affine jump-diffusions: An overview A Sepp SSRN paper http://ssrn.com/abstract=1412333, 2003 | 43 | 2003 |
Stochastic volatility models and Kelvin waves A Lipton, A Sepp Journal of Physics A: Mathematical and Theoretical 41 (34), 344012, 2008 | 32 | 2008 |
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 | 28 | 2012 |
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 | 23 | 2012 |
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 | 21 | 2012 |
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 | 18 | 2003 |
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 | 17 | 2007 |
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 | 16 | 2013 |