Artur Sepp

发表

Credit Value Adjustment for Credit Default Swaps via the Structural Default Model

A. Lipton, Artur Sepp, 2009 .

Pricing Options on Realized Variance in the Heston Model with Jumps in Returns and Volatility

Artur Sepp, 2008 .

Stochastic volatility models and Kelvin waves

A. Lipton, Artur Sepp, 2008 .

Log-Normal Stochastic Volatility Model: Affine Decomposition of Moment Generating Function and Pricing of Vanilla Options

Artur Sepp, 2016 .

AFFINE MODELS IN MATHEMATICAL FINANCE: AN ANALYTICAL APPROACH

Artur Sepp, 2007 .

Pricing European-Style Options under Jump Diffusion Processes with Stochastic Volatility: Applications of Fourier Transform

Artur Sepp, Artur Sepp, 2003, Acta et Commentationes Universitatis Tartuensis de Mathematica.

An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs

Artur Sepp, 2010 .

Extended CreditGrades Model with Stochastic Volatility and Jumps

Artur Sepp, 2006 .

Numerical PDE Methods to Solve Calibration and Pricing Problems in Local Stochastic Volatility Models

Artur Sepp, 2011 .

Analytical Pricing of Double-Barrier Options under a Double-Exponential Jump Diffusion Process: Applications of Laplace Transform

Artur Sepp, Artur Sepp, 2003 .

Option Pricing with Jumps

Artur Sepp, I. Skachkov, 2003 .

VIX Option Pricing in a Jump-Diffusion Model

Artur Sepp, 2008 .

Achieving Consistent Modeling Of VIX and Equities Derivatives

Artur Sepp, 2012 .

Profit-and-Loss of Option Strategies under Quadratic Skew Parametrization

Artur Sepp, 2010 .

Empirical Calibration and Minimum-Variance Delta Under Log-Normal Stochastic Volatility Dynamics

Artur Sepp, Artur Sepp, 2014 .

Pricing Options on Realized Variance in the Heston Model with Jumps in Returns and Volatility - Part II: An Approximate Distribution of Discrete Variance

Artur Sepp, Artur Sepp, 2012 .

Variance Swaps Under No Conditions

Artur Sepp, 2007 .

Toward an Efficient Hybrid Method for Pricing Barrier Options on Assets With Stochastic Volatility

A. Lipton, Artur Sepp, 2022, SSRN Electronic Journal.