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Kudryavtsev, O E
Statistics Math-Net.Ru
Total publications: 3
Scientific articles: 3
Presentations: 2

Number of views:
This page:268
Abstract pages:935
Full texts:287
References:108
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https://www.mathnet.ru/eng/person65547
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Publications in Math-Net.Ru Citations
2024
1. O. E. Kudryavtsev, A. S. Grechko, I. E. Mamadov, “Monte Carlo method for pricing lookback options in Lévy models”, Teor. Veroyatnost. i Primenen., 69:2 (2024),  305–334  mathnet; Theory Probab. Appl., 69:2 (2024), 243–264
2019
2. O. E. Kudryavtsev, “Approximate Wiener–Hopf factorization and the Monte Carlo methods for Lévy processes”, Teor. Veroyatnost. i Primenen., 64:2 (2019),  228–257  mathnet  mathscinet  zmath  elib; Theory Probab. Appl., 64:2 (2019), 186–208  isi  scopus 9
2011
3. O. E. Kudryavtsev, “Efficient numerical method for solving a special class of integro-differential equations connected with Levy models”, Matem. Mod., 23:5 (2011),  95–104  mathnet  mathscinet; Math. Models Comput. Simul., 3:6 (2011), 706–711  scopus 7

Presentations in Math-Net.Ru
1. Risk measures for variable annuities under Levy processes
O. E. Kudryavtsev
9th International Conference on Stochastic Methods
June 6, 2024 10:45   
2. A Simple Wiener-Hopf factorization method for pricing options with barriers in Levy-driven models
O. E. Kudryavtsev
Seminar on Analysis, Differential Equations and Mathematical Physics
June 23, 2022 18:00

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