Kudryavtsev O E

Publications in Math-Net.Ru

1. Pricing options in the Heston model using artificial neural networks
   
   Izvestiya Vuzov. Severo-Kavkazskii Region. Natural Science, 2024, no. 41,  31–37
2. Monte Carlo method for pricing lookback options in Lévy models
   
   Teor. Veroyatnost. i Primenen., 69:2 (2024),  305–334
3. Universal Monte Carlo method for Lévy processes and their extrema
   
   Russian Universities Reports. Mathematics, 29:147 (2024),  233–243
4. Fast calculation of integral convolution operators in problems of evaluating options in Lévy's models
   
   Zh. Vychisl. Mat. Mat. Fiz., 64:12 (2024),  2243–2261
5. Approximate Wiener–Hopf factorization and the Monte Carlo methods for Lévy processes
   
   Teor. Veroyatnost. i Primenen., 64:2 (2019),  228–257
6. Efficient numerical method for solving a special class of integro-differential equations connected with Levy models
   
   Mat. Model., 23:5 (2011),  95–104