Svetlana I. Boyarchenko, Ph.D.
Affiliations: | 2001 | University of Pennsylvania, Philadelphia, PA, United States |
Area:
Theory EconomicsGoogle:
"Svetlana Boyarchenko"Parents
Sign in to add mentor| David Cass | grad student | 2001 | Penn | |
| (Essays in financial and monetary economics.) | ||||
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Publications
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| Boyarchenko S, Levendorskiĭ S. (2020) Static and semistatic hedging as contrarian or conformist bets Mathematical Finance. 30: 921-960 |
| Boyarchenko S, Levendorskiĭ S. (2020) Conformal Accelerations Method and Efficient Evaluation of Stable Distributions Acta Applicandae Mathematicae. 169: 711-765 |
| Boyarchenko S. (2019) Industry Equilibrium with Random Exit or Default Journal of Public Economic Theory. 21: 650-686 |
| Boyarchenko S, Levendorskiĭ S. (2019) SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations International Journal of Theoretical and Applied Finance. 22: 1950011 |
| Boyarchenko S, Levendorskiĭ S. (2019) Optimal Stopping Problems in Lévy Models with Random Observations Acta Applicandae Mathematicae. 163: 19-48 |
| Boyarchenko S. (2019) Super- and submodularity of stopping games with random observations Economic Theory. 1-40 |
| Boyarchenko S, Levendorskiĭ S. (2017) Efficient Pricing Of Barrier Options And Credit Default Swaps In Lévy Models With Stochastic Interest Rate Mathematical Finance. 27: 1089-1123 |
| Boyarchenko S, Levendorskii S. (2014) Efficient Variations of the Fourier Transform in Applications to Option Pricing Journal of Computational Finance. 18: 57-90 |
| Boyarchenko S, Levendorskii S. (2014) Preemption games under Lévy uncertainty Games and Economic Behavior. 88: 354-380 |
| Boyarchenko S, Levendorskiĭ S. (2013) Efficient Laplace Inversion, Wiener-Hopf Factorization and Pricing Lookbacks International Journal of Theoretical and Applied Finance. 16: 1350011 |