Sergei Levendorskii

Finance · 2000–2010

A researcher in the Science corpus: 9 papers; trusts 14 researchers and is trusted by 38 researchers here, as inferred from the citation graph.

Subfields

• Finance — 36 citations into it; #752 of 10,518 by trust here, #1,508 by citations
• Economics and Econometrics — 18 citations into it; #3,040 of 23,481 by trust here, #6,570 by citations
• Demography — 8 citations into it
• Management Science and Operations Research — 7 citations into it
• Statistics and Probability — 7 citations into it

Whom Sergei Levendorskii trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Ole E. Barndorff-Nielsen
2. Rosario Nunzio Mantegna
3. Svetlana Boyarchenko
4. Peter P. Carr
5. Dilip B Madan 5
6. Ernst Eberlein
7. H. Eugene Stanley
8. N. Shephard
9. Steven Kou
10. Sanjiv Ranjan Das

Who trusts Sergei Levendorskii overall

1. Luis Silvestre
2. M. Boyarchenko
3. Peter Tankov
4. Alexey Kuznetsov
5. M. Jeannin
6. Ana-Maria Matache
7. N. Shephard
8. J. Rosínski
9. Xavier Ros-Oton
10. Martijn Pistorius

Papers from Sergei Levendorskii's perspective

Ordered by how strongly the researchers Sergei Levendorskii trusts endorse each paper. Same corpus, a different order for every researcher.

1. The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures
2. Application of Generalized Hyperbolic Lévy Motions to Finance
3. Processes of normal inverse Gaussian type
4. Time-Changed Levy Processes and Option Pricing ⁄
5. Normal Modified Stable Processes
6. Martingale Methods in Financial Modelling
7. OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
8. Optimal stopping and perpetual options for Lévy processes
9. Generalized autoregressive conditional heteroskedasticity
10. A Theory for the Term Structure of Interest Rates

Their papers

• Feller processes of normal inverse Gaussian type (2001) — 155 citations
• Barrier options and touch- and-out options under regular Lévy processes of exponential type (2002) — 147 citations
• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES (2000) — 269 citations
• Irreversible Decisions under Uncertainty: Optimal Stopping Made Easy (2010) — 67 citations
• VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES (2009) — 47 citations
• THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS (2007) — 56 citations
• PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES (2004) — 151 citations
• Non-Gaussian Merton-Black-Scholes theory (2002) — 413 citations
• On the structure of spectra of periodic elliptic operators (2001) — 49 citations