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Ekaterina Voltchkova

Personal Details

First Name:Ekaterina
Middle Name:
Last Name:Voltchkova
Suffix:
RePEc Short-ID:pvo143
[This author has chosen not to make the email address public]
Terminal Degree:2005 (from RePEc Genealogy)

Affiliation

Groupe de Recherche en Économie Mathématique et Quantitative (GREMAQ)
Toulouse School of Economics (TSE)

Toulouse, France
http://www-gremaq.univ-tlse1.fr/

: 05.61.62.85.56
05 61 22 55 63
Manufacture des Tabacs - Bâtiment F, 21 Alléee de Brienne, 31000 TOULOUSE
RePEc:edi:getlsfr (more details at EDIRC)

Research output

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Jump to: Articles

Articles

  1. Rama Cont & Ekaterina Voltchkova, 2005. "Integro-differential equations for option prices in exponential Lévy models," Finance and Stochastics, Springer, vol. 9(3), pages 299-325, July.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

  1. Rama Cont & Ekaterina Voltchkova, 2005. "Integro-differential equations for option prices in exponential Lévy models," Finance and Stochastics, Springer, vol. 9(3), pages 299-325, July.

    Cited by:

    1. Kathrin Glau, 2015. "Feynman-Kac formula for L\'evy processes with discontinuous killing rate," Papers 1502.07531, arXiv.org, revised Nov 2015.
    2. Aziz Issaka & Indranil SenGupta, 2017. "Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index," Annals of Finance, Springer, vol. 13(4), pages 401-434, November.
    3. N. Hilber & N. Reich & C. Schwab & C. Winter, 2009. "Numerical methods for Lévy processes," Finance and Stochastics, Springer, vol. 13(4), pages 471-500, September.
    4. Jacob Söhl & Mathias Trabs, 2012. "Option calibration of exponential Lévy models: Implementation and empirical results," SFB 649 Discussion Papers SFB649DP2012-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    5. Peter K. Friz & Stefan Gerhold & Marc Yor, 2013. "How to make Dupire's local volatility work with jumps," Papers 1302.5548, arXiv.org.
    6. Bergenthum Jan & Rüschendorf Ludger, 2008. "Comparison results for path-dependent options," Statistics & Risk Modeling, De Gruyter, vol. 26(1), pages 53-72, March.
    7. Gaviraghi, B. & Annunziato, M. & Borzì, A., 2017. "Analysis of splitting methods for solving a partial integro-differential Fokker–Planck equation," Applied Mathematics and Computation, Elsevier, vol. 294(C), pages 1-17.
    8. Maximilian Ga{ss} & Kathrin Glau, 2016. "A Flexible Galerkin Scheme for Option Pricing in L\'evy Models," Papers 1603.08216, arXiv.org.
    9. Zailei Cheng, 2017. "Optimal Dividends in the Dual Risk Model under a Stochastic Interest Rate," Papers 1705.08411, arXiv.org.
    10. Ewald, Christian-Oliver & Nawar, Roy & Siu, Tak Kuen, 2013. "Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance," Energy Economics, Elsevier, vol. 36(C), pages 97-107.
    11. Kathrin Glau, 2016. "A Feynman–Kac-type formula for Lévy processes with discontinuous killing rates," Finance and Stochastics, Springer, vol. 20(4), pages 1021-1059, October.
    12. Amel Bentata & Rama Cont, 2015. "Forward equations for option prices in semimartingale models," Finance and Stochastics, Springer, vol. 19(3), pages 617-651, July.
    13. Colino, Jesús P., 2008. "Weak convergence in credit risk," DES - Working Papers. Statistics and Econometrics. WS ws085518, Universidad Carlos III de Madrid. Departamento de Estadística.
    14. N. Reich & C. Schwab & C. Winter, 2010. "On Kolmogorov equations for anisotropic multivariate Lévy processes," Finance and Stochastics, Springer, vol. 14(4), pages 527-567, December.
    15. Lian, Guanghua & Zhu, Song-Ping & Elliott, Robert J. & Cui, Zhenyu, 2017. "Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 167-183.
    16. Fernández Lexuri & Hieber Peter & Scherer Matthias, 2013. "Double-barrier first-passage times of jump-diffusion processes," Monte Carlo Methods and Applications, De Gruyter, vol. 19(2), pages 107-141, July.
    17. S. Kindermann & P. Mayer, 2011. "On the calibration of local jump-diffusion asset price models," Finance and Stochastics, Springer, vol. 15(4), pages 685-724, December.
    18. Nemat Safarov & Colin Atkinson, 2016. "Natural gas-fired power plants valuation and optimisation under Levy copulas and regime-switching," Papers 1607.01207, arXiv.org, revised Jul 2016.
    19. Denis Belomestny & Markus Reiß, 2006. "Spectral calibration of exponential Lévy Models [1]," SFB 649 Discussion Papers SFB649DP2006-034, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    20. Jakob Sohl & Mathias Trabs, 2012. "Option calibration of exponential L\'evy models: Confidence intervals and empirical results," Papers 1202.5983, arXiv.org, revised Oct 2012.
    21. René Carmona & Sergey Nadtochiy, 2012. "Tangent Lévy market models," Finance and Stochastics, Springer, vol. 16(1), pages 63-104, January.
    22. Blanka Horvath & Oleg Reichmann, 2018. "Dirichlet Forms and Finite Element Methods for the SABR Model," Papers 1801.02719, arXiv.org.
    23. Denis Belomestny & Markus Reiß, 2006. "Spectral calibration of exponential Lévy Models [2]," SFB 649 Discussion Papers SFB649DP2006-035, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    24. Peter Friz & Stefan Gerhold, 2011. "Don't stay local - extrapolation analytics for Dupire's local volatility," Papers 1105.1267, arXiv.org.
    25. Jacek Jakubowski & Mariusz Niewk{e}g{l}owski, 2013. "Risk-minimization and hedging claims on a jump-diffusion market model, Feynman-Kac Theorem and PIDE," Papers 1305.4132, arXiv.org, revised Jul 2013.

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