Victor Shcherbakov
TitelCiteras avÅr
Radial basis function partition of unity methods for pricing vanilla basket options
V Shcherbakov, E Larsson
Computers & Mathematics with Applications 71 (1), 185-200, 2016
652016
BENCHOP–The BENCHmarking project in option pricing
L von Sydow, L Josef Höök, E Larsson, E Lindström, S Milovanović, ...
International Journal of Computer Mathematics 92 (12), 2361-2379, 2015
572015
A least squares radial basis function partition of unity method for solving PDEs
E Larsson, V Shcherbakov, A Heryudono
SIAM Journal on Scientific Computing 39 (6), A2538-A2563, 2017
172017
Radial basis function partition of unity operator splitting method for pricing multi-asset American options
V Shcherbakov
BIT Numerical Mathematics 56 (4), 1401-1423, 2016
162016
A meshfree approach to non-Newtonian free surface ice flow: Application to the Haut Glacier d'Arolla
J Ahlkrona, V Shcherbakov
Journal of Computational Physics 330, 633-649, 2017
72017
Influence of jump-at-default in IR and FX on Quanto CDS prices
A Itkin, V Shcherbakov, A Veygman
arXiv preprint arXiv:1711.07133, 2017
52017
Anisotropic radial basis function methods for continental size ice sheet simulations
G Cheng, V Shcherbakov
Journal of Computational Physics 372, 161-177, 2018
42018
Pricing derivatives under multiple stochastic factors by localized radial basis function methods
S Milovanović, V Shcherbakov
arXiv preprint arXiv:1711.09852, 2017
32017
Localised Radial Basis Function Methods for Partial Differential Equations
V Shcherbakov
Acta Universitatis Upsaliensis, 2018
12018
BENCHOP–SLV: the BENCHmarking project in Option Pricing–Stochastic and Local Volatility problems
L von Sydow, S Milovanović, E Larsson, K In't Hout, M Wiktorsson, ...
International Journal of Computer Mathematics 96 (10), 1910-1923, 2019
2019
New model for pricing Quanto Credit Default Swaps
A Itkin, V Shcherbakov, A Veygman
International Journal of Theoretical and Applied Finance (IJTAF) 22 (03), 1-37, 2019
2019
Pricing Derivatives under Multiple Stochastic Factors by Localized Radial Basis Function Methods
V Shcherbakov
arXiv. org, 2018
2018
Inuence of jump-at-default in IR and FX on Quanto CDS prices
A Itkin, V Shcherbakov, A Veygman
2017
Towards a Highly Efficient Meshfree Simulation of Non-Newtonian Free Surface Ice Flow: Application to the Haut Glacier d'Arolla
V Shcherbakov, J Ahlkrona
AGU Fall Meeting Abstracts, 2016
2016
Radial basis function methods for pricing multi-asset options
V Shcherbakov
Uppsala University, 2016
2016
On Different Techniques of Pricing American Multi-asset Options Using Radial Basis Function Methods
V Shcherbakov, E Larsson
BOOK OF ABSTRACTS, 210, 2015
2015
Pricing American multi-asset options using radial basis function partition of unity method
V Shcherbakov
Notes on the BENCHOP implementations for RBF–PUM
V Shcherbakov
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Artiklar 1–18