2 citations · 2 across the 2 of their papers we have counts for
4 papers
Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery
Andrey Itkin, Fazlollah Soleymani
In this paper we modify the model of Itkin, Shcherbakov and Veygman, (2019) (ISV2019), proposed for pricing Quanto Credit Default Swaps (CDS) and risky bonds, in several ways. Firs…
Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method
Fazlollah Soleymani, Andrey Itkin
This paper proposes a numerical method for pricing foreign exchange (FX) options in a model which deals with stochastic interest rates and stochastic volatility of the FX rate. The…
Computing stable numerical solutions for multidimensional American option pricing problems: a semi-discretization approach
Rafael Company, Vera Egorova, Lucas Jódar +1
The matter of the stability for multi-asset American option pricing problems is a present remaining challenge. In this paper a general transformation of variables allows to remove…
Highly Efficient Computation of Generalized Inverse of a Matrix
V. Y. Pan, F. Soleymani, Liang Zhao
We propose a hyperpower iteration for numerical computation of the outer generalized inverse of a matrix which achieves the 18th order of convergence by using only seven matrix mul…