417 citations · 666 across the 18 of their papers we have counts for
18 papers
Swaption Prices in HJM model. Nonparametric fit
V. M. Belyaev
Closed form formulas for swaption prices in HJM model are derived. These formulas are used for nonparametric fit of deterministic forward volatility. It is demonstrated that this f…
Pricing Variable Annuity Contracts with High-Water Mark Feature
V. M. Belyaev
Variable annuities (VA) are popular insurance products. VAs provides the insured with a guaranteed accumulation rate on their premium at maturity. In addition, the insured may rece…
Cumulant Expansion and Monthly Sum Derivative
V. M. Belyaev
Cumulant expansion is used to derive accurate closed-form approximation for Monthly Sum Options in case of constant volatility model. Payoff of Monthly Sum Option is based on sum o…
Z_N-symmetry in gauge theories at finite temperatures
V. M. Belyaev
The role of Z_N symmetry in gauge theories at finite temperatures is discussed. This symmetry is studied in terms of A_0-effective potential. We consider two- and four-dimensional…
Pion Light-Cone Wave Functions and Light-Front Quark Model
V. M. Belyaev, Mikkel B. Johnson
We discuss a relation between the light-front quark model and QCD. We argue that this model can be used for an evaluation of the light-cone wave functions for moderate values of "u…
Distribution of valence quarks and light-cone QCD sum rules
V. M. Belyaev, Mikkel B. Johnson
A method for calculating the pion structure function directly in terms of light-cone wave functions is suggested. Taking twist-2 and twist-4 pion light-cone wave functions into acc…