11 citations · 27 across the 7 of their papers we have counts for
3 papers · 1 filter
Lie symmetries of fundamental solutions of one (2+1)-dimensional ultra-parabolic Fokker--Planck--Kolmogorov equation
Sergii Kovalenko, Valeriy Stogniy, Maksym Tertychnyi
A (2+1)-dimensional linear ultra-parabolic Fokker--Planck--Kolmogorov equation is investigated from the group-theoretical point of view. By using the Berest--Aksenov approach, an a…
Currency Derivatives Pricing for Markov-modulated Merton Jump-diffusion Spot Forex Rate
Anatoliy Swishchuk, Maksym Tertychnyi, Winsor Hoang
We derived similar to Bo et al. (2010) results but in the case when the dynamics of the FX rate is driven by a general Merton jump-diffusion process. The main results of our paper…
Pricing Currency Derivatives with Markov-modulated Levy Dynamics
Anatoliy Swishchuk, Maksym Tertychnyi, Robert Elliott
Using a Levy process we generalize formulas in Bo et al.(2010) for the Esscher transform parameters for the log-normal distribution which ensure the martingale condition holds for…