58 citations · 182 across the 32 of their papers we have counts for
38 papers
A Math Circle in Third Grade
Evgeny Lakshtanov, Marek Tusiewicz
Problems developed for a mathematics circle conducted throughout the school year in a primary school class, involving all pupils without any selection, thus working with a heteroge…
Unbiased Monte Carlo Greeks for Discontinuous Payoffs
Evgeny Lakshtanov
Pathwise differentiation of Monte Carlo estimators fails at payoff discontinuities, producing zero or biased sensitivities for barriers, autocallables, and digital options. The ind…
Denoised Monte Carlo for option pricing and Greeks estimation
Andrzej Daniluk, Evgeny Lakshtanov, Rafal Muchorski
We present a novel technique of Monte Carlo error reduction that finds direct application in option pricing and Greeks estimation. The method is applicable to any LSV modelling fra…
Adjoint Differentiation for generic matrix functions
Andrei Goloubentsev, Dmitri Goloubentsev, Evgeny Lakshtanov
We derive a formula for the adjoint of a square-matrix operation of the form , where is holomorphic in the neighborhood of each eigenvalue. We then apply…
Remarks on stochastic automatic adjoint differentiation and financial models calibration
Dmitri Goloubentsev, Evgeny Lakshtanov
In this work, we discuss the Automatic Adjoint Differentiation (AAD) for functions of the form , which often appear in the calibration of stocha…
Designing lasing and perfectly absorbing potentials
Vladimir V. Konotop, Evgeny Lakshtanov, Boris Vainberg
Existence of a spectral singularity (SS) in the spectrum of {a Schrödinger operator with} a non-Hermitian potential requires exact matching of parameters of the potential. We provi…