139 citations · 575 across the 36 of their papers we have counts for
4 papers · 1 filter
Computing the truncated theta function via Mordell integral
Alexey Kuznetsov
Hiary [3] has presented an algorithm which allows to evaluate the truncated theta function to within in arithmetic…
Asian options and meromorphic Levy processes
Daniel Hackmann, Alexey Kuznetsov
One method to compute the price of an arithmetic Asian option in a Levy driven model is based on the exponential functional of the underlying Levy process: If we know the distribut…
A note on the series representation for the density of the supremum of a stable process
Daniel Hackmann, Alexey Kuznetsov
An absolutely convergent double series representation for the density of the supremum of -stable Levy process is given in [3, Theorem 2] for almost all irrational . This resu…
On the convergence of the Gaver-Stehfest algorithm
Alexey Kuznetsov
The Gaver-Stehfest algorithm for numerical inversion of Laplace transform was developed in the late 1960s. Due to its simplicity and good performance it is becoming increasingly mo…