34 citations · 150 across the 45 of their papers we have counts for
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math.GM2002
Lattice Option Pricing By Multidimensional Interpolation
Vladislav Kargin
This note proposes a method for pricing high-dimensional American options based on modern methods of multidimensional interpolation. The method allows using sparse grids and thus m…
math.OC2002★ 6 cited
On Bond Portfolio Management
Vladislav Kargin
This paper describes a new method of bond portfolio optimization based on stochastic string models of correlation structure in bond returns. The paper shows how to approximate corr…