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Sergey G. Shorokhov
Publication Activity (10 Years)
Years Active: 2019-2021
Publications (10 Years): 3
Top Topics
Option Pricing
Monte Carlo Simulation
Desirable Properties
Parallel Computing
Top Venues
ITTMM
ITTMM (Selected Papers)
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Publications
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Sergey G. Shorokhov
Construction and simulation of continuous time portfolio with given properties.
ITTMM
(2021)
Sergey G. Shorokhov
On option pricing in local volatility models using parallel computing.
ITTMM
(2020)
Sergey G. Shorokhov
,
Victoria V. Khaptakhanova
Web based application for operational loss collection and value-at-risk and expected shortfall calculation.
ITTMM (Selected Papers)
(2019)