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Roman V. Ivanov
Institution:
V. A. Trapeznikov Institute of Control Sciences
Observed institution:
V. A. Trapeznikov Institute of Control Sciences
ORCID:
0000-0002-8944-1253
Observed ORCID:
0000-0002-8944-1253
OpenAlex ID:
A5101894018
On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model
2023
·
Roman V. Ivanov
·
Risks
·
11
PDF
The Semi-Hyperbolic Distribution and Its Applications
2023
·
Roman V. Ivanov
·
Stats
·
6
PDF
A Credit-Risk Valuation under the Variance-Gamma Asset Return
2018
·
Roman V. Ivanov
·
Risks
·
5
On the Generalized Inverse Gaussian Volatility in the Continuous Ho–Lee Model
2025
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Roman V. Ivanov
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Computation
·
1
PDF
On Properties of the Hyperbolic Distribution
2024
·
Roman V. Ivanov
·
Mathematics
·
1
PDF
The Analytical Formula for the Distribution Function of the Variance Gamma Process and its Application to Option Pricing
2012
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Roman V. Ivanov
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SSRN Electronic Journal
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1
The Bilateral Gamma Process with Drift Switching and Its Applications to Finance
2026
·
Roman V. Ivanov
·
Symmetry
PDF
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Works count:
7
Citation count:
25
H-index:
3
I10-index:
1
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