Concepedia

Artur Sepp

AS

Statistics

Publications

10

Citations

308

H-Index

10

Active since

2003

Affiliations

Capital University(Current)

Massachusetts Institute of Technology

University of Tartu

Hebrew University of Jerusalem

Artur Sepp is an author at Capital University specializing in business, finance, and financial economics.

ORCID

Publications per year

2003–2023

10

Publications

10

VIX Option Pricing in a Jump-Diffusion Model

Artur Sepp · SSRN Electronic Journal · 2008 · 93 citations · Full text

, , +17

Credit value adjustment for credit default swaps via the structural default model

Alex Lipton, Artur Sepp · The Journal of Credit Risk · 2009 · 49 citations

, , +16

Pricing options on realized variance in the Heston model with jumps in returns and volatility

Artur Sepp · The Journal of Computational Finance · 2008 · 44 citations

, , +16

Fourier Transform for Option Pricing Under Affine Jump-Diffusions: An Overview

Artur Sepp · SSRN Electronic Journal · 2003 · 30 citations · Full text

, , +17

Extended CreditGrades Model with Stochastic Volatility and Jumps

Artur Sepp · 2006 · 22 citations

, , +17

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