1. Pricing Interest rate derivatives with piecewise multilinear interpolation and transition parameters
by Hatem Ben-Ameur, Lotti Karoui and Walid Mnit
Journal of Derivatives, 2014, 22(2)82-109

2. Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications
by Roman Valeryevich Ivanov
Stochastics An International Journal of Probability and Stochastic Process, 2015, 88(1):1-16

3. On the conditional moment-generating function of a three-factor variance Gamma based process and its applications to forward and futures pricing
by Roman Valeryevich Ivanov
Markov processes and related fields 2015, 22(4)737-758

4. Closed-form pricing of European options for a family of normal-inverse Gaussian processes
by Roman Valeryevich Ivanov
Stochastic Models 2013 29(4)

5. Truncated moment-generating functions of the NIG process and their applications
by Roman Valeryevich Ivanov
Stochastics and dynamics, 2016 17(05)

6. On computing the price of financial instruments in foreign currency
by Roman Valeryevich Ivanov
Automation and remote control 2018 79(4):679-690

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