Access Statistics for Andrey Itkin

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A model-free backward and forward nonlinear PDEs for implied volatility 0 0 0 4 1 1 3 19
ADOL - Markovian approximation of rough lognormal model 0 0 2 16 0 0 3 41
An Expanded Local Variance Gamma model 0 0 1 6 0 0 3 43
Deep learning calibration of option pricing models: some pitfalls and solutions 0 0 1 60 1 2 13 113
Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials 0 0 0 7 0 0 0 23
Efficient solution of structural default models with correlated jumps and mutual obligations 0 0 0 5 0 0 0 28
Filling the gaps smoothly 0 0 0 5 0 0 0 14
Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery 0 0 1 30 0 0 2 34
From the Black-Karasinski to the Verhulst model to accommodate the unconventional Fed's policy 0 0 1 6 1 2 6 24
Geometric Local Variance Gamma model 0 0 1 4 0 0 3 32
High-Order Splitting Methods for Forward PDEs and PIDEs 0 0 0 11 0 0 0 35
Influence of jump-at-default in IR and FX on Quanto CDS prices 1 1 3 8 2 2 7 42
LSV models with stochastic interest rates and correlated jumps 0 0 1 8 0 0 4 35
Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps 0 0 1 24 0 0 4 67
Multilayer heat equations: application to finance 0 0 0 4 0 0 2 13
New solvable stochastic volatility models for pricing volatility derivatives 0 0 0 18 1 1 2 61
Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions 0 0 0 10 0 0 3 25
Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging 0 0 0 4 0 0 0 30
Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method 0 0 1 14 0 0 5 54
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging 0 0 0 3 0 0 1 28
Pricing options with VG model using FFT 0 0 0 37 0 0 1 122
Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit 0 0 0 10 0 0 2 12
Semi-analytical pricing of barrier options in the time-dependent $\lambda$-SABR model 0 0 1 10 0 1 5 19
Semi-closed form prices of barrier options in the Hull-White model 0 0 0 8 0 0 2 14
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models 0 0 0 3 0 0 3 20
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process 0 0 0 6 0 0 3 22
Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps 0 0 0 3 0 0 1 19
Structural default model with mutual obligations 0 0 0 15 0 1 3 27
To sigmoid-based functional description of the volatility smile 0 0 0 8 0 0 0 50
USLV: Unspanned Stochastic Local Volatility Model 0 0 0 18 0 1 1 58
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models 0 0 0 29 1 2 4 96
Total Working Papers 1 1 14 394 7 13 86 1,220

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
An Expanded Local Variance Gamma Model 0 0 1 3 2 2 5 11
HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs 0 0 0 0 0 0 0 15
Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps 0 0 0 2 0 0 2 22
NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS 0 1 10 48 1 4 27 119
New solvable stochastic volatility models for pricing volatility derivatives 0 0 0 17 0 1 2 76
PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING 0 0 0 1 0 0 0 12
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging 0 0 0 2 0 1 2 21
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case 0 0 0 28 2 3 4 105
Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps 0 0 0 0 0 1 1 3
Structural default model with mutual obligations 0 0 0 2 0 1 2 35
To sigmoid-based functional description of the volatility smile 0 0 2 25 0 1 6 118
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models 0 0 0 6 0 0 0 53
Total Journal Articles 0 1 13 134 5 14 51 590

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Fitting Local Volatility:Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models 1 2 11 93 3 6 29 249
Total Books 1 2 11 93 3 6 29 249

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
An Expanded Local Variance Gamma Model 0 0 0 5 0 0 1 20
Analytical Methods of Building the Local Volatility Surface 1 1 1 17 3 3 5 39
Geometric Local Variance Gamma Model 0 0 2 6 0 0 9 41
Local Volatility Surface and No-arbitrage 0 0 6 32 0 2 11 81
Local Volatility and Dupire’s Equation 2 3 11 56 4 5 33 156
Regression-based Methods 0 0 0 4 0 0 1 26
Total Chapters 3 4 20 120 7 10 60 363

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Statistics updated 2025-03-03