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
An Expanded Local Variance Gamma model 0 0 0 3 2 3 6 30
Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials 0 0 0 7 1 1 3 22
Efficient solution of structural default models with correlated jumps and mutual obligations 0 0 0 4 0 0 5 25
Filling the gaps smoothly 0 0 0 4 0 0 0 9
High-Order Splitting Methods for Forward PDEs and PIDEs 0 0 0 10 0 0 4 30
Influence of jump-at-default in IR and FX on Quanto CDS prices 0 0 0 1 1 2 7 18
LSV models with stochastic interest rates and correlated jumps 0 0 0 4 0 0 2 15
Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps 0 0 1 15 0 1 5 22
New solvable stochastic volatility models for pricing volatility derivatives 0 0 2 17 1 1 5 53
Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions 0 0 1 6 1 2 3 17
Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging 0 0 0 3 0 2 4 27
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging 0 0 0 1 1 2 5 23
Pricing options with VG model using FFT 0 0 0 37 0 0 4 117
Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps 0 0 1 2 0 0 3 14
Structural default model with mutual obligations 0 0 0 14 1 2 8 23
To sigmoid-based functional description of the volatility smile 0 0 1 4 1 2 7 32
USLV: Unspanned Stochastic Local Volatility Model 0 0 0 17 3 3 12 51
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models 0 0 1 27 0 0 3 88
Total Working Papers 0 0 7 176 12 21 86 616


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs 0 0 0 0 0 0 3 12
New solvable stochastic volatility models for pricing volatility derivatives 0 0 2 15 0 1 8 65
PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING 0 0 1 1 0 0 2 11
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging 0 0 1 2 0 0 3 17
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case 0 0 1 28 0 0 1 100
Structural default model with mutual obligations 0 0 1 1 3 4 11 23
To sigmoid-based functional description of the volatility smile 0 0 3 14 2 3 9 59
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models 0 0 0 6 0 2 7 48
Total Journal Articles 0 0 9 67 5 10 44 335


Statistics updated 2020-09-04