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 0 1 3 19
ADOL - Markovian approximation of rough lognormal model 0 0 1 16 0 0 2 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 0 2 12 113
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 2 4 8 26
Geometric Local Variance Gamma model 0 0 1 4 1 1 4 33
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 2 3 9 1 3 7 43
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 3 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 0 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 4 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 0 10 0 0 4 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 2 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 0 1 58
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models 0 0 0 29 0 1 4 96
Total Working Papers 1 2 12 395 4 14 83 1,224

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 0 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 1 22
NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS 0 1 9 48 0 4 25 119
New solvable stochastic volatility models for pricing volatility derivatives 0 0 0 17 0 0 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 0 2 4 105
Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps 0 0 0 0 0 0 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 1 1 2 26 1 2 4 119
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models 0 0 0 6 0 0 0 53
Total Journal Articles 1 2 12 135 1 12 46 591

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 0 2 11 93 1 6 28 250
Total Books 0 2 11 93 1 6 28 250

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 0 1 1 17 0 3 5 39
Geometric Local Variance Gamma Model 0 0 2 6 0 0 9 41
Local Volatility Surface and No-arbitrage 0 0 5 32 0 1 9 81
Local Volatility and Dupire’s Equation 0 2 10 56 0 4 30 156
Regression-based Methods 0 0 0 4 0 0 0 26
Total Chapters 0 3 18 120 0 8 54 363

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2025-04-04