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 4 23
ADOL - Markovian approximation of rough lognormal model 0 0 1 17 1 7 15 56
An Expanded Local Variance Gamma model 0 0 0 6 2 3 7 50
Deep learning calibration of option pricing models: some pitfalls and solutions 0 0 3 63 0 5 21 134
Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials 0 0 0 7 0 0 3 26
Efficient solution of structural default models with correlated jumps and mutual obligations 0 0 0 5 1 2 4 32
Filling the gaps smoothly 0 0 0 5 0 1 3 17
Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery 0 0 0 30 2 4 7 41
From the Black-Karasinski to the Verhulst model to accommodate the unconventional Fed's policy 1 1 1 7 1 1 5 31
Geometric Local Variance Gamma model 0 0 0 4 1 6 7 40
High-Order Splitting Methods for Forward PDEs and PIDEs 0 0 0 11 1 3 6 41
Influence of jump-at-default in IR and FX on Quanto CDS prices 0 0 2 11 1 4 15 58
LSV models with stochastic interest rates and correlated jumps 0 0 1 9 2 5 9 44
Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps 0 0 0 24 1 8 15 82
Multilayer heat equations: application to finance 0 0 2 6 0 3 9 22
New solvable stochastic volatility models for pricing volatility derivatives 0 0 0 18 0 1 5 66
Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions 0 0 1 11 0 1 5 30
Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging 0 0 0 4 0 2 7 37
Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method 0 0 0 14 0 8 12 66
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging 0 0 0 3 0 1 4 32
Pricing options with VG model using FFT 0 0 0 37 2 3 7 129
Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit 0 0 0 10 0 1 4 16
Semi-analytical pricing of barrier options in the time-dependent $\lambda$-SABR model 0 0 0 10 0 3 6 25
Semi-closed form prices of barrier options in the Hull-White model 0 0 0 8 3 8 12 26
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models 0 0 0 3 1 6 8 28
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process 0 0 0 6 0 4 9 31
Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps 0 0 0 3 1 3 3 22
Structural default model with mutual obligations 0 0 0 15 1 3 3 30
To sigmoid-based functional description of the volatility smile 0 0 0 8 1 8 15 65
USLV: Unspanned Stochastic Local Volatility Model 0 0 1 19 0 4 11 69
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models 0 0 1 30 2 3 12 108
Total Working Papers 1 1 13 408 24 112 253 1,477

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 4 0 1 7 18
HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs 0 0 0 0 0 5 6 21
Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps 0 0 0 2 0 6 10 32
NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS 0 1 4 52 2 7 15 134
New solvable stochastic volatility models for pricing volatility derivatives 0 0 0 17 3 4 8 84
PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING 0 0 0 1 0 2 5 17
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging 0 0 1 3 0 3 4 25
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case 0 0 0 28 0 2 4 109
Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps 0 0 0 0 0 2 6 9
Structural default model with mutual obligations 0 0 0 2 0 2 5 40
To sigmoid-based functional description of the volatility smile 0 0 1 27 1 6 12 131
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models 0 0 0 6 0 4 11 64
Total Journal Articles 0 1 7 142 6 44 93 684

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 1 4 97 1 6 19 269
Total Books 0 1 4 97 1 6 19 269

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 1 3 23
Analytical Methods of Building the Local Volatility Surface 0 0 2 19 0 1 6 45
Geometric Local Variance Gamma Model 0 0 0 6 0 2 5 46
Local Volatility Surface and No-arbitrage 0 0 2 34 1 2 5 86
Local Volatility and Dupire’s Equation 1 3 10 66 11 16 51 207
Regression-based Methods 0 1 1 5 0 6 7 33
Total Chapters 1 4 15 135 12 28 77 440

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Statistics updated 2026-04-09