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 3 3 7 26
ADOL - Markovian approximation of rough lognormal model 0 0 1 17 3 5 18 59
An Expanded Local Variance Gamma model 0 0 0 6 3 5 10 53
Deep learning calibration of option pricing models: some pitfalls and solutions 1 1 4 64 4 4 23 138
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 2 3 6 34
Filling the gaps smoothly 0 0 0 5 4 5 7 21
Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery 0 0 0 30 2 4 9 43
From the Black-Karasinski to the Verhulst model to accommodate the unconventional Fed's policy 0 1 1 7 2 3 7 33
Geometric Local Variance Gamma model 0 0 0 4 2 3 9 42
High-Order Splitting Methods for Forward PDEs and PIDEs 0 0 0 11 3 4 8 44
Influence of jump-at-default in IR and FX on Quanto CDS prices 0 0 2 11 5 7 20 63
LSV models with stochastic interest rates and correlated jumps 0 0 1 9 3 7 12 47
Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps 0 0 0 24 2 3 17 84
Multilayer heat equations: application to finance 0 0 1 6 2 3 10 24
New solvable stochastic volatility models for pricing volatility derivatives 0 0 0 18 2 3 7 68
Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions 0 0 1 11 1 1 6 31
Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging 1 1 1 5 4 4 11 41
Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method 0 0 0 14 5 6 16 71
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging 0 0 0 3 3 3 7 35
Pricing options with VG model using FFT 0 0 0 37 0 2 7 129
Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit 0 0 0 10 3 4 7 19
Semi-analytical pricing of barrier options in the time-dependent $\lambda$-SABR model 0 0 0 10 2 2 8 27
Semi-closed form prices of barrier options in the Hull-White model 0 0 0 8 4 10 16 30
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models 0 0 0 3 1 3 9 29
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process 0 0 0 6 0 3 9 31
Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps 0 0 0 3 2 3 5 24
Structural default model with mutual obligations 0 0 0 15 3 5 6 33
To sigmoid-based functional description of the volatility smile 0 0 0 8 1 5 16 66
USLV: Unspanned Stochastic Local Volatility Model 0 0 1 19 5 6 16 74
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models 0 0 0 30 3 6 14 111
Total Working Papers 2 3 13 410 79 125 326 1,556

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 3 3 10 21
HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs 0 0 0 0 2 2 8 23
Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps 0 0 0 2 1 1 11 33
NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS 0 1 4 52 4 8 19 138
New solvable stochastic volatility models for pricing volatility derivatives 0 0 0 17 2 5 10 86
PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING 0 0 0 1 2 3 7 19
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging 0 0 1 3 3 3 7 28
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case 0 0 0 28 1 2 5 110
Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps 0 0 0 0 0 0 6 9
Structural default model with mutual obligations 0 0 0 2 4 4 9 44
To sigmoid-based functional description of the volatility smile 0 0 1 27 1 3 13 132
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models 0 0 0 6 3 3 14 67
Total Journal Articles 0 1 7 142 26 37 119 710

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 8 10 27 277
Total Books 0 1 4 97 8 10 27 277

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 4 4 7 27
Analytical Methods of Building the Local Volatility Surface 0 0 2 19 2 2 8 47
Geometric Local Variance Gamma Model 0 0 0 6 6 7 11 52
Local Volatility Surface and No-arbitrage 1 1 3 35 5 7 10 91
Local Volatility and Dupire’s Equation 1 3 11 67 5 19 55 212
Regression-based Methods 0 1 1 5 3 4 10 36
Total Chapters 2 5 17 137 25 43 101 465

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Statistics updated 2026-05-06