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 0 1 19
ADOL - Markovian approximation of rough lognormal model 0 0 1 16 0 1 2 42
An Expanded Local Variance Gamma model 0 0 0 6 1 1 3 44
Deep learning calibration of option pricing models: some pitfalls and solutions 0 1 2 61 1 4 12 117
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 0 30 0 0 1 34
From the Black-Karasinski to the Verhulst model to accommodate the unconventional Fed's policy 0 0 1 6 0 0 7 26
Geometric Local Variance Gamma model 0 0 1 4 0 0 2 33
High-Order Splitting Methods for Forward PDEs and PIDEs 0 0 0 11 0 1 1 36
Influence of jump-at-default in IR and FX on Quanto CDS prices 0 0 3 9 2 3 10 46
LSV models with stochastic interest rates and correlated jumps 0 0 1 8 0 0 3 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 1 1 5 0 1 3 14
New solvable stochastic volatility models for pricing volatility derivatives 0 0 0 18 0 1 3 62
Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions 0 0 0 10 0 0 1 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 0 14 1 2 3 56
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 1 2 123
Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit 0 0 0 10 0 0 1 12
Semi-analytical pricing of barrier options in the time-dependent $\lambda$-SABR model 0 0 0 10 0 0 2 19
Semi-closed form prices of barrier options in the Hull-White model 0 0 0 8 0 0 1 14
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models 0 0 0 3 0 0 1 20
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process 0 0 0 6 0 0 2 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 0 2 27
To sigmoid-based functional description of the volatility smile 0 0 0 8 0 1 1 51
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 1 1 30 0 1 5 97
Total Working Papers 0 3 12 398 5 17 75 1,241

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 1 5 12
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 6 49 0 1 17 120
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 1 1 1 13
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging 0 0 0 2 0 0 2 21
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case 0 0 0 28 0 0 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 0 2 35
To sigmoid-based functional description of the volatility smile 0 0 2 26 0 0 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 0 1 9 136 1 3 39 594

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 0 7 93 2 3 25 253
Total Books 0 0 7 93 2 3 25 253

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 1 1 1 21
Analytical Methods of Building the Local Volatility Surface 0 1 2 18 0 1 5 40
Geometric Local Variance Gamma Model 0 0 2 6 0 1 9 42
Local Volatility Surface and No-arbitrage 1 1 4 33 1 1 6 82
Local Volatility and Dupire’s Equation 0 0 9 56 2 3 28 159
Regression-based Methods 0 0 0 4 0 0 0 26
Total Chapters 1 2 17 122 4 7 49 370

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Statistics updated 2025-07-04