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 2 20
ADOL - Markovian approximation of rough lognormal model 0 1 1 17 1 2 5 46
An Expanded Local Variance Gamma model 0 0 0 6 2 2 4 46
Deep learning calibration of option pricing models: some pitfalls and solutions 1 2 3 63 2 3 14 123
Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials 0 0 0 7 1 1 1 24
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 1 1 1 15
Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery 0 0 0 30 1 1 1 35
From the Black-Karasinski to the Verhulst model to accommodate the unconventional Fed's policy 0 0 0 6 2 3 10 30
Geometric Local Variance Gamma model 0 0 0 4 1 1 2 34
High-Order Splitting Methods for Forward PDEs and PIDEs 0 0 0 11 1 1 2 37
Influence of jump-at-default in IR and FX on Quanto CDS prices 0 1 3 10 2 4 11 50
LSV models with stochastic interest rates and correlated jumps 0 1 1 9 1 2 3 37
Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps 0 0 1 24 1 1 3 68
Multilayer heat equations: application to finance 0 0 2 6 2 2 5 17
New solvable stochastic volatility models for pricing volatility derivatives 0 0 0 18 0 1 5 64
Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions 0 1 1 11 1 2 2 27
Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging 0 0 0 4 1 1 2 32
Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method 0 0 0 14 1 1 4 58
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging 0 0 0 3 1 1 1 29
Pricing options with VG model using FFT 0 0 0 37 1 1 3 124
Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit 0 0 0 10 1 2 3 14
Semi-analytical pricing of barrier options in the time-dependent $\lambda$-SABR model 0 0 0 10 1 1 3 21
Semi-closed form prices of barrier options in the Hull-White model 0 0 0 8 0 0 3 16
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models 0 0 0 3 1 1 2 21
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process 0 0 0 6 1 1 1 23
Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps 0 0 0 3 0 0 0 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 3 3 4 54
USLV: Unspanned Stochastic Local Volatility Model 0 0 0 18 1 3 4 61
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models 0 0 1 30 1 2 6 99
Total Working Papers 1 6 13 405 32 44 109 1,299

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 1 3 8 17
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 0 22
NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS 0 1 5 51 0 2 12 125
New solvable stochastic volatility models for pricing volatility derivatives 0 0 0 17 1 2 3 78
PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING 0 0 0 1 0 0 1 13
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging 0 1 1 3 0 1 2 22
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case 0 0 0 28 1 1 4 106
Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps 0 0 0 0 0 0 2 4
Structural default model with mutual obligations 0 0 0 2 2 2 3 37
To sigmoid-based functional description of the volatility smile 0 0 2 27 2 3 6 123
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models 0 0 0 6 3 3 3 56
Total Journal Articles 0 2 9 141 10 17 44 618

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 2 93 1 3 14 256
Total Books 0 0 2 93 1 3 14 256

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 21
Analytical Methods of Building the Local Volatility Surface 0 0 2 18 1 1 7 42
Geometric Local Variance Gamma Model 0 0 0 6 0 0 1 42
Local Volatility Surface and No-arbitrage 0 0 1 33 1 1 4 83
Local Volatility and Dupire’s Equation 0 3 9 61 2 11 27 174
Regression-based Methods 0 0 0 4 0 0 0 26
Total Chapters 0 3 12 127 4 13 40 388

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Statistics updated 2025-11-08