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 1 3 5 23
ADOL - Markovian approximation of rough lognormal model 0 0 1 17 5 8 13 54
An Expanded Local Variance Gamma model 0 0 0 6 1 2 5 48
Deep learning calibration of option pricing models: some pitfalls and solutions 0 0 3 63 5 11 22 134
Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials 0 0 0 7 0 2 3 26
Efficient solution of structural default models with correlated jumps and mutual obligations 0 0 0 5 1 3 3 31
Filling the gaps smoothly 0 0 0 5 0 1 2 16
Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery 0 0 0 30 2 4 5 39
From the Black-Karasinski to the Verhulst model to accommodate the unconventional Fed's policy 0 0 0 6 0 0 7 30
Geometric Local Variance Gamma model 0 0 0 4 5 5 7 39
High-Order Splitting Methods for Forward PDEs and PIDEs 0 0 0 11 2 3 5 40
Influence of jump-at-default in IR and FX on Quanto CDS prices 0 1 4 11 2 6 16 56
LSV models with stochastic interest rates and correlated jumps 0 0 1 9 1 3 5 40
Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps 0 0 0 24 7 13 14 81
Multilayer heat equations: application to finance 0 0 2 6 2 4 8 21
New solvable stochastic volatility models for pricing volatility derivatives 0 0 0 18 0 1 5 65
Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions 0 0 1 11 1 3 5 30
Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging 0 0 0 4 2 5 7 37
Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method 0 0 0 14 7 7 11 65
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging 0 0 0 3 1 3 4 32
Pricing options with VG model using FFT 0 0 0 37 1 3 5 127
Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit 0 0 0 10 0 1 3 15
Semi-analytical pricing of barrier options in the time-dependent $\lambda$-SABR model 0 0 0 10 3 4 6 25
Semi-closed form prices of barrier options in the Hull-White model 0 0 0 8 2 4 6 20
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models 0 0 0 3 4 5 6 26
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process 0 0 0 6 1 5 6 28
Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps 0 0 0 3 2 2 2 21
Structural default model with mutual obligations 0 0 0 15 1 1 1 28
To sigmoid-based functional description of the volatility smile 0 0 0 8 4 7 11 61
USLV: Unspanned Stochastic Local Volatility Model 0 1 1 19 3 7 10 68
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models 0 0 1 30 0 6 10 105
Total Working Papers 0 2 14 407 66 132 218 1,431

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 1 9 18
HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs 0 0 0 0 5 6 6 21
Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps 0 0 0 2 6 10 10 32
NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS 0 0 3 51 3 5 12 130
New solvable stochastic volatility models for pricing volatility derivatives 0 0 0 17 1 3 5 81
PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING 0 0 0 1 1 3 4 16
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging 0 0 1 3 3 3 4 25
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case 0 0 0 28 1 2 5 108
Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps 0 0 0 0 2 5 6 9
Structural default model with mutual obligations 0 0 0 2 2 3 5 40
To sigmoid-based functional description of the volatility smile 0 0 2 27 4 6 11 129
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models 0 0 0 6 4 8 11 64
Total Journal Articles 0 0 7 141 33 55 88 673

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 3 4 96 4 11 21 267
Total Books 0 3 4 96 4 11 21 267

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 2 3 23
Analytical Methods of Building the Local Volatility Surface 0 1 3 19 1 3 9 45
Geometric Local Variance Gamma Model 0 0 0 6 1 3 4 45
Local Volatility Surface and No-arbitrage 0 1 2 34 0 1 3 84
Local Volatility and Dupire’s Equation 1 3 10 64 2 19 41 193
Regression-based Methods 0 0 0 4 5 6 6 32
Total Chapters 1 5 15 132 10 34 66 422

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Statistics updated 2026-02-12