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 2 4 23
ADOL - Markovian approximation of rough lognormal model 0 0 1 17 1 7 14 55
An Expanded Local Variance Gamma model 0 0 0 6 0 1 5 48
Deep learning calibration of option pricing models: some pitfalls and solutions 0 0 3 63 0 7 21 134
Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials 0 0 0 7 0 1 3 26
Efficient solution of structural default models with correlated jumps and mutual obligations 0 0 0 5 0 2 3 31
Filling the gaps smoothly 0 0 0 5 1 2 3 17
Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery 0 0 0 30 0 4 5 39
From the Black-Karasinski to the Verhulst model to accommodate the unconventional Fed's policy 0 0 0 6 0 0 6 30
Geometric Local Variance Gamma model 0 0 0 4 0 5 7 39
High-Order Splitting Methods for Forward PDEs and PIDEs 0 0 0 11 0 2 5 40
Influence of jump-at-default in IR and FX on Quanto CDS prices 0 0 3 11 1 5 15 57
LSV models with stochastic interest rates and correlated jumps 0 0 1 9 2 5 7 42
Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps 0 0 0 24 0 11 14 81
Multilayer heat equations: application to finance 0 0 2 6 1 4 9 22
New solvable stochastic volatility models for pricing volatility derivatives 0 0 0 18 1 2 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 3 7 37
Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method 0 0 0 14 1 8 12 66
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging 0 0 0 3 0 3 4 32
Pricing options with VG model using FFT 0 0 0 37 0 3 5 127
Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit 0 0 0 10 1 2 4 16
Semi-analytical pricing of barrier options in the time-dependent $\lambda$-SABR model 0 0 0 10 0 4 6 25
Semi-closed form prices of barrier options in the Hull-White model 0 0 0 8 3 6 9 23
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models 0 0 0 3 1 6 7 27
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process 0 0 0 6 3 7 9 31
Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps 0 0 0 3 0 2 2 21
Structural default model with mutual obligations 0 0 0 15 1 2 2 29
To sigmoid-based functional description of the volatility smile 0 0 0 8 3 10 14 64
USLV: Unspanned Stochastic Local Volatility Model 0 1 1 19 1 8 11 69
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models 0 0 1 30 1 6 10 106
Total Working Papers 0 1 13 407 22 131 233 1,453

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 6 6 21
Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps 0 0 0 2 0 10 10 32
NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS 1 1 4 52 2 6 13 132
New solvable stochastic volatility models for pricing volatility derivatives 0 0 0 17 0 3 5 81
PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING 0 0 0 1 1 3 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 1 3 4 109
Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps 0 0 0 0 0 5 6 9
Structural default model with mutual obligations 0 0 0 2 0 3 5 40
To sigmoid-based functional description of the volatility smile 0 0 2 27 1 7 12 130
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models 0 0 0 6 0 6 11 64
Total Journal Articles 1 1 8 142 5 56 88 678

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 1 1 4 97 1 7 19 268
Total Books 1 1 4 97 1 7 19 268

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 2 6 45
Geometric Local Variance Gamma Model 0 0 0 6 1 2 5 46
Local Volatility Surface and No-arbitrage 0 0 2 34 1 1 4 85
Local Volatility and Dupire’s Equation 1 2 9 65 3 9 40 196
Regression-based Methods 1 1 1 5 1 7 7 33
Total Chapters 2 3 14 134 6 22 65 428

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Statistics updated 2026-03-04