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 0 16
ADOL - Markovian approximation of rough lognormal model 0 1 1 15 0 1 4 39
An Expanded Local Variance Gamma model 0 0 0 5 0 0 0 40
Deep learning calibration of option pricing models: some pitfalls and solutions 0 0 1 59 2 4 13 104
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 1 2 30 0 1 4 33
From the Black-Karasinski to the Verhulst model to accommodate the unconventional Fed's policy 0 0 0 5 1 1 7 19
Geometric Local Variance Gamma model 0 0 0 3 1 2 3 31
High-Order Splitting Methods for Forward PDEs and PIDEs 0 0 0 11 0 0 0 35
Influence of jump-at-default in IR and FX on Quanto CDS prices 0 1 2 6 0 1 6 36
LSV models with stochastic interest rates and correlated jumps 0 0 0 7 1 1 5 32
Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps 0 0 0 23 0 1 4 64
Multilayer heat equations: application to finance 0 0 0 4 0 0 1 11
New solvable stochastic volatility models for pricing volatility derivatives 0 0 0 18 0 0 1 59
Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions 0 0 1 10 1 2 3 24
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 1 1 2 14 2 4 6 53
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging 0 0 1 3 0 0 3 27
Pricing options with VG model using FFT 0 0 0 37 0 0 0 121
Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit 0 0 0 10 1 1 1 11
Semi-analytical pricing of barrier options in the time-dependent $\lambda$-SABR model 0 1 5 10 1 2 7 16
Semi-closed form prices of barrier options in the Hull-White model 0 0 0 8 0 0 0 12
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models 0 0 1 3 1 2 4 19
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process 0 0 0 6 0 0 1 19
Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps 0 0 0 3 0 0 0 18
Structural default model with mutual obligations 0 0 0 15 0 1 1 25
To sigmoid-based functional description of the volatility smile 0 0 0 8 0 0 0 50
USLV: Unspanned Stochastic Local Volatility Model 0 0 0 18 0 0 1 57
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models 0 0 0 29 0 0 0 92
Total Working Papers 1 5 16 385 11 24 75 1,158


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 0 2 0 1 1 7
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 1 1 21
NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS 1 5 13 43 3 8 22 100
New solvable stochastic volatility models for pricing volatility derivatives 0 0 0 17 0 0 1 74
PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING 0 0 0 1 0 0 0 12
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging 0 0 0 2 0 0 1 19
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case 0 0 0 28 0 0 0 101
Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps 0 0 0 0 0 0 0 2
Structural default model with mutual obligations 0 0 0 2 0 0 1 33
To sigmoid-based functional description of the volatility smile 0 1 2 24 0 3 15 115
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models 0 0 0 6 0 0 1 53
Total Journal Articles 1 6 15 127 3 13 43 552


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 2 12 84 3 6 31 226
Total Books 1 2 12 84 3 6 31 226


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 1 20
Analytical Methods of Building the Local Volatility Surface 0 0 3 16 1 1 8 35
Geometric Local Variance Gamma Model 0 0 0 4 0 0 4 32
Local Volatility Surface and No-arbitrage 1 3 8 29 3 6 17 76
Local Volatility and Dupire’s Equation 0 2 14 47 2 7 32 130
Regression-based Methods 0 0 0 4 0 1 3 26
Total Chapters 1 5 25 105 6 16 65 319


Statistics updated 2024-06-06