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 2 4 22
ADOL - Markovian approximation of rough lognormal model 0 0 1 17 1 4 8 49
An Expanded Local Variance Gamma model 0 0 0 6 0 3 4 47
Deep learning calibration of option pricing models: some pitfalls and solutions 0 1 3 63 2 8 18 129
Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials 0 0 0 7 1 3 3 26
Efficient solution of structural default models with correlated jumps and mutual obligations 0 0 0 5 1 2 2 30
Filling the gaps smoothly 0 0 0 5 1 2 2 16
Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery 0 0 0 30 2 3 3 37
From the Black-Karasinski to the Verhulst model to accommodate the unconventional Fed's policy 0 0 0 6 0 2 8 30
Geometric Local Variance Gamma model 0 0 0 4 0 1 2 34
High-Order Splitting Methods for Forward PDEs and PIDEs 0 0 0 11 0 2 3 38
Influence of jump-at-default in IR and FX on Quanto CDS prices 0 1 4 11 2 6 14 54
LSV models with stochastic interest rates and correlated jumps 0 0 1 9 2 3 4 39
Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps 0 0 0 24 4 7 7 74
Multilayer heat equations: application to finance 0 0 2 6 1 4 6 19
New solvable stochastic volatility models for pricing volatility derivatives 0 0 0 18 1 1 5 65
Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions 0 0 1 11 0 3 4 29
Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging 0 0 0 4 1 4 5 35
Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method 0 0 0 14 0 1 4 58
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging 0 0 0 3 2 3 3 31
Pricing options with VG model using FFT 0 0 0 37 2 3 4 126
Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit 0 0 0 10 1 2 3 15
Semi-analytical pricing of barrier options in the time-dependent $\lambda$-SABR model 0 0 0 10 1 2 3 22
Semi-closed form prices of barrier options in the Hull-White model 0 0 0 8 1 2 4 18
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models 0 0 0 3 1 2 2 22
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process 0 0 0 6 3 5 5 27
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 1 27
To sigmoid-based functional description of the volatility smile 0 0 0 8 3 6 7 57
USLV: Unspanned Stochastic Local Volatility Model 1 1 1 19 4 5 7 65
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models 0 0 1 30 5 7 10 105
Total Working Papers 1 3 14 407 43 98 155 1,365

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 8 17
HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs 0 0 0 0 1 1 1 16
Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps 0 0 0 2 4 4 4 26
NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS 0 0 4 51 1 2 12 127
New solvable stochastic volatility models for pricing volatility derivatives 0 0 0 17 2 3 4 80
PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING 0 0 0 1 1 2 3 15
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging 0 0 1 3 0 0 2 22
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case 0 0 0 28 1 2 4 107
Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps 0 0 0 0 3 3 4 7
Structural default model with mutual obligations 0 0 0 2 1 3 4 38
To sigmoid-based functional description of the volatility smile 0 0 2 27 2 4 8 125
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models 0 0 0 6 2 7 7 60
Total Journal Articles 0 0 8 141 18 32 61 640

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 5 96 2 8 19 263
Total Books 0 3 5 96 2 8 19 263

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 2 22
Analytical Methods of Building the Local Volatility Surface 0 1 3 19 1 3 8 44
Geometric Local Variance Gamma Model 0 0 0 6 0 2 3 44
Local Volatility Surface and No-arbitrage 0 1 2 34 0 2 4 84
Local Volatility and Dupire’s Equation 0 2 9 63 4 19 39 191
Regression-based Methods 0 0 0 4 1 1 1 27
Total Chapters 0 4 14 131 6 28 57 412

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Statistics updated 2026-01-09