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 6 26
ADOL - Markovian approximation of rough lognormal model 0 0 1 17 0 1 16 60
An Expanded Local Variance Gamma model 0 0 0 6 0 3 12 56
Deep learning calibration of option pricing models: some pitfalls and solutions 0 0 3 64 0 2 20 140
Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials 0 0 0 7 0 0 3 26
Efficient solution of structural default models with correlated jumps and mutual obligations 0 0 0 5 1 2 8 36
Filling the gaps smoothly 0 0 0 5 0 2 9 23
Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery 0 0 0 30 0 1 10 44
From the Black-Karasinski to the Verhulst model to accommodate the unconventional Fed's policy 0 0 1 7 1 4 10 37
Geometric Local Variance Gamma model 0 0 0 4 0 0 9 42
High-Order Splitting Methods for Forward PDEs and PIDEs 0 0 0 11 0 1 9 45
Influence of jump-at-default in IR and FX on Quanto CDS prices 0 0 2 11 0 1 18 64
LSV models with stochastic interest rates and correlated jumps 0 0 1 9 0 0 12 47
Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps 0 0 0 24 1 8 25 92
Multilayer heat equations: application to finance 0 0 0 6 0 1 10 25
New solvable stochastic volatility models for pricing volatility derivatives 0 0 0 18 0 0 5 68
Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions 0 0 1 11 0 0 6 31
Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging 0 0 1 5 0 1 11 42
Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method 0 0 0 14 0 1 15 72
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging 0 0 0 3 0 0 7 35
Pricing options with VG model using FFT 0 0 0 37 2 2 8 131
Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit 0 1 1 11 0 1 8 20
Semi-analytical pricing of barrier options in the time-dependent $\lambda$-SABR model 0 0 0 10 0 0 7 27
Semi-closed form prices of barrier options in the Hull-White model 0 0 0 8 0 2 16 32
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models 1 1 1 4 1 3 12 32
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process 0 0 0 6 0 0 9 31
Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps 0 0 0 3 0 0 5 24
Structural default model with mutual obligations 0 0 0 15 0 3 9 36
To sigmoid-based functional description of the volatility smile 0 0 0 8 0 0 15 66
USLV: Unspanned Stochastic Local Volatility Model 0 0 1 19 0 1 17 75
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models 0 0 0 30 0 0 14 111
Total Working Papers 1 2 13 412 6 40 341 1,596

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 1 1 1 5 1 1 8 22
HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs 0 0 0 0 0 0 8 23
Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps 0 0 0 2 0 0 11 33
NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS 0 1 3 53 0 3 18 141
New solvable stochastic volatility models for pricing volatility derivatives 0 0 0 17 1 2 12 88
PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING 0 0 0 1 0 0 6 19
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging 0 0 1 3 0 1 8 29
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case 0 0 0 28 0 0 5 110
Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps 0 0 0 0 1 1 6 10
Structural default model with mutual obligations 0 0 0 2 0 0 9 44
To sigmoid-based functional description of the volatility smile 0 0 0 27 1 3 15 135
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models 0 0 0 6 1 2 16 69
Total Journal Articles 1 2 5 144 5 13 122 723

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 4 97 0 4 28 281
Total Books 0 0 4 97 0 4 28 281

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 6 27
Analytical Methods of Building the Local Volatility Surface 0 0 1 19 0 0 6 47
Geometric Local Variance Gamma Model 0 0 0 6 1 4 14 56
Local Volatility Surface and No-arbitrage 0 0 2 35 0 1 10 92
Local Volatility and Dupire’s Equation 0 3 12 70 3 13 62 225
Regression-based Methods 0 0 1 5 0 1 11 37
Total Chapters 0 3 16 140 4 19 109 484

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Statistics updated 2026-08-07