Details about Andrey Itkin

Access statistics for papers by Andrey Itkin.

Last updated 2021-09-08. Update your information in the RePEc Author Service.

Short-id: pit19

Working Papers

2021

1. From the Black-Karasinski to the Verhulst model to accommodate the unconventional Fed's policy
   Papers, arXiv.org View citations (2)
2. Multilayer heat equations: application to finance
   Papers, arXiv.org View citations (2)
3. Semi-analytical pricing of barrier options in the time-dependent $\lambda$-SABR model
   Papers, arXiv.org View citations (2)

2020

4. Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit
   Papers, arXiv.org View citations (1)
5. Semi-closed form prices of barrier options in the Hull-White model
   Papers, arXiv.org View citations (9)
6. Semi-closed form prices of barrier options in the time-dependent CEV and CIR models
   Papers, arXiv.org View citations (10)
7. Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process
   Papers, arXiv.org View citations (5)

2019

8. A model-free backward and forward nonlinear PDEs for implied volatility
   Papers, arXiv.org
9. ADOL - Markovian approximation of rough lognormal model
   Papers, arXiv.org View citations (4)
10. Deep learning calibration of option pricing models: some pitfalls and solutions
    Papers, arXiv.org View citations (15)
11. Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery
    Papers, arXiv.org
12. Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method
    Papers, arXiv.org View citations (4)

2018

13. An Expanded Local Variance Gamma model
    Papers, arXiv.org View citations (2)
    See also Journal Article An Expanded Local Variance Gamma Model, Computational Economics, Springer (2021) (2021)
    Chapter An Expanded Local Variance Gamma Model, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2020) View citations (1) (2020)
14. Geometric Local Variance Gamma model
    Papers, arXiv.org
    See also Chapter Geometric Local Variance Gamma Model, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2020) (2020)

2017

15. Influence of jump-at-default in IR and FX on Quanto CDS prices
    Papers, arXiv.org View citations (2)
16. Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
    Papers, arXiv.org View citations (2)
    See also Journal Article Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps, Applied Mathematical Finance, Taylor & Francis Journals (2017) View citations (1) (2017)

2016

17. Filling the gaps smoothly
    Papers, arXiv.org View citations (2)
18. LSV models with stochastic interest rates and correlated jumps
    Papers, arXiv.org View citations (5)

2015

19. Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions
    Papers, arXiv.org
20. Structural default model with mutual obligations
    Papers, arXiv.org View citations (4)
    See also Journal Article Structural default model with mutual obligations, Review of Derivatives Research, Springer (2017) View citations (6) (2017)

2014

21. Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials
    Papers, arXiv.org View citations (9)
22. Efficient solution of structural default models with correlated jumps and mutual obligations
    Papers, arXiv.org View citations (10)
23. High-Order Splitting Methods for Forward PDEs and PIDEs
    Papers, arXiv.org View citations (5)
    See also Journal Article HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2015) View citations (8) (2015)
24. Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps
    Papers, arXiv.org View citations (2)
    See also Journal Article Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps, Algorithmic Finance, IOS Press (2014) (2014)
25. To sigmoid-based functional description of the volatility smile
    Papers, arXiv.org View citations (1)
    See also Journal Article To sigmoid-based functional description of the volatility smile, The North American Journal of Economics and Finance, Elsevier (2015) View citations (4) (2015)

2013

26. USLV: Unspanned Stochastic Local Volatility Model
    Papers, arXiv.org View citations (2)

2012

27. New solvable stochastic volatility models for pricing volatility derivatives
    Papers, arXiv.org View citations (1)
    See also Journal Article New solvable stochastic volatility models for pricing volatility derivatives, Review of Derivatives Research, Springer (2013) View citations (17) (2013)
28. Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging
    Papers, arXiv.org View citations (1)
    See also Journal Article PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2013) (2013)
29. Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
    Papers, arXiv.org View citations (2)
    See also Journal Article Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging, Quantitative Finance, Taylor & Francis Journals (2014) View citations (4) (2014)

2010

30. Pricing options with VG model using FFT
    Papers, arXiv.org View citations (6)
31. Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
    Papers, arXiv.org View citations (3)
    See also Journal Article Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models, Computational Economics, Springer (2012) View citations (11) (2012)

Journal Articles

2021

1. An Expanded Local Variance Gamma Model
   Computational Economics, 2021, 57, (4), 949-987
   See also Chapter An Expanded Local Variance Gamma Model, World Scientific Book Chapters, 2020, 101-136 (2020) View citations (1) (2020)
   Working Paper An Expanded Local Variance Gamma model, Papers (2018) View citations (2) (2018)

2019

2. NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS
   International Journal of Theoretical and Applied Finance (IJTAF), 2019, 22, (03), 1-37 View citations (1)

2017

3. Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
   Applied Mathematical Finance, 2017, 24, (6), 485-519 View citations (1)
   See also Working Paper Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps, Papers (2017) View citations (2) (2017)
4. Structural default model with mutual obligations
   Review of Derivatives Research, 2017, 20, (1), 15-46 View citations (6)
   See also Working Paper Structural default model with mutual obligations, Papers (2015) View citations (4) (2015)

2015

5. HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs
   International Journal of Theoretical and Applied Finance (IJTAF), 2015, 18, (05), 1-24 View citations (8)
   See also Working Paper High-Order Splitting Methods for Forward PDEs and PIDEs, Papers (2014) View citations (5) (2014)
6. To sigmoid-based functional description of the volatility smile
   The North American Journal of Economics and Finance, 2015, 31, (C), 264-291 View citations (4)
   See also Working Paper To sigmoid-based functional description of the volatility smile, Papers (2014) View citations (1) (2014)

2014

7. Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
   Quantitative Finance, 2014, 14, (3), 427-442 View citations (4)
   See also Working Paper Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging, Papers (2012) View citations (2) (2012)
8. Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps
   Algorithmic Finance, 2014, 3, (3-4), 233-250
   See also Working Paper Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps, Papers (2014) View citations (2) (2014)

2013

9. New solvable stochastic volatility models for pricing volatility derivatives
   Review of Derivatives Research, 2013, 16, (2), 111-134 View citations (17)
   See also Working Paper New solvable stochastic volatility models for pricing volatility derivatives, Papers (2012) View citations (1) (2012)
10. PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING
    International Journal of Theoretical and Applied Finance (IJTAF), 2013, 16, (07), 1-17
    See also Working Paper Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging, Papers (2012) View citations (1) (2012)

2012

11. Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models
    Computational Economics, 2012, 40, (1), 63-104 View citations (11)
    See also Working Paper Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models, Papers (2010) View citations (3) (2010)

2010

12. Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case
    Review of Derivatives Research, 2010, 13, (2), 141-176 View citations (32)

Books

2020

1. Fitting Local Volatility:Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (4)

Chapters

2020

1. An Expanded Local Variance Gamma Model
   Chapter 5 in Fitting Local Volatility Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models, 2020, pp 101-136 View citations (1)
   See also Working Paper An Expanded Local Variance Gamma model, arXiv.org (2018) View citations (2) (2018)
   Journal Article An Expanded Local Variance Gamma Model, Springer (2021) (2021)
2. Analytical Methods of Building the Local Volatility Surface
   Chapter 3 in Fitting Local Volatility Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models, 2020, pp 27-60
3. Geometric Local Variance Gamma Model
   Chapter 6 in Fitting Local Volatility Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models, 2020, pp 137-173
   See also Working Paper Geometric Local Variance Gamma model, arXiv.org (2018) (2018)
4. Local Volatility Surface and No-arbitrage
   Chapter 2 in Fitting Local Volatility Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models, 2020, pp 13-23
5. Local Volatility and Dupire’s Equation
   Chapter 1 in Fitting Local Volatility Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models, 2020, pp 3-12
6. Regression-based Methods
   Chapter 4 in Fitting Local Volatility Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models, 2020, pp 61-97