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Details about Andrey Itkin

E-mail:
Homepage:http://www.chem.ucla.edu/~itkin
Workplace:Poly Center for Risk Engineering, New York University (NYU), (more information at EDIRC)

Access statistics for papers by Andrey Itkin.

Last updated 2018-03-10. Update your information in the RePEc Author Service.

Short-id: pit19


Jump to Journal Articles

Working Papers

2018

  1. An Expanded Local Variance Gamma model
    Papers, arXiv.org Downloads View citations (1)

2017

  1. Influence of jump-at-default in IR and FX on Quanto CDS prices
    Papers, arXiv.org Downloads View citations (1)
  2. Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
    Papers, arXiv.org Downloads View citations (1)

2016

  1. Filling the gaps smoothly
    Papers, arXiv.org Downloads View citations (2)
  2. LSV models with stochastic interest rates and correlated jumps
    Papers, arXiv.org Downloads View citations (4)

2015

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

2014

  1. Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials
    Papers, arXiv.org Downloads View citations (9)
  2. Efficient solution of structural default models with correlated jumps and mutual obligations
    Papers, arXiv.org Downloads View citations (9)
  3. High-Order Splitting Methods for Forward PDEs and PIDEs
    Papers, arXiv.org Downloads View citations (5)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2015)
  4. Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps
    Papers, arXiv.org Downloads View citations (2)
  5. To sigmoid-based functional description of the volatility smile
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in The North American Journal of Economics and Finance (2015)

2013

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

2012

  1. New solvable stochastic volatility models for pricing volatility derivatives
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Review of Derivatives Research (2013)
  2. Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging
    Papers, arXiv.org Downloads
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2013)
  3. Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
    Papers, arXiv.org Downloads
    See also Journal Article in Quantitative Finance (2014)

2010

  1. Pricing options with VG model using FFT
    Papers, arXiv.org Downloads View citations (5)
  2. Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
    Papers, arXiv.org Downloads View citations (3)
    See also Journal Article in Computational Economics (2012)

Journal Articles

2017

  1. Structural default model with mutual obligations
    Review of Derivatives Research, 2017, 20, (1), 15-46 Downloads View citations (2)
    See also Working Paper (2015)

2015

  1. HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs
    International Journal of Theoretical and Applied Finance (IJTAF), 2015, 18, (05), 1-24 Downloads View citations (1)
    See also Working Paper (2014)
  2. To sigmoid-based functional description of the volatility smile
    The North American Journal of Economics and Finance, 2015, 31, (C), 264-291 Downloads View citations (3)
    See also Working Paper (2014)

2014

  1. Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
    Quantitative Finance, 2014, 14, (3), 427-442 Downloads View citations (3)
    See also Working Paper (2012)

2013

  1. New solvable stochastic volatility models for pricing volatility derivatives
    Review of Derivatives Research, 2013, 16, (2), 111-134 Downloads View citations (12)
    See also Working Paper (2012)
  2. 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 Downloads
    See also Working Paper (2012)

2012

  1. Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models
    Computational Economics, 2012, 40, (1), 63-104 Downloads View citations (7)
    See also Working Paper (2010)

2010

  1. Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case
    Review of Derivatives Research, 2010, 13, (2), 141-176 Downloads View citations (28)
 
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