Andrey Itkin

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Short time behavior of the ATM implied skew in the ADO-Heston model Frontiers of Mathematical Finance	2024-07-31	Paper
Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit Frontiers of Mathematical Finance	2022-08-30	Paper
Multilayer heat equations: application to finance Frontiers of Mathematical Finance	2022-08-30	Paper
Multilayer heat equations and their solutions via oscillating integral transforms Physica A	2022-06-17	Paper
Generalized integral transforms in mathematical finance	2021-11-10	Paper
Fitting local volatility. Analytic and numerical approaches in Black-Scholes and local variance gamma models	2019-12-06	Paper
Structural default model with mutual obligations Review of Derivatives Research	2018-11-09	Paper
Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps Algorithmic Finance	2018-09-13	Paper
Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps Applied Mathematical Finance	2018-04-06	Paper
LSV models with stochastic interest rates and correlated jumps International Journal of Computer Mathematics	2017-07-28	Paper
Pricing derivatives under Lévy models. Modern finite-difference and pseudo-differential operators approach Pseudo-Differential Operators. Theory and Applications	2016-12-01	Paper
Efficient solution of structural default models with correlated jumps and mutual obligations International Journal of Computer Mathematics	2016-04-29	Paper
HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs International Journal of Theoretical and Applied Finance	2015-09-22	Paper
New solvable stochastic volatility models for pricing volatility derivatives Review of Derivatives Research	2014-09-25	Paper
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging Quantitative Finance	2014-09-05	Paper
Pricing illiquid options with \(N+1\) liquid proxies using mixed dynamic-static hedging International Journal of Theoretical and Applied Finance	2014-02-11	Paper
Jump without tears: a new splitting technology for barrier options	2013-04-17	Paper
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models Computational Economics	2013-01-11	Paper
Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case Review of Derivatives Research	2010-09-16	Paper
Statistical geometry and lattices Journal of Statistical Physics	2000-02-20	Paper

Research outcomes over time

This page was built for person: Andrey Itkin