Andrey Itkin

Available identifiers

zbMath Open itkin.andreyMaRDI QIDQ244012

List of research outcomes

Publication	Date of Publication	Type
Short time behavior of the ATM implied skew in the ADO-Heston model	2024-07-31	Paper
Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit	2022-08-30	Paper
Multilayer heat equations: application to finance	2022-08-30	Paper
Multilayer heat equations and their solutions via oscillating integral transforms	2022-06-17	Paper
Generalized Integral Transforms in Mathematical Finance	2021-11-10	Paper
Fitting Local Volatility	2019-12-06	Paper
Structural default model with mutual obligations	2018-11-09	Paper
Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps	2018-09-13	Paper
Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps	2018-04-06	Paper
LSV models with stochastic interest rates and correlated jumps	2017-07-28	Paper
Pricing Derivatives Under Lévy Models	2016-12-01	Paper
Efficient solution of structural default models with correlated jumps and mutual obligations	2016-04-29	Paper
HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs	2015-09-22	Paper
New solvable stochastic volatility models for pricing volatility derivatives	2014-09-25	Paper
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging	2014-09-05	Paper
PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING	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	2013-01-11	Paper
Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case	2010-09-16	Paper
Statistical geometry and lattices	2000-02-20	Paper

Research outcomes over time

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