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1

Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models

Andrey Itkin, Peter Carr

Journal:

Computational Economics

Year:

2012

Language:

english

File:

PDF, 706 KB

english, 2012

2

Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging

Halperin, Igor, Itkin, Andrey

Journal:

Quantitative Finance

Year:

2014

Language:

english

File:

PDF, 1.12 MB

english, 2014

3

To sigmoid-based functional description of the volatility smile

Journal:

The North American Journal of Economics and Finance

Year:

2015

Language:

english

File:

PDF, 2.88 MB

english, 2015

4

PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING

HALPERIN, IGOR, ITKIN, ANDREY

Journal:

International Journal of Theoretical and Applied Finance

Year:

2013

Language:

english

File:

PDF, 223 KB

english, 2013

5

HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs

Journal:

International Journal of Theoretical and Applied Finance

Year:

2015

Language:

english

File:

PDF, 336 KB

english, 2015

6

Structural default model with mutual obligations

Itkin, Andrey, Lipton, Alexander

Journal:

Review of Derivatives Research

Year:

2017

Language:

english

File:

PDF, 3.71 MB

english, 2017

7

[Pseudo-Differential Operators] Pricing Derivatives Under Lévy Models Volume 12 || Basics of the Finite Difference Method

Year:

2017

Language:

english

File:

PDF, 253 KB

english, 2017

8

Pricing foreign exchange options under stochastic volatility and interest rates using an RBF–FD method

Soleymani, Fazlollah, Itkin, Andrey

Journal:

Journal of Computational Science

Year:

2019

Language:

english

File:

PDF, 3.13 MB

english, 2019

9

Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps

Journal:

Algorithmic Finance

Year:

2014

File:

PDF, 188 KB

2014

10

Theoretical prediction of a carrier gas effect under nucleation in thermal diffusion chambers

Andrey L. Itkin

Journal:

Chemical Physics

Year:

2000

Language:

english

File:

PDF, 296 KB

english, 2000

11

On the dependence of a critical supersaturation on pressure of a two-component background gas in a diffusion cloud chamber

Andrey L. Itkin

Journal:

Chemical Physics

Year:

1998

Language:

english

File:

PDF, 268 KB

english, 1998

12

Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case

Andrey Itkin, Peter Carr

Journal:

Review of Derivatives Research

Year:

2010

Language:

english

File:

PDF, 525 KB

english, 2010

13

Statistical Geometry and Lattices

Gerardo Soto-Campos, Richard Bowles, Andrey Itkin, Howard Reiss

Journal:

Journal of Statistical Physics

Year:

1999

Language:

english

File:

PDF, 94 KB

english, 1999

14

New solvable stochastic volatility models for pricing volatility derivatives

Journal:

Review of Derivatives Research

Year:

2013

Language:

english

File:

PDF, 406 KB

english, 2013

15

Kinetic Model of Effect of a Carrier Gas on Nucleation in a Diffusion Chamber

Itkin, Andrey L.

Journal:

Aerosol Science & Technology

Year:

2001

Language:

english

File:

PDF, 303 KB

english, 2001

16

Kinetic Model of Effect of a Carrier Gas on Nucleation in a Diffusion Chamber

Itkin, Andrey L.

Journal:

Aerosol Science & Technology

Year:

2001

Language:

english

File:

PDF, 267 KB

english, 2001

17

Editorial

in ’t Hout, Karel, Itkin, Andrey, Oosterlee, Cornelis W., Toivanen, Jari

Journal:

International Journal of Computer Mathematics

Year:

2015

Language:

english

File:

PDF, 420 KB

english, 2015

18

Efficient solution of structural default models with correlated jumps and mutual obligations

Itkin, Andrey, Lipton, Alexander

Journal:

International Journal of Computer Mathematics

Year:

2015

Language:

english

File:

PDF, 1.29 MB

english, 2015

19

[Society of Petroleum Engineers SPE Russian Oil and Gas Technical Conference and Exhibition - Moscow, Russia (2006-10-03)] SPE Russian Oil and Gas Technical Conference and Exhibition - Methodology of Optimal Well Pattern, Location and Paths in Productive Formations during Oil and Gas Fields Development Planning

Larionov, Andrey, Nifantov, Alexander, Itkin, Victor, Alexandrov, Vadim

Language:

english

File:

PDF, 452 KB

english

20

[Society of Petroleum Engineers SPE Russian Oil and Gas Technical Conference and Exhibition - (2006.10.3-2006.10.6)] Proceedings of SPE Russian Oil and Gas Technical Conference and Exhibition - Methodology of Optimal Well Pattern, Location and Paths in Productive Formations During Oil and Gas Fields Development Planning

Larionov, Andrey, Nifantov, Alexander, Itkin, Victor, Alexandrov, Vadim

Year:

2006

Language:

english

File:

PDF, 452 KB

english, 2006

21

LSV models with stochastic interest rates and correlated jumps

Journal:

International Journal of Computer Mathematics

Year:

2016

Language:

english

File:

PDF, 1.08 MB

english, 2016

22

[Pseudo-Differential Operators] Pricing Derivatives Under Lévy Models Volume 12 ||

Year:

2017

Language:

english

File:

PDF, 8.16 MB

english, 2017

23

Filling the gaps smoothly

Itkin, Andrey, Lipton, Alexander

Journal:

Journal of Computational Science

Year:

2017

Language:

english

File:

PDF, 1.85 MB

english, 2017

24

Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps

Journal:

Applied Mathematical Finance

Year:

2017

Language:

english

File:

PDF, 3.70 MB

english, 2017

25

Special Issue—Computational and Algorithmic Finance

Hout, Karel in ’t, Itkin, Andrey, Sydow, Lina von, Toivanen, Jari

Journal:

Journal of Computational Science

Year:

2017

Language:

english

File:

PDF, 515 KB

english, 2017

26

[IEEE 2019 IEEE International Conference On Artificial Intelligence Testing (AITest) - Newark, CA, USA (2019.4.4-2019.4.9)] 2019 IEEE International Conference On Artificial Intelligence Testing (AITest) - User-Assisted Log Analysis for Quality Control of Distributed Fintech Applications

Itkin, Iosif, Gromova, Anna, Sitnikov, Anton, Legchikov, Dmitry, Tsymbalov, Evgenii, Yavorskiy, Rostislav, Novikov, Andrey, Rudakov, Kirill

Year:

2019

Language:

english

File:

PDF, 665 KB

english, 2019

27

[IEEE 2019 IEEE International Conference On Artificial Intelligence Testing (AITest) - Newark, CA, USA (2019.4.4-2019.4.9)] 2019 IEEE International Conference On Artificial Intelligence Testing (AITest) - User-Assisted Log Analysis for Quality Control of Distributed Fintech Applications

Itkin, Iosif, Gromova, Anna, Sitnikov, Anton, Legchikov, Dmitry, Tsymbalov, Evgenii, Yavorskiy, Rostislav, Novikov, Andrey, Rudakov, Kirill

Year:

2019

File:

PDF, 665 KB

2019

28

[AIP The 15th international conference on nucleation and atmospheric aerosols - Rolla, Missouri (USA) (6-11 Aug 2000)] AIP Conference Proceedings - Molecular theory of homogeneous nucleation using a more sophisticated kinetic

Itkin, Andrey L.

Year:

2000

Language:

english

File:

PDF, 827 KB

english, 2000

29

[IEEE 2020 IEEE International Conference On Artificial Intelligence Testing (AITest) - Oxford, United Kingdom (2020.8.3-2020.8.6)] 2020 IEEE International Conference On Artificial Intelligence Testing (AITest) - Building a Classification System for Failed Test Reports: Industrial Experience

Pavlov, Sergey, Gromova, Anna, Itkin, Iosif, Mamedov, Murad, Libkov, Alexander, Novikov, Andrey, Tsymbalov, Evgenii

Year:

2020

File:

PDF, 682 KB

2020

30

[AIP The 15th international conference on nucleation and atmospheric aerosols - Rolla, Missouri (USA) (6-11 Aug 2000)] AIP Conference Proceedings - Kinetic theory of a carrier gas effect on nucleation in diffusion chambers

Itkin, Andrey L.

Year:

2000

File:

PDF, 524 KB

2000

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