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Andrey Itkin
Titolo
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Citata da
Anno
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case
A Itkin, P Carr
Review of Derivatives Research 13, 141-176, 2010
752010
Pricing derivatives under Lévy models
A Itkin
Pseudo-Differential Operators: Theory and Applications 12, 2017
582017
The near-nucleus coma formed by interacting dusty gas jets effusing from a cometary nucleus: I
JF Crifo, AL Itkin, AV Rodionov
Icarus 116 (1), 77-112, 1995
521995
Deep learning calibration of option pricing models: some pitfalls and solutions
A Itkin
arXiv preprint arXiv:1906.03507, 2019
492019
Jumps without tears: A new splitting technology for barrier options
A Itkin, P Carr
International Journal of Numerical Analysis and Modeling 8 (4), 667-704, 2011
422011
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
A Itkin, P Carr
Computational Economics 40, 63-104, 2012
352012
Pricing options with VG model using FFT
A Itkin
arXiv preprint physics/0503137, 2005
282005
New solvable stochastic volatility models for pricing volatility derivatives
A Itkin
Review of Derivatives Research 16 (2), 111-134, 2013
272013
Microscopic theory of condensation in gases and plasma
AL Itkin, EG Kolesnichenko
World Scientific, 1997
271997
Microscopic theory of condensation in gases and plasma
AL Itkin, EG Kolesnichenko
World Scientific, 1997
271997
Microscopic theory of condensation in gases and plasma
AL Itkin, EG Kolesnichenko
World Scientific, 1997
271997
Microscopic theory of condensation in gases and plasma
AL Itkin, EG Kolesnichenko
World Scientific, 1997
271997
Microscopic theory of condensation in gases and plasma
AL Itkin, EG Kolesnichenko
World Scientific, 1997
271997
Microscopic theory of condensation in gases and plasma
AL Itkin, EG Kolesnichenko
World Scientific, 1997
271997
Efficient solution of backward jump-diffusion partial integro-differential equations with splitting and matrix exponentials
A Itkin
Journal of Computational Finance 19 (3), 2016
202016
Efficient solution of structural default models with correlated jumps and mutual obligations
A Itkin, A Lipton
International Journal of Computer Mathematics 92 (12), 2380-2405, 2015
202015
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models
P Carr, A Itkin, D Muravey
arXiv preprint arXiv:2005.05459, 2020
192020
Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process
P Carr, A Itkin
arXiv preprint arXiv:2003.08853, 2020
172020
High order splitting methods for forward PDEs and PIDEs
A Itkin
International Journal of Theoretical and Applied Finance 18 (05), 1550031, 2015
172015
To sigmoid-based functional description of the volatility smile
A Itkin
The North American Journal of Economics and Finance 31, 264-291, 2015
172015
Il sistema al momento non può eseguire l'operazione. Riprova più tardi.
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