| Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case A Itkin, P Carr Review of Derivatives Research 13 (2), 141-176, 2010 | 68 | 2010 |
| 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 | 42 | 1995 |
| 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 | 34 | 2011 |
| Pricing Derivatives Under Levy Models A Itkin Pseudo-Differential Operators: Theory and Applications 12, 2017 | 33 | 2017 |
| Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models A Itkin, P Carr Computational Economics 40 (1), 63-104, 2012 | 28 | 2012 |
| New solvable stochastic volatility models for pricing volatility derivatives A Itkin Review of Derivatives Research 16 (2), 111-134, 2013 | 25 | 2013 |
| Microscopic theory of condensation in gases and plasma A Itkin, EG Kolesnichenko World Scientific, 1997 | 25 | 1997 |
| Microscopic theory of condensation in gases and plasma A Itkin, EG Kolesnichenko World Scientific, 1997 | 25 | 1997 |
| Microscopic theory of condensation in gases and plasma A Itkin, EG Kolesnichenko World Scientific, 1997 | 25 | 1997 |
| Microscopic theory of condensation in gases and plasma A Itkin, EG Kolesnichenko World Scientific, 1997 | 25 | 1997 |
| Microscopic theory of condensation in gases and plasma A Itkin, EG Kolesnichenko World Scientific, 1997 | 25 | 1997 |
| Microscopic theory of condensation in gases and plasma A Itkin, EG Kolesnichenko World Scientific, 1997 | 25 | 1997 |
| Pricing options with VG model using FFT A Itkin arXiv preprint physics/0503137, 2005 | 22 | 2005 |
| Efficient solution of backward jump-diffusion partial integro-differential equations with splitting and matrix exponentials A Itkin Journal of Computational Finance 19 (3), 2016 | 19 | 2016 |
| 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 | 18 | 2015 |
| Deep learning calibration of option pricing models: some pitfalls and solutions A Itkin arXiv preprint arXiv:1906.03507, 2019 | 13 | 2019 |
| High order splitting methods for forward PDEs and PIDEs A Itkin International Journal of Theoretical and Applied Finance 18 (05), 1550031, 2015 | 13 | 2015 |
| To sigmoid-based functional description of the volatility smile A Itkin The North American Journal of Economics and Finance 31, 264-291, 2015 | 12 | 2015 |
| LSV models with stochastic interest rates and correlated jumps A Itkin International Journal of Computer Mathematics 94 (7), 1291-1317, 2017 | 10 | 2017 |
| Structural default model with mutual obligations A Itkin, A Lipton Review of Derivatives Research 20 (1), 15-46, 2017 | 10 | 2017 |
Peter CarrDepartment Chair, Finance and Risk Engineering, Tandon School, NYUEmail verificata su nyu.edu
