Andrey Itkin
Andrey Itkin
Email verificata su nyu.edu
Titolo
Citata da
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 (2), 141-176, 2010
682010
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
421995
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
342011
Pricing Derivatives Under Levy Models
A Itkin
Pseudo-Differential Operators: Theory and Applications 12, 2017
332017
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
A Itkin, P Carr
Computational Economics 40 (1), 63-104, 2012
282012
New solvable stochastic volatility models for pricing volatility derivatives
A Itkin
Review of Derivatives Research 16 (2), 111-134, 2013
252013
Microscopic theory of condensation in gases and plasma
A Itkin, EG Kolesnichenko
World Scientific, 1997
251997
Microscopic theory of condensation in gases and plasma
A Itkin, EG Kolesnichenko
World Scientific, 1997
251997
Microscopic theory of condensation in gases and plasma
A Itkin, EG Kolesnichenko
World Scientific, 1997
251997
Microscopic theory of condensation in gases and plasma
A Itkin, EG Kolesnichenko
World Scientific, 1997
251997
Microscopic theory of condensation in gases and plasma
A Itkin, EG Kolesnichenko
World Scientific, 1997
251997
Microscopic theory of condensation in gases and plasma
A Itkin, EG Kolesnichenko
World Scientific, 1997
251997
Pricing options with VG model using FFT
A Itkin
arXiv preprint physics/0503137, 2005
222005
Efficient solution of backward jump-diffusion partial integro-differential equations with splitting and matrix exponentials
A Itkin
Journal of Computational Finance 19 (3), 2016
192016
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
182015
Deep learning calibration of option pricing models: some pitfalls and solutions
A Itkin
arXiv preprint arXiv:1906.03507, 2019
132019
High order splitting methods for forward PDEs and PIDEs
A Itkin
International Journal of Theoretical and Applied Finance 18 (05), 1550031, 2015
132015
To sigmoid-based functional description of the volatility smile
A Itkin
The North American Journal of Economics and Finance 31, 264-291, 2015
122015
LSV models with stochastic interest rates and correlated jumps
A Itkin
International Journal of Computer Mathematics 94 (7), 1291-1317, 2017
102017
Structural default model with mutual obligations
A Itkin, A Lipton
Review of Derivatives Research 20 (1), 15-46, 2017
102017
Il sistema al momento non pu eseguire l'operazione. Riprova pi tardi.
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