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Andrey Itkin

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This is information that was supplied by Andrey Itkin in registering through RePEc. If you are Andrey Itkin , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Andrey
Middle Name:
Last Name: Itkin
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RePEc Short-ID: pit19

Email:
Homepage: http://www.chem.ucla.edu/~itkin
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Affiliation

Poly Center for Risk Engineering
New York University (NYU)
Location: New York City, New York (United States)
Homepage: http://www.polyrisk.org/
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Handle: RePEc:edi:crenyus (more details at EDIRC)

Works

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Working papers

  1. Andrey Itkin, 2014. "High-Order Splitting Methods for Forward PDEs and PIDEs," Papers 1403.1804, arXiv.org.
  2. Igor Halperin & Andrey Itkin, 2013. "USLV: Unspanned Stochastic Local Volatility Model," Papers 1301.4442, arXiv.org, revised Mar 2013.
  3. Andrey Itkin, 2013. "Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials," Papers 1304.3159, arXiv.org, revised Apr 2014.
  4. Igor Halperin & Andrey Itkin, 2012. "Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging," Papers 1205.3507, arXiv.org.
  5. Andrey Itkin, 2012. "New solvable stochastic volatility models for pricing volatility derivatives," Papers 1205.3550, arXiv.org, revised Jun 2012.
  6. I. Halperin & A. Itkin, 2012. "Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging," Papers 1209.3503, arXiv.org.
  7. Andrey Itkin & Peter Carr, 2010. "Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models," Papers 1002.1995, arXiv.org.
  8. Andrey Itkin, 2005. "Pricing options with VG model using FFT," Papers physics/0503137, arXiv.org, revised Jan 2010.

Articles

  1. Igor Halperin & Andrey Itkin, 2014. "Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging," Quantitative Finance, Taylor & Francis Journals, vol. 14(3), pages 427-442, March.
  2. Andrey Itkin, 2013. "New solvable stochastic volatility models for pricing volatility derivatives," Review of Derivatives Research, Springer, vol. 16(2), pages 111-134, July.
  3. Igor Halperin & Andrey Itkin, 2013. "Pricing Illiquid Options With N + 1 Liquid Proxies Using Mixed Dynamic-Static Hedging," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(07), pages 1350033-1-1.
  4. Andrey Itkin & Peter Carr, 2012. "Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models," Computational Economics, Society for Computational Economics, vol. 40(1), pages 63-104, June.
  5. Andrey Itkin & Peter Carr, 2010. "Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case," Review of Derivatives Research, Springer, vol. 13(2), pages 141-176, July.

NEP Fields

7 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ETS: Econometric Time Series (2) 2012-05-22 2013-01-26. Author is listed

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