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Andrey Itkin

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Personal Details

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

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

Works


Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Andrey Itkin & Peter Carr, 2010. "Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models," Quantitative Finance Papers 1002.1995, arXiv.org.
  2. Andrey Itkin, 2005. "Pricing options with VG model using FFT," Quantitative Finance Papers physics/0503137, arXiv.org, revised Jan 2010.

Articles

  1. 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

1 paper by this author was announced in NEP, and specifically in the following field reports (number of papers):
  1. No paper was announced in a field specific NEP report

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