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Publications

by members of

New York University (NYU) → Poly Center for Risk Engineering

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Books | Chapters |

Working papers

2021

  1. Andrey Itkin & Dmitry Muravey, 2021, "Semi-analytical pricing of barrier options in the time-dependent $\lambda$-SABR model," Papers, arXiv.org, number 2109.02134, Sep.
  2. A. Itkin & A. Lipton & D. Muravey, 2021, "Multilayer heat equations: application to finance," Papers, arXiv.org, number 2102.08338, Feb.

2020

  1. Andrey Itkin & Dmitry Muravey, 2020, "Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit," Papers, arXiv.org, number 2009.09342, Sep, revised Oct 2020.
  2. Andrey Itkin & Dmitry Muravey, 2020, "Semi-closed form prices of barrier options in the Hull-White model," Papers, arXiv.org, number 2004.09591, Apr, revised Sep 2020.
  3. Peter Carr & Andrey Itkin, 2020, "Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process," Papers, arXiv.org, number 2003.08853, Mar, revised Mar 2020.
  4. Peter Carr & Andrey Itkin & Dmitry Muravey, 2020, "Semi-closed form prices of barrier options in the time-dependent CEV and CIR models," Papers, arXiv.org, number 2005.05459, May.
  5. A. Itkin & A. Lipton & D. Muravey, 2020, "From the Black-Karasinski to the Verhulst model to accommodate the unconventional Fed's policy," Papers, arXiv.org, number 2006.11976, Jun, revised Jan 2021.

2019

  1. Peter Carr & Andrey Itkin, 2019, "ADOL - Markovian approximation of rough lognormal model," Papers, arXiv.org, number 1904.09240, Apr.
  2. Fazlollah Soleymani & Andrey Itkin, 2019, "Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method," Papers, arXiv.org, number 1903.00937, Mar.
  3. A Itkin, 2019, "Deep learning calibration of option pricing models: some pitfalls and solutions," Papers, arXiv.org, number 1906.03507, Jun.
  4. Peter Carr & Andrey Itkin & Sasha Stoikov, 2019, "A model-free backward and forward nonlinear PDEs for implied volatility," Papers, arXiv.org, number 1907.07305, Jul.
  5. Andrey Itkin & Fazlollah Soleymani, 2019, "Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery," Papers, arXiv.org, number 1912.08713, Dec.

2018

  1. Peter Carr & Andrey Itkin, 2018, "An Expanded Local Variance Gamma model," Papers, arXiv.org, number 1802.09611, Feb, revised Dec 2018.
  2. Peter Carr & Andrey Itkin, 2018, "Geometric Local Variance Gamma model," Papers, arXiv.org, number 1809.07727, Sep, revised Dec 2018.

2017

  1. A. Itkin & V. Shcherbakov & A. Veygman, 2017, "Influence of jump-at-default in IR and FX on Quanto CDS prices," Papers, arXiv.org, number 1711.07133, Nov.
  2. Andrey Itkin, 2017, "Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps," Papers, arXiv.org, number 1701.02821, Jan, revised Jan 2017.

2016

  1. Andrey Itkin & Alexander Lipton, 2016, "Filling the gaps smoothly," Papers, arXiv.org, number 1608.05145, Aug.

2015

  1. Andrey Itkin, 2015, "Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions," Papers, arXiv.org, number 1510.04899, Oct.
  2. Andrey Itkin & Alexander Lipton, 2015, "Structural default model with mutual obligations," Papers, arXiv.org, number 1505.02039, May.
  3. Andrey Itkin, 2015, "LSV models with stochastic interest rates and correlated jumps," Papers, arXiv.org, number 1511.01460, Nov, revised Nov 2016.

2014

  1. Andrey Itkin, 2014, "High-Order Splitting Methods for Forward PDEs and PIDEs," Papers, arXiv.org, number 1403.1804, Mar.
  2. Andrey Itkin, 2014, "Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps," Papers, arXiv.org, number 1405.6111, May, revised May 2014.
  3. Andrey Itkin, 2014, "To sigmoid-based functional description of the volatility smile," Papers, arXiv.org, number 1407.0256, Jul, revised Dec 2014.
  4. Andrey Itkin & Alexander Lipton, 2014, "Efficient solution of structural default models with correlated jumps and mutual obligations," Papers, arXiv.org, number 1408.6513, Aug, revised Nov 2014.

2013

  1. Igor Halperin & Andrey Itkin, 2013, "USLV: Unspanned Stochastic Local Volatility Model," Papers, arXiv.org, number 1301.4442, Jan, revised Mar 2013.
  2. Andrey Itkin, 2013, "Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials," Papers, arXiv.org, number 1304.3159, Apr, revised Apr 2014.

2012

  1. I. Halperin & A. Itkin, 2012, "Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging," Papers, arXiv.org, number 1209.3503, Sep.
  2. Andrey Itkin, 2012, "New solvable stochastic volatility models for pricing volatility derivatives," Papers, arXiv.org, number 1205.3550, May, revised Jun 2012.
  3. Igor Halperin & Andrey Itkin, 2012, "Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging," Papers, arXiv.org, number 1205.3507, May.

2010

  1. Andrey Itkin & Peter Carr, 2010, "Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models," Papers, arXiv.org, number 1002.1995, Feb.

2009

  1. Edward D. Weinberger, 2009, "Pragmatic Information Rates, Generalizations of the Kelly Criterion, and Financial Market Efficiency," Papers, arXiv.org, number 0903.2243, Mar, revised Feb 2026.

2005

  1. Andrey Itkin, 2005, "Pricing options with VG model using FFT," Papers, arXiv.org, number physics/0503137, Mar, revised Jan 2010.

1996

  1. Edward D. Weinberger, 1996, "NP Completeness of Kauffman's N-k Model, A Tuneable Rugged Fitness Landscape," Working Papers, Santa Fe Institute, number 96-02-003, Feb.

Journal articles

2021

  1. P. Carr & A. Itkin, 2021, "An Expanded Local Variance Gamma Model," Computational Economics, Springer;Society for Computational Economics, volume 57, issue 4, pages 949-987, April, DOI: 10.1007/s10614-020-10000-w.

2019

  1. A. Itkin & V. Shcherbakov & A. Veygman, 2019, "New Model For Pricing Quanto Credit Default Swaps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 22, issue 03, pages 1-37, May, DOI: 10.1142/S0219024919500031.

2017

  1. Andrey Itkin & Alexander Lipton, 2017, "Structural default model with mutual obligations," Review of Derivatives Research, Springer, volume 20, issue 1, pages 15-46, April, DOI: 10.1007/s11147-016-9123-1.
  2. Andrey Itkin, 2017, "Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps," Applied Mathematical Finance, Taylor & Francis Journals, volume 24, issue 6, pages 485-519, November, DOI: 10.1080/1350486X.2017.1409641.

2015

  1. Andrey Itkin, 2015, "HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 18, issue 05, pages 1-24, DOI: 10.1142/S0219024915500314.
  2. Itkin, Andrey, 2015, "To sigmoid-based functional description of the volatility smile," The North American Journal of Economics and Finance, Elsevier, volume 31, issue C, pages 264-291, DOI: 10.1016/j.najef.2014.12.005.

2014

  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, volume 14, issue 3, pages 427-442, March, DOI: 10.1080/14697688.2013.816766.
  2. Andrey Itkin, 2014, "Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps," Algorithmic Finance, IOS Press, volume 3, issue 3-4, pages 233-250.

2013

  1. Andrey Itkin, 2013, "New solvable stochastic volatility models for pricing volatility derivatives," Review of Derivatives Research, Springer, volume 16, issue 2, pages 111-134, July, DOI: 10.1007/s11147-012-9082-0.
  2. 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., volume 16, issue 07, pages 1-17, DOI: 10.1142/S0219024913500337.

2012

  1. Andrey Itkin & Peter Carr, 2012, "Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models," Computational Economics, Springer;Society for Computational Economics, volume 40, issue 1, pages 63-104, June, DOI: 10.1007/s10614-011-9269-8.

2010

  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, volume 13, issue 2, pages 141-176, July, DOI: 10.1007/s11147-009-9048-z.

Books

2020

  1. Andrey Itkin, 2020, "Fitting Local Volatility:Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 11623, ISBN: ARRAY(0x780dc470).

Chapters

2020

  1. Andrey Itkin, 2020, "Local Volatility and Dupire’s Equation," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, "Fitting Local Volatility Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models".
  2. Andrey Itkin, 2020, "Regression-based Methods," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, "Fitting Local Volatility Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models".
  3. Andrey Itkin, 2020, "Geometric Local Variance Gamma Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, "Fitting Local Volatility Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models".
  4. Andrey Itkin, 2020, "Analytical Methods of Building the Local Volatility Surface," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, "Fitting Local Volatility Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models".
  5. Andrey Itkin, 2020, "Local Volatility Surface and No-arbitrage," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, "Fitting Local Volatility Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models".
  6. Andrey Itkin, 2020, "An Expanded Local Variance Gamma Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, "Fitting Local Volatility Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models".

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