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Andrey Itkin

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
RePEc Short-ID:pit19
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  1. Andrey Itkin, 2014. "High-Order Splitting Methods for Forward PDEs and PIDEs," Papers 1403.1804,
  2. Igor Halperin & Andrey Itkin, 2013. "USLV: Unspanned Stochastic Local Volatility Model," Papers 1301.4442,, revised Mar 2013.
  3. Andrey Itkin, 2013. "Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials," Papers 1304.3159,, revised Apr 2014.
  4. I. Halperin & A. Itkin, 2012. "Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging," Papers 1209.3503,
  5. Andrey Itkin, 2012. "New solvable stochastic volatility models for pricing volatility derivatives," Papers 1205.3550,, revised Jun 2012.
  6. Igor Halperin & Andrey Itkin, 2012. "Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging," Papers 1205.3507,
  7. Andrey Itkin & Peter Carr, 2010. "Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models," Papers 1002.1995,
  8. Andrey Itkin, 2005. "Pricing options with VG model using FFT," Papers physics/0503137,, revised Jan 2010.
  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. 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, vol. 40(1), pages 63-104, June.
  4. 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.
    RePEc:wsi:ijtafx:v:16:y:2013:i:07:p:1350033-1-1350033-17 is not listed on IDEAS
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (2) 2012-05-22 2013-01-26. Author is listed

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