Andrey Itkin

Identifiers

• name variant Andrey Itkin 0.60 · backfill

Papers (35)

1. Valuing American options and Flexible Forwards contracts in time-dependent models q-fin.CP · 2026 · author #2
2. Diagonal Frog: High-order positivity-preserving FD schemes for anisotropic Fokker-Planck equations math.NA · 2026 · author #1
3. Marketron Through the Looking Glass: From Equity Dynamics to Option Pricing in Incomplete Markets q-fin.PR · 2025 · author #2
4. Floating exercise boundaries for American options in time-inhomogeneous models q-fin.PR · 2025 · author #1
5. Semi-analytical pricing of options written on SOFR futures q-fin.CP · 2024 · author #1
6. The ATM implied skew in the ADO-Heston model q-fin.CP · 2023 · author #1
7. Semi-analytic pricing of American options in time-dependent jump-diffusion models with exponential jumps q-fin.PR · 2023 · author #1
8. American options in time-dependent one-factor models: Semi-analytic pricing, numerical methods and ML support q-fin.CP · 2023 · author #1
9. Multilayer heat equations and their solutions via oscillating integral transforms q-fin.PR · 2021 · author #1
10. Semi-analytical pricing of barrier options in the time-dependent $\lambda$-SABR model q-fin.PR · 2021 · author #1
11. Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit q-fin.CP · 2020 · author #1
12. Semi-closed form prices of barrier options in the time-dependent CEV and CIR models q-fin.CP · 2020 · author #2
13. Semi-closed form prices of barrier options in the Hull-White model q-fin.CP · 2020 · author #1
14. Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process q-fin.PR · 2020 · author #2
15. Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery q-fin.CP · 2019 · author #1
16. A model-free backward and forward nonlinear PDEs for implied volatility q-fin.CP · 2019 · author #2
17. ADOL - Markovian approximation of rough lognormal model q-fin.MF · 2019 · author #2
18. Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method q-fin.CP · 2019 · author #2
19. Geometric Local Variance Gamma model q-fin.PR · 2018 · author #2
20. An Expanded Local Variance Gamma model q-fin.CP · 2018 · author #2
21. Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps q-fin.CP · 2017 · author #1
22. Filling the gaps smoothly q-fin.CP · 2016 · author #1
23. LSV models with stochastic interest rates and correlated jumps q-fin.CP · 2015 · author #1
24. Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions q-fin.CP · 2015 · author #1
25. Structural default model with mutual obligations q-fin.PR · 2015 · author #1
26. Efficient solution of structural default models with correlated jumps and mutual obligations q-fin.CP · 2014 · author #1
27. To sigmoid-based functional description of the volatility smile q-fin.MF · 2014 · author #1
28. Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps q-fin.CP · 2014 · author #1
29. High-Order Splitting Methods for Forward PDEs and PIDEs q-fin.CP · 2014 · author #1
30. Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials q-fin.CP · 2013 · author #1
31. USLV: Unspanned Stochastic Local Volatility Model q-fin.PR · 2013 · author #2
32. New solvable stochastic volatility models for pricing volatility derivatives q-fin.PR · 2012 · author #1
33. Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging q-fin.PR · 2012 · author #2
34. Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models q-fin.CP · 2010 · author #1
35. Pricing options with VG model using FFT physics.soc-ph · 2005 · author #1

Mentions

• 2508.09863 #2 · arxiv_oai · confidence 0.70 Andrey Itkin
• 2502.00740 #1 · arxiv_oai · confidence 0.70 Andrey Itkin
• 2409.04903 #1 · arxiv_oai · confidence 0.70 Andrey Itkin
• 2308.08760 #1 · arxiv_oai · confidence 0.70 Andrey Itkin
• 2309.15044 #1 · arxiv_oai · confidence 0.70 Andrey Itkin
• 2307.13870 #1 · arxiv_oai · confidence 0.70 Andrey Itkin
• 2112.00949 #1 · arxiv_oai · confidence 0.70 Andrey Itkin
• 2109.02134 #1 · arxiv_oai · confidence 0.70 Andrey Itkin
• 2009.09342 #1 · arxiv_oai · confidence 0.70 Andrey Itkin
• 2004.09591 #1 · arxiv_oai · confidence 0.70 Andrey Itkin
• 2005.05459 #2 · arxiv_oai · confidence 0.70 Andrey Itkin
• 2003.08853 #2 · arxiv_oai · confidence 0.70 Andrey Itkin
• 1912.08713 #1 · arxiv_oai · confidence 0.70 Andrey Itkin
• 1907.07305 #2 · arxiv_oai · confidence 0.70 Andrey Itkin
• 1904.09240 #2 · arxiv_oai · confidence 0.70 Andrey Itkin
• 1809.07727 #2 · arxiv_oai · confidence 0.70 Andrey Itkin
• 1802.09611 #2 · arxiv_oai · confidence 0.70 Andrey Itkin
• 1511.01460 #1 · arxiv_oai · confidence 0.70 Andrey Itkin
• 1608.05145 #1 · arxiv_oai · confidence 0.70 Andrey Itkin
• 1510.04899 #1 · arxiv_oai · confidence 0.70 Andrey Itkin
• 1505.02039 #1 · arxiv_oai · confidence 0.70 Andrey Itkin
• 1407.0256 #1 · arxiv_oai · confidence 0.70 Andrey Itkin
• 1408.6513 #1 · arxiv_oai · confidence 0.70 Andrey Itkin
• 1405.6111 #1 · arxiv_oai · confidence 0.70 Andrey Itkin
• 1304.3159 #1 · arxiv_oai · confidence 0.70 Andrey Itkin
• 1403.1804 #1 · arxiv_oai · confidence 0.70 Andrey Itkin
• 1301.4442 #2 · arxiv_oai · confidence 0.70 Andrey Itkin
• 1205.3550 #1 · arxiv_oai · confidence 0.70 Andrey Itkin
• 1205.3507 #2 · arxiv_oai · confidence 0.70 Andrey Itkin
• 1002.1995 #1 · arxiv_oai · confidence 0.70 Andrey Itkin
• physics/0503137 #1 · arxiv_oai · confidence 0.70 Andrey Itkin
• 2606.27335 #2 · arxiv_oai · confidence 0.70 Andrey Itkin
• 2606.23980 #1 · arxiv_oai · confidence 0.70 Andrey Itkin
• 1511.01460 #1 · backfill · confidence 0.70 Andrey Itkin
• 1510.04899 #1 · backfill · confidence 0.70 Andrey Itkin
• 1903.00937 #2 · arxiv_oai · confidence 0.70 Andrey Itkin
• 1701.02821 #1 · arxiv_oai · confidence 0.70 Andrey Itkin
• 1505.02039 #1 · backfill · confidence 0.70 Andrey Itkin
• 1408.6513 #1 · backfill · confidence 0.70 Andrey Itkin
• 1407.0256 #1 · backfill · confidence 0.70 Andrey Itkin
• 1405.6111 #1 · backfill · confidence 0.70 Andrey Itkin
• 1403.1804 #1 · backfill · confidence 0.70 Andrey Itkin
• 1304.3159 #1 · backfill · confidence 0.70 Andrey Itkin
• 1301.4442 #2 · backfill · confidence 0.70 Andrey Itkin
• 1205.3550 #1 · backfill · confidence 0.70 Andrey Itkin
• 1205.3507 #2 · backfill · confidence 0.70 Andrey Itkin
• 1002.1995 #1 · backfill · confidence 0.70 Andrey Itkin

Frequent Coauthors

• Peter Carr 7 shared papers
• Dmitry Muravey 6 shared papers
• Alexander Lipton 4 shared papers
• Igor Halperin 3 shared papers
• Fazlollah Soleymani 2 shared papers
• Yerkin Kitapbayev 2 shared papers
• Leif Andersen 1 shared papers
• Rakhymzhan Kazbek 1 shared papers
• Sasha Stoikov 1 shared papers