N |
Authors |
Title |
Electronic |
Printed |
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1 |
A. Itkin |
Pricing options with VG model using FFT |
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2 |
A. Itkin |
Pricing swaps and options on quadratic variation under stochastic time-change models discrete observations case |
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Review of Derivatives Research, 2010, Vol.13, N.2, p.141-176. |
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3 |
A. Itkin |
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models. |
Computational Economics, 2012, Vol 40, N.1, p.63-104 |
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4 |
A. Itkin |
Jumps without Tears: A New Splitting Technology for Barrier Options |
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International Journal of Numerical Analysis and Modeling, 2011, v.8, N.4, pp 667–704. |
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5 |
A. Itkin |
New solvable stochastic volatility models for pricing volatility derivatives |
Review of Derivatives Research, 2013, v.16, #2, pp.111-134 |
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6 |
I. Halperin |
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging |
Quantitative Finance, 2014, v.14, # 3, pp.427-442 |
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7 |
I. Halperin |
Pricing Illiquid Options with N+1 Liquid Proxies Using Mixed Dynamic-Static Hedging |
International Journal of Theoretical and Applied Finance, 2013, vol.16, #7, pp.1350033-1 – 1350033-17.
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8 |
I. Halperin |
USLV: Unspanned Stochastic Local |
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9 |
A. Itkin |
Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials. |
Journal of Computational Finance, 2016, v.19, pp. 29-70. |
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10 |
A. Itkin |
High-Order Splitting Methods for Forward PDEs and PIDEs |
International Journal of Theoretical and Applied Finance, 2015, v.18, #5, pp.1550031-1 – 1550031-24. |
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11 |
A. Itkin |
Splitting and Matrix Exponentials approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps. |
Algorithmic Finance, 2014, 3, pp.233-250
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12 |
A. Itkin |
To sigmoid-based funtional description |
The North American Journal of Economics and Finance, 2015, 1, pp.264-291.
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13 |
A. Itkin |
Efficient solution of structural default models with correlated jumps and mutual obligations. |
International Journal of Computer Mathematics, 2015, v.92, #12, pp. 2380-2405. |
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14 |
A. Itkin |
Structural default model with mutual |
Review of Derivatives Research, 2017, v. 20, #1, pp 15–46.
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15 |
A. Itkin |
Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions. |
Journal of Computational Finance
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16 |
A. Itkin |
LSV models with stochastic interest rates and correlated jumps |
International Journal of Computer Mathematics, 2017, v. 94, #7, pp.1291-1317.
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18 |
A. Itkin |
Filling the gaps smoothly |
Journal of Computational Science, 2018, v.24, pp.195-208.
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19 |
A. Itkin |
Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps |
Applied Mathematical Finance, 2017, v.24, N6, pp.485-519. |
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20 |
K. in’t Hout |
Editorial. Special Issue – Computational methods in Finance |
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International Journal of Computer Mathematics, 2015, v.92, pp. 2345-2346.
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21 |
K. in’t Hout |
Editorial. Special Issue – Computational and algorithmic finance |
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Computational Science, 2018, v.24, pp.180-181.
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22 |
A. Itkin |
Influence of jump-at-default in IR and FX on Quanto CDS prices |
International Journal of Theoretical and Applied Finance 2019, Vol. 22, No 3, 1950003
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23 |
P. Carr |
An Expanded Local Variance Gamma model |
Computational Economics, 2020, v.55, Issue 4. |
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24 |
P. Carr |
Geometric Local Variance Gamma model |
The Journal of Derivatives 2019, Vol. 27, Issue 2, pp. 7-30.
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25 |
F. Soleymani |
Pricing foreign exchange options under stochastic volatility and interest rates using an RBF–FD method |
Journal of Computational Science, Vol. 37, October 2019, 101028 |
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26 |
P. Carr |
ADOL – Markovian approximation of rough lognormal model |
Risk, Nov. 2019
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27 |
A. Itkin |
Deep learning calibration of option pricing models: some pitfalls and solutions |
Risk, April. 2020
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28 |
P. Carr |
Model free backward and forward PDEs for
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The Journal of Derivatives, Fall 2020, 28, N1, 51-78. |
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29 |
A. Itkin |
Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery |
The Journal of Computational Science, 54(2021), 101434.
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31 |
P. Carr |
Semi-Analytical solutions for Barrier and American options written on a time-dependent Ornstein Uhlenbeck process
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The Journal of Derivatives, Fall 2021, 29 (1) 9-26. |
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32 |
A. Itkin |
Semi-closed form prices of barrier options in the Hull-White model
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Risk.net, Dec. 2020
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33 |
P. Carr |
Semi-closed form prices of barrier options in the time-dependent CEV and CIR models
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The Journal of Derivatives, Fall 2020, 28, N1, 26-50.
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34 |
A. Itkin |
From the Black-Karasinski to the Verhulst model to accommodate the unconventional Fed’s policy.
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35 |
A. Bogdanov
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Physics and Financial Derivatives. Special Issue
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The Journal of Derivatives, Fall 2020, 28, N1, 1-3.
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36 |
A. Itkin |
Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit.
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Frontiers of Mathematical Finance 2022, 1(1) : 53-79
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37 |
A. Itkin |
Multilayer heat equations: application to finance.
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Frontiers of Mathematical Finance
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39 |
A. Itkin |
Semi-analytical pricing of barrier options in the time-dependent λ-SABR model: Uncorrelated case
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The Journal of Derivatives, 2022, 30(1) , 74-101 |
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40 |
A. Itkin |
Multilayer heat equations and their solutions via oscillating integral transforms |
Physica A, Statistical mechanics and its applications, 2022 vol.601, p. 127544 |
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41 |
P. Carr |
Semi-analytical pricing of barrier options in the time-dependent Heston model |
The Journal of Derivatives, 2022, 30(2), 141-171 |
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42 |
A. Itkin |
My Reminiscences of Peter Carr |
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The Journal of Derivatives, 2022, 30(2), 8-15 |
| 43 | Andrey Itkin Alex Lipton Fabio Mercurio David Shimko Liuren Wu |
Editor’s Letter. Special issue in memory of Peter Carr |
The Journal of Derivatives, 2022, 30(2),1-2. |
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44 |
A. Itkin |
American Options in Time-Dependent One-Factor Models: Semi-Analytic Pricing, Numerical Methods, and ML Support |
The Journal of Derivatives, 2024, 31(3), 74-114. |
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45 |
A. Itkin |
Short time behavior of the ATM implied skew in the ADO-Heston model |
Frontiers of Mathematical Finance, 2024, 3(2), 214-238.
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46 |
A. Itkin |
The Journal of Derivatives, 2024, 32(1), 110 – 137 |
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47 |
A. Itkin |
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