Andrey Itkin : Citation Profile


Are you Andrey Itkin?

New York University (NYU)

6

H index

3

i10 index

121

Citations

RESEARCH PRODUCTION:

12

Articles

31

Papers

1

Books

6

Chapters

RESEARCH ACTIVITY:

   11 years (2010 - 2021). See details.
   Cites by year: 11
   Journals where Andrey Itkin has often published
   Relations with other researchers
   Recent citing documents: 9.    Total self citations: 24 (16.55 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pit19
   Updated: 2024-01-16    RAS profile: 2021-09-08    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Andrey Itkin.

Is cited by:

Baldeaux, Jan (6)

Crisóstomo, Ricardo (4)

Platen, Eckhard (3)

DA FONSECA, José (2)

Nikitopoulos-Sklibosios, Christina (1)

Recchioni, Maria (1)

Snow, Derek (1)

Ballotta, Laura (1)

Brigo, Damiano (1)

Tedeschi, Gabriele (1)

Rayée, Grégory (1)

Cites to:

Oosterlee, Cornelis (9)

Wu, Liuren (6)

Fang, Fang (6)

Kang, Boda (4)

merton, robert (4)

Jarrow, Robert (3)

White, Alan (3)

Grzelak, Lech (3)

Gnoatto, Alessandro (3)

Duffie, Darrell (3)

Singleton, Kenneth (3)

Main data


Where Andrey Itkin has published?


Journals with more than one article published# docs
International Journal of Theoretical and Applied Finance (IJTAF)3
Review of Derivatives Research3
Computational Economics2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org31

Recent works citing Andrey Itkin (2024 and 2023)


YearTitle of citing document
2023Learning Volatility Surfaces using Generative Adversarial Networks. (2023). Wan, Justin ; Zhang, Meixin ; Na, Andrew. In: Papers. RePEc:arx:papers:2304.13128.

Full description at Econpapers || Download paper

2023Option Pricing for the Variance Gamma Model: A New Perspective. (2023). Wang, Haixu ; Cheng, Zailei. In: Papers. RePEc:arx:papers:2306.10659.

Full description at Econpapers || Download paper

2023Deep calibration with random grids. (2023). Rossi, Pietro ; Bormetti, Giacomo ; Baschetti, Fabio. In: Papers. RePEc:arx:papers:2306.11061.

Full description at Econpapers || Download paper

2023American options in time-dependent one-factor models: Semi-analytic pricing, numerical methods and ML support. (2023). Muravey, Dmitry ; Itkin, Andrey. In: Papers. RePEc:arx:papers:2307.13870.

Full description at Econpapers || Download paper

2023Semi-analytic pricing of American options in some time-dependent jump-diffusion models. (2023). Itkin, Andrey. In: Papers. RePEc:arx:papers:2308.08760.

Full description at Econpapers || Download paper

2023The ATM implied skew in the ADO-Heston model. (2023). Itkin, Andrey. In: Papers. RePEc:arx:papers:2309.15044.

Full description at Econpapers || Download paper

2023No-Arbitrage Deep Calibration for Volatility Smile and Skewness. (2023). Phelan, Carolyn E ; Hoshisashi, Kentaro ; Barucca, Paolo. In: Papers. RePEc:arx:papers:2310.16703.

Full description at Econpapers || Download paper

2023Numerical approximation and fast implementation to a generalized distributed-order time-fractional option pricing model. (2023). Zheng, Xiangcheng ; Jia, Jinhong ; Zhang, Meihui. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:170:y:2023:i:c:s0960077923002540.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

Works by Andrey Itkin:


YearTitleTypeCited
2010Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models In: Papers.
[Full Text][Citation analysis]
paper7
2012Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models.(2012) In: Computational Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7
article
2012Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging In: Papers.
[Full Text][Citation analysis]
paper1
2014Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging.(2014) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1
article
2012New solvable stochastic volatility models for pricing volatility derivatives In: Papers.
[Full Text][Citation analysis]
paper15
2013New solvable stochastic volatility models for pricing volatility derivatives.(2013) In: Review of Derivatives Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15
article
2012Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging In: Papers.
[Full Text][Citation analysis]
paper0
2013PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING.(2013) In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0
article
2013USLV: Unspanned Stochastic Local Volatility Model In: Papers.
[Full Text][Citation analysis]
paper1
2014Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials In: Papers.
[Full Text][Citation analysis]
paper3
2014High-Order Splitting Methods for Forward PDEs and PIDEs In: Papers.
[Full Text][Citation analysis]
paper4
2015HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs.(2015) In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4
article
2014Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps In: Papers.
[Full Text][Citation analysis]
paper0
2014Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps.(2014) In: Algorithmic Finance.
[Citation analysis]
This paper has nother version. Agregated cites: 0
article
2014To sigmoid-based functional description of the volatility smile In: Papers.
[Full Text][Citation analysis]
paper1
2015To sigmoid-based functional description of the volatility smile.(2015) In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1
article
2014Efficient solution of structural default models with correlated jumps and mutual obligations In: Papers.
[Full Text][Citation analysis]
paper7
2015Structural default model with mutual obligations In: Papers.
[Full Text][Citation analysis]
paper9
2017Structural default model with mutual obligations.(2017) In: Review of Derivatives Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9
article
2015Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions In: Papers.
[Full Text][Citation analysis]
paper0
2016LSV models with stochastic interest rates and correlated jumps In: Papers.
[Full Text][Citation analysis]
paper3
2016Filling the gaps smoothly In: Papers.
[Full Text][Citation analysis]
paper0
2017Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps In: Papers.
[Full Text][Citation analysis]
paper1
2017Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps.(2017) In: Applied Mathematical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1
article
2017Influence of jump-at-default in IR and FX on Quanto CDS prices In: Papers.
[Full Text][Citation analysis]
paper2
2018An Expanded Local Variance Gamma model In: Papers.
[Full Text][Citation analysis]
paper1
2021An Expanded Local Variance Gamma Model.(2021) In: Computational Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1
article
2020An Expanded Local Variance Gamma Model.(2020) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1
chapter
2018Geometric Local Variance Gamma model In: Papers.
[Full Text][Citation analysis]
paper0
2020Geometric Local Variance Gamma Model.(2020) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0
chapter
2019Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method In: Papers.
[Full Text][Citation analysis]
paper2
2019ADOL - Markovian approximation of rough lognormal model In: Papers.
[Full Text][Citation analysis]
paper3
2019Deep learning calibration of option pricing models: some pitfalls and solutions In: Papers.
[Full Text][Citation analysis]
paper12
2019A model-free backward and forward nonlinear PDEs for implied volatility In: Papers.
[Full Text][Citation analysis]
paper0
2019Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery In: Papers.
[Full Text][Citation analysis]
paper0
2020Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process In: Papers.
[Full Text][Citation analysis]
paper1
2020Semi-closed form prices of barrier options in the Hull-White model In: Papers.
[Full Text][Citation analysis]
paper3
2020Semi-closed form prices of barrier options in the time-dependent CEV and CIR models In: Papers.
[Full Text][Citation analysis]
paper4
2021From the Black-Karasinski to the Verhulst model to accommodate the unconventional Feds policy In: Papers.
[Full Text][Citation analysis]
paper1
2020Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit In: Papers.
[Full Text][Citation analysis]
paper0
2021Multilayer heat equations: application to finance In: Papers.
[Full Text][Citation analysis]
paper2
2021Semi-analytical pricing of barrier options in the time-dependent $\lambda$-SABR model In: Papers.
[Full Text][Citation analysis]
paper2
2010Pricing options with VG model using FFT In: Papers.
[Full Text][Citation analysis]
paper6
2010Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case In: Review of Derivatives Research.
[Full Text][Citation analysis]
article28
2019NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article0
2020Fitting Local Volatility:Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models In: World Scientific Books.
[Full Text][Citation analysis]
book2
2020Local Volatility and Dupire’s Equation In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2020Local Volatility Surface and No-arbitrage In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2020Analytical Methods of Building the Local Volatility Surface In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2020Regression-based Methods In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team