6
H index
4
i10 index
134
Citations
Andrey Itkin : Citation Profile
New York University (NYU) | RESEARCH PRODUCTION: 12 Articles 31 Papers 1 Books 6 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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11 years (2010 - 2021). 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:
| Cites to:
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Main data
Where Andrey Itkin has published?
| Journals with more than one article published | # docs |
|---|---|
| Review of Derivatives Research | 3 |
| International Journal of Theoretical and Applied Finance (IJTAF) | 3 |
| Computational Economics | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 31 |
Recent works citing Andrey Itkin (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | Deep calibration with random grids. (2023). Rossi, Pietro ; Bormetti, Giacomo ; Baschetti, Fabio. In: Papers. RePEc:arx:papers:2306.11061. Full description at Econpapers || Download paper |
| 2024 | Semi-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 |
| 2024 | No-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 |
| 2024 | Deep learning interpretability for rough volatility. (2024). Brigo, Damiano ; Jacquier, Antoine ; Pede, Nicola ; Yuan, BO. In: Papers. RePEc:arx:papers:2411.19317. Full description at Econpapers || Download paper |
| 2024 | Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets. (2024). Xia, YI ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2412.09157. Full description at Econpapers || Download paper |
| 2025 | Marketron games: Self-propelling stocks vs dumb money and metastable dynamics of the Good, Bad and Ugly markets. (2025). Itkin, A ; Halperin, I. In: Papers. RePEc:arx:papers:2501.12676. Full description at Econpapers || Download paper |
| 2025 | Floating exercise boundaries for American options in time-inhomogeneous models. (2025). Kitapbayev, Yerkin ; Itkin, Andrey. In: Papers. RePEc:arx:papers:2502.00740. Full description at Econpapers || Download paper |
| 2025 | Analytically pricing volatility options and capped/floored volatility swaps with nonlinear payoffs in discrete observation case under the Merton jump-diffusion model driven by a nonhomogeneous Poisson process. (2025). Rujivan, Sanae. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:486:y:2025:i:c:s0096300324004909. Full description at Econpapers || Download paper |
| 2024 | Determining bid-ask prices for options with stochastic illiquidity and applications to index options. (2024). Tsai, Jeffrey Tzuhao ; Chuang, Ming-Che. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:84:y:2024:i:c:s0927538x24000659. Full description at Econpapers || Download paper |
| 2024 | On certain representations of pricing functionals. (2024). Marinelli, Carlo. In: Annals of Finance. RePEc:kap:annfin:v:20:y:2024:i:1:d:10.1007_s10436-024-00438-5. Full description at Econpapers || Download paper |
| 2024 | Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem. (2024). Reisinger, Christoph ; Cuchiero, Christa ; Rigger, Stefan. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-023-05293-7. Full description at Econpapers || Download paper |
Works by Andrey Itkin:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2010 | Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2012 | Using 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 | |
| 2012 | Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2014 | Pricing 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: 2 | article | |
| 2012 | New solvable stochastic volatility models for pricing volatility derivatives In: Papers. [Full Text][Citation analysis] | paper | 16 |
| 2013 | New 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: 16 | article | |
| 2012 | Pricing Illiquid Options with $N+1$ Liquid Proxies Using Mixed Dynamic-Static Hedging In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | PRICING 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 | |
| 2013 | USLV: Unspanned Stochastic Local Volatility Model In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2014 | High-Order Splitting Methods for Forward PDEs and PIDEs In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2015 | HIGH 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 | |
| 2014 | Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Splitting 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 | |
| 2014 | To sigmoid-based functional description of the volatility smile In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2015 | To 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 | |
| 2014 | Efficient solution of structural default models with correlated jumps and mutual obligations In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2015 | Structural default model with mutual obligations In: Papers. [Full Text][Citation analysis] | paper | 10 |
| 2017 | Structural default model with mutual obligations.(2017) In: Review of Derivatives Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2015 | Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | LSV models with stochastic interest rates and correlated jumps In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2016 | Filling the gaps smoothly In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Modelling 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 | |
| 2017 | Influence of jump-at-default in IR and FX on Quanto CDS prices In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2018 | An Expanded Local Variance Gamma model In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2021 | An Expanded Local Variance Gamma Model.(2021) In: Computational Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2020 | An Expanded Local Variance Gamma Model.(2020) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | chapter | |
| 2018 | Geometric Local Variance Gamma model In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Geometric Local Variance Gamma Model.(2020) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | chapter | |
| 2019 | Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2019 | ADOL - Markovian approximation of rough lognormal model In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2019 | Deep learning calibration of option pricing models: some pitfalls and solutions In: Papers. [Full Text][Citation analysis] | paper | 14 |
| 2019 | A model-free backward and forward nonlinear PDEs for implied volatility In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2020 | Semi-closed form prices of barrier options in the Hull-White model In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2020 | Semi-closed form prices of barrier options in the time-dependent CEV and CIR models In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2021 | From the Black-Karasinski to the Verhulst model to accommodate the unconventional Feds policy In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2020 | Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Multilayer heat equations: application to finance In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2021 | Semi-analytical pricing of barrier options in the time-dependent $\lambda$-SABR model In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2010 | Pricing options with VG model using FFT In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2010 | Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 29 |
| 2019 | NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
| 2020 | Fitting Local Volatility:Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models In: World Scientific Books. [Full Text][Citation analysis] | book | 3 |
| 2020 | Local Volatility and Dupire’s Equation In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2020 | Local Volatility Surface and No-arbitrage In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2020 | Analytical Methods of Building the Local Volatility Surface In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2020 | Regression-based Methods In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team