Andrey Itkin : Citation Profile


Are you Andrey Itkin?

New York University (NYU)

6

H index

2

i10 index

108

Citations

RESEARCH PRODUCTION:

12

Articles

31

Papers

1

Books

6

Chapters

RESEARCH ACTIVITY:

   11 years (2010 - 2021). See details.
   Cites by year: 9
   Journals where Andrey Itkin has often published
   Relations with other researchers
   Recent citing documents: 18.    Total self citations: 24 (18.18 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pit19
   Updated: 2022-11-19    RAS profile: 2021-09-08    
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Relations with other researchers


Works with:

Carr, Peter (7)

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

Is cited by:

Carr, Peter (6)

Baldeaux, Jan (6)

Platen, Eckhard (3)

Crisóstomo, Ricardo (3)

DA FONSECA, José (2)

Snow, Derek (1)

Rayée, Grégory (1)

Brigo, Damiano (1)

Ballotta, Laura (1)

Nikitopoulos-Sklibosios, Christina (1)

Tedeschi, Gabriele (1)

Cites to:

Carr, Peter (41)

Oosterlee, Cornelis (9)

Wu, Liuren (6)

Fang, Fang (6)

merton, robert (4)

Chiarella, Carl (4)

Kang, Boda (4)

Duffie, Darrell (3)

White, Alan (3)

Singleton, Kenneth (3)

Gnoatto, Alessandro (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 (2022 and 2021)


YearTitle of citing document
2021Pricing of debt and equity in a financial network with comonotonic endowments. (2018). Feinstein, Zachary ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1810.01372.

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2021Explicit solution simulation method for the 3/2 model. (2020). MacKay, Anne ; Kouritzin, Michael A ; Ren, Iro. In: Papers. RePEc:arx:papers:2009.09058.

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2021Black-box model risk in finance. (2021). Snow, Derek ; Szpruch, Lukasz ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2102.04757.

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2021Arbitrage-free neural-SDE market models. (2021). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2105.11053.

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20213D Tensor-based Deep Learning Models for Predicting Option Price. (2021). Luo, Shijun ; Zhou, Shen ; Ge, Muyang ; Tian, Boping. In: Papers. RePEc:arx:papers:2106.02916.

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2021On certain representations of pricing functionals. (2021). Marinelli, Carlo. In: Papers. RePEc:arx:papers:2109.05564.

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2022Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem. (2021). Rigger, Stefan ; Reisinger, Christoph ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2111.01783.

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2022Semi-analytical pricing of barrier options in the time-dependent Heston model. (2022). Carr, Peter ; Muravey, D ; Itkin, A. In: Papers. RePEc:arx:papers:2202.06177.

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2022Toward an efficient hybrid method for pricing barrier options on assets with stochastic volatility. (2022). Lipton, Alexander ; Sepp, Artur. In: Papers. RePEc:arx:papers:2202.07849.

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2022Solving barrier options under stochastic volatility using deep learning. (2022). Hirsa, Ali ; Fu, Weilong. In: Papers. RePEc:arx:papers:2207.00524.

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2021Robust and accurate construction of the local volatility surface using the Black–Scholes equation. (2021). Kim, Junseok. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:150:y:2021:i:c:s0960077921004707.

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2022Model risk in the over-the-counter market. (2022). Qi, Shuyuan ; Lazar, Emese. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:2:p:769-784.

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2022Pricing variance swaps under subordinated Jacobi stochastic volatility models. (2022). Liu, Allen ; Tong, Zhigang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:593:y:2022:i:c:s037843712200053x.

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2022Multilayer heat equations and their solutions via oscillating integral transforms. (2022). Muravey, Dmitry ; Lipton, Alexander ; Itkin, Andrey. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:601:y:2022:i:c:s0378437122003806.

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2021.

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2022Heat Equation as a Tool for Outliers Mitigation in Run-Off Triangles for Valuing the Technical Provisions in Non-Life Insurance Business. (2022). Mokrisova, Martina ; Rovnak, Martin ; Bakon, Matus ; Barlak, Jan. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:9:p:171-:d:899780.

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2021Markovian approximation of the rough Bergomi model for Monte Carlo option pricing. (2021). Langrene, Nicolas ; Chen, Wen ; Loeper, Gregoire ; Zhu, Qinwen. In: Post-Print. RePEc:hal:journl:hal-02910724.

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2021Estimating real?world probabilities: A forward?looking behavioral framework. (2021). Crisostomo, Ricardo . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:11:p:1797-1823.

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Works by Andrey Itkin:


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

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