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The interaction between order imbalance and stock price

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Financial accounting and equity markets : the selected essays of Philip Brown

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Valuing executive stock options : performance hurdles, early exercise and stochastic volatility

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New solvable stochastic volatility models for pricing volatility derivatives

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Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models

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To sigmoid-based functional description of the volatility smile

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Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps

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Fitting local volatility : analytic and numerical approaches in Black-Scholes and local variance gamma models

Itkin, Andrey - 2020

"The concept of local volatility as well as the local volatility model are one of the classical topics of mathematical … volatility function; b) construction of parametric or non-parametric regression of the local volatility surface suitable for fast … calibration; c) no-arbitrage interpolation and extrapolation of the local and implied volatility surfaces; d) extension of the …

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An expanded Local Variance Gamma model

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Semi-analytical pricing of barrier options in the time-dependent Heston model

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