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New solvable stochastic volatility models for pricing volatility derivatives

Itkin, Andrey - In: Review of derivatives research 16 (2013) 2, pp. 111-134

Persistent link: https://www.econbiz.de/10009774404

High order splitting methods for forward PDEs and PIDEs

Itkin, Andrey - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-24

Persistent link: https://www.econbiz.de/10011403866

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

Itkin, Andrey - In: Applied mathematical finance 24 (2017) 5/6, pp. 485-519

Persistent link: https://www.econbiz.de/10011815291

A new nonlinear partial differential equation in finance and a method of its solution

Itkin, Andrey - In: The journal of computational finance 21 (2017/2018) 4, pp. 1-21

Persistent link: https://www.econbiz.de/10011848371

Pricing derivatives under Lévy models : modern finite-difference and pseudo-differential operators approach

Itkin, Andrey - 2017

This monograph presents a novel numerical approach to solving partial integro-differential equations arising in asset pricing models with jumps, which greatly exceeds the efficiency of existing approaches. The method, based on pseudo-differential operators and several original contributions to...