Andrey Itkin

Publication Activity (10 Years)

Years Active: 2014-2021
Publications (10 Years): 5

Top Topics

Failure Recovery

Stochastic Optimization

Diffusion Models

Top Venues

J. Comput. Sci.

Int. J. Comput. Math.

Algorithmic Finance

Publications

Andrey Itkin, Fazlollah Soleymani
Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery. J. Comput. Sci. 54 (2021)
Fazlollah Soleymani, Andrey Itkin
Pricing foreign exchange options under stochastic volatility and interest rates using an RBF-FD method. J. Comput. Sci. 37 (2019)
Karel J. in 't Hout, Andrey Itkin, Lina von Sydow, Jari Toivanen
Special issue - Computational and algorithmic finance. J. Comput. Sci. 24 (2018)
Andrey Itkin, Alexander Lipton
Filling the gaps smoothly. J. Comput. Sci. 24 (2018)
Andrey Itkin
LSV models with stochastic interest rates and correlated jumps. Int. J. Comput. Math. 94 (7) (2017)
Karel J. in 't Hout, Andrey Itkin, Cornelis W. Oosterlee, Jari Toivanen
Editorial. Int. J. Comput. Math. 92 (12) (2015)
Andrey Itkin, Alexander Lipton
Efficient solution of structural default models with correlated jumps and mutual obligations. Int. J. Comput. Math. 92 (12) (2015)
Andrey Itkin
Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps. Algorithmic Finance 3 (3-4) (2014)