7 papers
A GLE-LSV model with state-dependent leverage and colored noise
Andrey Itkin
We study a local stochastic volatility (LSV) model in which the variance factor follows a generalized Langevin equation (GLE) with colored noise, and past returns act on variance t…
A Generalized Langevin Model of Latent Liquidity and Concave Price Impact
Andrey Itkin
We model market impact as the response to submitted order flow net of counterflow from latent traders, activated when price displacements from the level that would prevail without…
Beyond Rough Volatility: Decoupling Memory and Scaling via a Generalized Langevin Equation
Andrey Itkin
Borrowed from non-equilibrium statistical mechanics, the generalized Langevin equation (GLE) is imported as a framework for stochastic volatility to address the structural limitati…
Calibrating Inelastic Markets to Options: The Lean Marketron and the Generalized Langevin Equation
Andrey Itkin
The Marketron model of \cite{HalperinItkin2025Mark} and its option pricing extension in \cite{HalperinItkinMarketron2} suffer from structural non-identifiability: an eighteen-param…
Floating exercise boundaries for American options in time-inhomogeneous models
Andrey Itkin, Yerkin Kitapbayev
This paper examines a semi-analytical approach for pricing American options in time-inhomogeneous models characterized by negative interest rates (for equity/FX) or negative conven…
Semi-analytical pricing of options written on SOFR futures
Andrey Itkin, Yerkin Kitapbayev
In this paper, we propose a semi-analytical approach to pricing options on SOFR futures where the underlying SOFR follows a time-dependent CEV model. By definition, these options c…
The ATM implied skew in the ADO-Heston model
Andrey Itkin
In this paper similar to [P. Carr, A. Itkin, 2019] we construct another Markovian approximation of the rough Heston-like volatility model - the ADO-Heston model. The characteristic…