15 citations · 66 across the 31 of their papers we have counts for
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q-fin.CP2013★ 4 cited
Efficient Solution of Backward Jump-Diffusion PIDEs with Splitting and Matrix Exponentials
Andrey Itkin
We propose a new, unified approach to solving jump-diffusion partial integro-differential equations (PIDEs) that often appear in mathematical finance. Our method consists of the fo…
q-fin.PR2013★ 1 cited
USLV: Unspanned Stochastic Local Volatility Model
Igor Halperin, Andrey Itkin
We propose a new framework for modeling stochastic local volatility, with potential applications to modeling derivatives on interest rates, commodities, credit, equity, FX etc., as…