15 citations · 66 across the 31 of their papers we have counts for
4 papers · 1 filter
Efficient solution of structural default models with correlated jumps and mutual obligations
Andrey Itkin, Alexander Lipton
The structural default model of Lipton and Sepp, 2009 is generalized for a set of banks with mutual interbank liabilities whose assets are driven by correlated Levy processes with…
To sigmoid-based functional description of the volatility smile
Andrey Itkin
We propose a new static parameterization of the implied volatility surface which is constructed by using polynomials of sigmoid functions combined with some other terms. This param…
Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps
Andrey Itkin
This paper is a further extension of the method proposed in Itkin, 2014 as applied to another set of jump-diffusion models: Inverse Normal Gaussian, Hyperbolic and Meixner. To solv…
High-Order Splitting Methods for Forward PDEs and PIDEs
Andrey Itkin
This paper is dedicated to the construction of high-order (in both space and time) finite-difference schemes for both forward and backward PDEs and PIDEs, such that option prices o…