15 citations · 66 across the 31 of their papers we have counts for
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q-fin.CP2015
LSV models with stochastic interest rates and correlated jumps
Andrey Itkin
Pricing and hedging exotic options using local stochastic volatility models drew a serious attention within the last decade, and nowadays became almost a standard approach to this…
q-fin.CP2015
Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions
Andrey Itkin
We consider a specific type of nonlinear partial differential equations (PDE) that appear in mathematical finance as the result of solving some optimization problems. We review som…
q-fin.PR2015★ 1 cited
Structural default model with mutual obligations
Andrey Itkin, Alexander Lipton
This paper considers mutual obligations in the interconnected bank system and analyzes their influence on joint and marginal survival probabilities as well as CDS and FTD prices fo…