15 citations · 66 across the 31 of their papers we have counts for
5 papers · 1 filter
Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery
Andrey Itkin, Fazlollah Soleymani
In this paper we modify the model of Itkin, Shcherbakov and Veygman, (2019) (ISV2019), proposed for pricing Quanto Credit Default Swaps (CDS) and risky bonds, in several ways. Firs…
A model-free backward and forward nonlinear PDEs for implied volatility
Peter Carr, Andrey Itkin, Sasha Stoikov
We derive a backward and forward nonlinear PDEs that govern the implied volatility of a contingent claim whenever the latter is well-defined. This would include at least any contin…
Deep learning calibration of option pricing models: some pitfalls and solutions
A Itkin
Recent progress in the field of artificial intelligence, machine learning and also in computer industry resulted in the ongoing boom of using these techniques as applied to solving…
ADOL - Markovian approximation of rough lognormal model
Peter Carr, Andrey Itkin
In this paper we apply Markovian approximation of the fractional Brownian motion (BM), known as the Dobric-Ojeda (DO) process, to the fractional stochastic volatility model where t…
Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method
Fazlollah Soleymani, Andrey Itkin
This paper proposes a numerical method for pricing foreign exchange (FX) options in a model which deals with stochastic interest rates and stochastic volatility of the FX rate. The…