Andrey Itkin

According to our database, Andrey Itkin authored at least 8 papers between 2014 and 2021.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2021

Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery.

Andrey Itkin, Fazlollah Soleymani

J. Comput. Sci., 2021

2019

Pricing foreign exchange options under stochastic volatility and interest rates using an RBF-FD method.

Fazlollah Soleymani, Andrey Itkin

J. Comput. Sci., 2019

2018

Filling the gaps smoothly.

Andrey Itkin, Alexander Lipton

J. Comput. Sci., 2018

Special issue - Computational and algorithmic finance.

Karel J. in 't Hout, Andrey Itkin, Lina von Sydow, Jari Toivanen

J. Comput. Sci., 2018

2017

LSV models with stochastic interest rates and correlated jumps.

Andrey Itkin

Int. J. Comput. Math., 2017

2015

Efficient solution of structural default models with correlated jumps and mutual obligations.

Andrey Itkin, Alexander Lipton

Int. J. Comput. Math., 2015

Editorial.

Karel J. in 't Hout, Andrey Itkin, Cornelis W. Oosterlee, Jari Toivanen

Int. J. Comput. Math., 2015

2014

Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps.

Andrey Itkin

Algorithmic Finance, 2014