Andrey Itkin – författare
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5 produkter
Pricing Derivatives Under Lévy Models
Modern Finite-Difference and Pseudo-Differential Operators Approach
Av Andrey Itkin
Häftad, 2017
877 kr
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This monograph presents a novel numerical approach to solving partial integro-differential equations arising in asset pricing models with jumps, which greatly exceeds the efficiency of existing approaches. The method, based on pseudo-differential operators and several original contributions to the …
Pricing Derivatives Under Levy Models
Modern Finite-Difference and Pseudo-Differential Operators Approach
Av Andrey Itkin
E-bok, 2017
1108 kr
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This monograph presents a novel numerical approach to solving partial integro-differential equations arising in asset pricing models with jumps, which greatly exceeds the efficiency of existing approaches. The method, based on pseudo-differential operators and several original contributions to the …
FITTING LOCAL VOLATILITY: ANALYTIC AND NUMERICAL APPROACHES IN BLACK-SCHOLES AND LOCAL VARIANCE GAMMA MODELS
Av Andrey Itkin
Inbunden, 2020
1295 kr
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The concept of local volatility as well as the local volatility model are one of the classical topics of mathematical finance. Although the existing literature is wide, there still exist various problems that have not drawn sufficient attention so far, for example: a) construction of analytical …
GENERALIZED INTEGRAL TRANSFORMS IN MATHEMATICAL FINANCE
Av Andrey Itkin, Alexander Lipton m. fl.
Inbunden, 2021
2398 kr
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This book describes several techniques, first invented in physics for solving problems of heat and mass transfer, and applies them to various problems of mathematical finance defined in domains with moving boundaries. These problems include: (a) semi-closed form pricing of options in the one-factor …
REVIEWS IN MODERN QUANTITATIVE FINANCE
Inbunden, 2024
2122 kr
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This volume contains six chapters which cover several modern topics of quantitative finance and reflect the most significant trends currently shaping this field. The chapters discuss in detail and make original contributions to stochastic/fractional volatility models and their asymptotic solutions …
