Concepedia
Statistics
Publications
12
Citations
290
H-Index
10
Active since
2005
Affiliations
New York University(Current)
Metropolitan Community College
SUNY Polytechnic Institute
Risk Engineering (Bulgaria)
Rutgers, The State University of New Jersey
Andrey Itkin is an author at New York University specializing in financial economics, option pricing models, and option pricing.
Publications per year
2005–2021
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case
Andrey Itkin, Peter Carr · Review of Derivatives Research · 2009 · 78 citations
Business, Finance, Mathematics +12
New solvable stochastic volatility models for pricing volatility derivatives
Andrey Itkin · Review of Derivatives Research · 2012 · 36 citations
Business, Finance, Mathematics +14
Jumps without tears: A new splitting technology for barrier options
Andrey Itkin, Peter Carr · International Journal of Numerical Analysis and Modeling · 2011 · 36 citations
Business, Economics, Finance +17
Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models
Andrey Itkin, Peter Carr · Computational Economics · 2011 · 34 citations
Engineering, Finance, Mathematics +16
Efficient solution of structural default models with correlated jumps and mutual obligations
Andrey Itkin, Alexander Lipton · International Journal of Computer Mathematics · 2015 · 21 citations
Business, Economics, Finance +15
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