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Showing 1 - 4 of 4 results for “andrey itkin”
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  • Reviews in Modern Quantitative Finance

    by Andrey Itkin ...
    Series Book 1 - Annual Reviews in Modern Quantitative Finance: Including Current Aspects of Fintech, Risk and Investments
    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 (Chapter 1); equity trading, optimal portfolios and related problems (Chapters 2, 5, 6); machine ... Read more

    $106.19 USD

  • Generalized Integral Transforms In Mathematical Finance

    by Andrey Itkin, Alexander Lipton, Dmitry Muravey ...
    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 models with time-dependent barriers (Bachelier, Hull-White, CIR, CEV); (b) analyzing an ... Read more

    $120.59 USD

  • Fitting Local Volatility: Analytic And Numerical Approaches In Black-scholes And Local Variance Gamma Models

    by Andrey Itkin ...
    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 solutions of the Dupire equation for an arbitrary shape of the local volatility function; b) ... Read more

    $62.99 USD

  • Pricing Derivatives Under Lévy Models

    Modern Finite-Difference and Pseudo-Differential Operators Approach

    by Andrey Itkin ...
    Series series Mathematics and Statistics (R0)
    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 theory of finite-difference schemes, is new as applied to the Lévy processes in finance, and is ... Read more

    $80.99 USD