Andrey Itkin Books
Pricing Derivatives Under Lévy Models: Modern Finite-Difference And Pseudo-Differential Operators Approach
By Andrey Itkin
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 app...
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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 p...
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Fitting Local Volatility
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 p...
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Generalized Integral Transforms In Mathematical Finance
By Alexander Lipton, Dmitry Muravey, Andrey Itkin
Overall, the book will help readers who want to learn modern analyti-cal tools for solving various applied problems of mathematical finance andphysics. From the mathematical perspective, the level...
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Microscopic Theory Of Condensation In Gases And Plasma
By A. L. Itkin, Andrey Itkin, Itkin A.L., Kolesnichenko E.G., Evgency G Kolesnichenko
These lecture notes are the content of an introductory course on modern, co-ordinate-free differential geometry which is taken by first-year theoretical physics PhD students, or by students attendi...
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Pricing Derivatives Under Lévy Models : Modern Finite-Difference And Pseudo-Differential Operators Approach
By Andrey Itkin, Andrey Itkin (Auth.)
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 app...
Read More
