Articles by Andrey Itkin
Floating exercise boundaries for American options in time-inhomogeneous models
A pricing model is extended to account for negative interest rates or convenience yields
Deep learning calibration of option pricing models: some pitfalls and solutions
Addressing model calibration and the issue of no-arbitrage in a deep learning approach
A new nonlinear partial differential equation in finance and a method of its solution
In this paper, the author considers a special type of nonlinear PDE that arises by applying optimization to some financial problems.
Efficient solution of backward jump-diffusion partial integro-differential equations with splitting and matrix exponentials
A unified approach for solving jump-diffusion partial integro differential equations is proposed.