New York University
Dr. Andrey Itkin is an Adjunct Professor at NYU, Department of Risk and Financial Engineering and Director, Senior Research Associate at Bank of America. He received his PhD in physics of liquids, gases and plasma, and degree of Doctor of Science in computational physics. During his academic carrier he published few books and multiple papers on chemical and theoretical physics and astrophysics, and later on computational and mathematical finance. Andrey occupied various research and managerial positions in financial industry and also is a member of multiple professional associations in finance and physics.
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.