Andrey Itkin

  • Adjunct Professor

Journal Articles



Research Interests

Computational Finance and Physics


- Analytical methods, transforms, Lie groups
- Stable FD methods (ADI, fractional steps, splitting) for pricing derivatives, special attention to multi-dimensional case
- Analytical and numerical methods for Levy models, including time-changed Levy models

Volatility products

- Analytical and numerical methods of pricing Variance and Volatility
- Swaps and options on quadratic variation
- Correlation and Dispersion Swaps

Incomlete markets