| Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case A Itkin, P Carr Review of Derivatives Research 13, 141-176, 2010 | 79 | 2010 |
| Pricing derivatives under Lévy models A Itkin Pseudo-differential operators 12, 2017 | 69 | 2017 |
| Deep learning calibration of option pricing models: some pitfalls and solutions A Itkin arXiv preprint arXiv:1906.03507, 2019 | 59 | 2019 |
| The near-nucleus coma formed by interacting dusty gas jets effusing from a cometary nucleus: I JF Crifo, AL Itkin, AV Rodionov Icarus 116 (1), 77-112, 1995 | 51 | 1995 |
| Jumps without tears: A new splitting technology for barrier options A Itkin, P Carr International Journal of Numerical Analysis and Modeling 8 (4), 667-704, 2011 | 44 | 2011 |
| Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models A Itkin, P Carr Computational Economics 40, 63-104, 2012 | 35 | 2012 |
| Pricing options with VG model using FFT A Itkin arXiv preprint physics/0503137, 2005 | 29 | 2005 |
| New solvable stochastic volatility models for pricing volatility derivatives A Itkin Review of Derivatives Research 16 (2), 111-134, 2013 | 28 | 2013 |
| Microscopic theory of condensation in gases and plasma AL Itkin, EG Kolesnichenko World Scientific, 1997 | 28 | 1997 |
| Semi-closed form prices of barrier options in the time-dependent CEV and CIR models P Carr, A Itkin, D Muravey arXiv preprint arXiv:2005.05459, 2020 | 22 | 2020 |
| Semi-closed form solutions for barrier and American options written on a time-dependent Ornstein Uhlenbeck process P Carr, A Itkin arXiv preprint arXiv:2003.08853, 2020 | 22 | 2020 |
| Efficient solution of backward jump-diffusion partial integro-differential equations with splitting and matrix exponentials A Itkin Journal of Computational Finance, 2016 | 22 | 2016 |
| Efficient solution of structural default models with correlated jumps and mutual obligations A Itkin, A Lipton International Journal of Computer Mathematics 92 (12), 2380-2405, 2015 | 19 | 2015 |
| High order splitting methods for forward PDEs and PIDEs A Itkin International Journal of Theoretical and Applied Finance 18 (05), 1550031, 2015 | 17 | 2015 |
| To sigmoid-based functional description of the volatility smile A Itkin The North American Journal of Economics and Finance 31, 264-291, 2015 | 17 | 2015 |
| Four-factor model of quanto CDS with jumps-at-default and stochastic recovery A Itkin, F Soleymani Journal of Computational Science 54, 101434, 2021 | 13 | 2021 |
| Pricing foreign exchange options under stochastic volatility and interest rates using an RBF–FD method F Soleymani, A Itkin Journal of Computational Science 37, 101028, 2019 | 13 | 2019 |
| LSV models with stochastic interest rates and correlated jumps A Itkin International Journal of Computer Mathematics 94 (7), 1291-1317, 2017 | 13 | 2017 |
| Structural default model with mutual obligations A Itkin, A Lipton Review of Derivatives Research 20 (1), 15-46, 2017 | 13 | 2017 |
| Generalized integral transforms in mathematical finance A Itkin, A Lipton, D Muravey World Scientific, 2021 | 12 | 2021 |
Peter CarrDepartment Chair, Finance and Risk Engineering, Tandon School, NYUยืนยันอีเมลแล้วที่ nyu.edu