Andrey Itkin

462 total citations
26 papers, 187 citations indexed

About

Andrey Itkin is a scholar working on Finance, Economics and Econometrics and Numerical Analysis. According to data from OpenAlex, Andrey Itkin has authored 26 papers receiving a total of 187 indexed citations (citations by other indexed papers that have themselves been cited), including 25 papers in Finance, 5 papers in Economics and Econometrics and 2 papers in Numerical Analysis. Recurrent topics in Andrey Itkin's work include Stochastic processes and financial applications (24 papers), Financial Risk and Volatility Modeling (13 papers) and Credit Risk and Financial Regulations (5 papers). Andrey Itkin is often cited by papers focused on Stochastic processes and financial applications (24 papers), Financial Risk and Volatility Modeling (13 papers) and Credit Risk and Financial Regulations (5 papers). Andrey Itkin collaborates with scholars based in United States, Russia and Israel. Andrey Itkin's co-authors include Peter Carr, Alexander Lipton, Igor Halperin, Karel in ’t Hout, Lina von Sydow and Jari Toivanen and has published in prestigious journals such as Physica A Statistical Mechanics and its Applications, Quantitative Finance and The North American Journal of Economics and Finance.

In The Last Decade

Andrey Itkin

22 papers receiving 174 citations

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name	h						Papers	Cites
Andrey Itkin United States	7	163	44	37	31	13	26	187
Antonino Zanette Italy	9	173 1.1×	56 1.3×	58 1.6×	19 0.6×	9 0.7×	29	208
Stefano Pagliarani Italy	11	267 1.6×	60 1.4×	28 0.8×	11 0.4×	15 1.2×	41	284
Nick Webber United Kingdom	8	163 1.0×	41 0.9×	40 1.1×	27 0.9×	7 0.5×	23	196
Omar El Euch France	5	310 1.9×	47 1.1×	119 3.2×	12 0.4×	6 0.5×	5	330
Matthew Lorig United States	9	210 1.3×	40 0.9×	51 1.4×	5 0.2×	10 0.8×	39	227
Alexandre Popier France	8	189 1.2×	38 0.9×	72 1.9×	10 0.3×	15 1.2×	21	219
Kathrin Glau Germany	7	163 1.0×	39 0.9×	51 1.4×	9 0.3×	12 0.9×	21	195
Sha Lin China	12	325 2.0×	63 1.4×	83 2.2×	34 1.1×	2 0.2×	39	365
M. Hassani Morocco	9	224 1.4×	66 1.5×	45 1.2×	19 0.6×	20 1.5×	19	235
Alessandro Gnoatto Italy	8	188 1.2×	48 1.1×	48 1.3×	3 0.1×	6 0.5×	29	210

Countries citing papers authored by Andrey Itkin

Since Specialization

Citations

This map shows the geographic impact of Andrey Itkin's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Andrey Itkin with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Andrey Itkin more than expected).

Fields of papers citing papers by Andrey Itkin

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Andrey Itkin. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Andrey Itkin. The network helps show where Andrey Itkin may publish in the future.

Co-authorship network of co-authors of Andrey Itkin

This figure shows the co-authorship network connecting the top 25 collaborators of Andrey Itkin. A scholar is included among the top collaborators of Andrey Itkin based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Andrey Itkin. Andrey Itkin is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

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20 of 20 papers shown

Itkin, Andrey. (2024). Short time behavior of the ATM implied skew in the ADO-Heston model. 3(2). 214–238. 1 indexed citations

Itkin, Andrey, et al.. (2023). American Options in Time-Dependent One-Factor Models: Semi-Analytic Pricing, Numerical Methods, and ML Support. The Journal of Derivatives. 31(3). 74–114.

Carr, Peter, et al.. (2022). Semi-Analytical Pricing of Barrier Options in the Time-Dependent Heston Model. The Journal of Derivatives. 30(2). 141–171. 1 indexed citations

Itkin, Andrey, et al.. (2021). Multilayer heat equations: Application to finance. 1(1). 99–135. 3 indexed citations

Carr, Peter & Andrey Itkin. (2021). Semi-Analytical Solutions for Barrier and American Options Written on a Time-Dependent Ornstein–Uhlenbeck Process. The Journal of Derivatives. 29(1). 9–26. 6 indexed citations

Carr, Peter & Andrey Itkin. (2020). An Expanded Local Variance Gamma Model. Computational Economics. 57(4). 949–987. 1 indexed citations

Itkin, Andrey. (2020). Fitting Local Volatility: Analytic And Numerical Approaches In Black-scholes And Local Variance Gamma Models. RePEc: Research Papers in Economics. 1 indexed citations

Itkin, Andrey, et al.. (2019). NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS. International Journal of Theoretical and Applied Finance. 22(3). 1950003–1950003. 2 indexed citations

Carr, Peter & Andrey Itkin. (2019). Geometric Local Variance Gamma Model. The Journal of Derivatives. 27(2). 7–30. 2 indexed citations

10.

Hout, Karel in ’t, Andrey Itkin, Lina von Sydow, & Jari Toivanen. (2017). Special issue—Computational and algorithmic finance. Journal of Computational Science. 24. 180–181. 2 indexed citations

11.

Itkin, Andrey. (2017). Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps. Applied Mathematical Finance. 24(6). 485–519. 1 indexed citations

12.

Itkin, Andrey. (2017). Pricing Derivatives Under Lévy Models. CERN Document Server (European Organization for Nuclear Research). 21 indexed citations

13.

Itkin, Andrey & Alexander Lipton. (2016). Structural default model with mutual obligations. Review of Derivatives Research. 20(1). 15–46. 2 indexed citations

14.

Itkin, Andrey. (2016). LSV models with stochastic interest rates and correlated jumps. International Journal of Computer Mathematics. 94(7). 1291–1317. 5 indexed citations

15.

Itkin, Andrey. (2014). To sigmoid-based functional description of the volatility smile. The North American Journal of Economics and Finance. 31. 264–291. 5 indexed citations

16.

Halperin, Igor & Andrey Itkin. (2013). Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging. Quantitative Finance. 14(3). 427–442. 2 indexed citations

17.

Halperin, Igor & Andrey Itkin. (2013). PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING. International Journal of Theoretical and Applied Finance. 16(7). 1350033–1350033. 1 indexed citations

18.

Itkin, Andrey. (2012). New solvable stochastic volatility models for pricing volatility derivatives. Review of Derivatives Research. 16(2). 111–134. 25 indexed citations

19.

Itkin, Andrey & Peter Carr. (2011). Jumps without tears: A new splitting technology for barrier options. 8(4). 667–704. 14 indexed citations

20.

Itkin, Andrey & Peter Carr. (2009). Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case. Review of Derivatives Research. 13(2). 141–176. 52 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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