Andrey Itkin

1. Semi-analytic pricing of double barrier options with time-dependent\n barriers and rebates at hit
   2020/09/19 by Andrey Itkin, Dmitry Muravey, Itkin, Andrey +1 · 1 citation
   Economics, Econometrics and Finance · #Computational Finance (q-fin.CP) #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Pricing of Securities (q-fin.PR) #Stochastic processes and financial applications
2. Marketron games: Self-propelling stocks vs dumb money and metastable dynamics of the Good, Bad and Ugly markets
   2025/01/22 by Igor Halperin, Andrey Itkin, Halperin, I. +1 · 2 citations
   Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis
3. Semi-analytic pricing of American options in time-dependent jump-diffusion models with exponential jumps
   2023/08/17 by Andrey Itkin, Itkin, Andrey · 2 citations
   Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Computational Finance (q-fin.CP) #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Pricing of Securities (q-fin.PR) #Stochastic processes and financial applications
4. SciPhy Reinforcement Learning for Portfolio Optimization
   2026/07/16 by Igor Halperin, Andrey Itkin · 1 voice
   #q-fin.PM #cs.NA #math.AP #math.NA #q-fin.CP #q-fin.MF
5. Flux-Corrected Diagonal Frog: second order and positivity at all time steps
   2026/07/22 by Andrey Itkin
   #math.NA #cs.CE #cs.NA #physics.comp-ph #q-fin.CP