Andrey Itkin

New York University (NYU)

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SCHOLARLY PAPERS

2

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42

CITATIONS

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Scholarly Papers (2)

1.

Splitting and Matrix Exponential Approach for Jump-Diffusion Models with Inverse Normal Gaussian, Hyperbolic and Meixner Jumps

Algorithmic Finance 2014, 3:3-4, pp. 233-250
Number of pages: 19 Posted: 11 Dec 2014
Andrey Itkin
New York University (NYU)
Downloads 27 (344,054)

Abstract:

Jump-diffusion, PIDE, splitting, matrix exponential, unconditionally stable schemes

2.

Efficient Solution of Backward Jump-Diffusion Partial Integro-Differential Equations with Splitting and Matrix Exponentials

Journal of Computational Finance, Vol. 19, No. 3, 2016
Number of pages: 42 Posted: 15 Jun 2016
Andrey Itkin
New York University (NYU)
Downloads 0 (544,085)
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Abstract:

jump-diffusion, partial integro-differential equation (PIDE), splitting, matrix exponential, unconditionally stable schemes