Yerkin Kitapbayev

North Carolina State University

Hillsborough Street

Raleigh, NC 27695

United States

SCHOLARLY PAPERS

8

DOWNLOADS

703

SSRN CITATIONS

6

CROSSREF CITATIONS

1

Scholarly Papers (8)

1.

Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach

Annals of Finance, Volume 13, Issue 2, pp 181–203, May 2017
Number of pages: 23 Posted: 27 Dec 2016 Last Revised: 18 Feb 2019
Yerkin Kitapbayev and Tim Leung
North Carolina State University and University of Washington - Department of Applied Math
Downloads 233 (137,819)
Citation 2

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spread trading, optimal stopping, OU process, free-boundary problem, local timespace calculus, integral equation

2.

Mean Reversion Trading with Sequential Deadlines and Transaction Costs

International Journal of Theoretical and Applied FinanceVol. 21, No. 01, 1850004 (2018)
Number of pages: 22 Posted: 06 Jul 2017 Last Revised: 19 Feb 2019
Yerkin Kitapbayev and Tim Leung
North Carolina State University and University of Washington - Department of Applied Math
Downloads 173 (181,672)

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3.

On American VIX Options under the Generalized 3/2 and 1/2 Models

Number of pages: 34 Posted: 08 Feb 2017 Last Revised: 04 Apr 2017
Jerome Detemple and Yerkin Kitapbayev
Boston University - Department of Finance & Economics and North Carolina State University
Downloads 100 (277,893)

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Stochastic Volatility, VIX, Generalized 3/2 and 1/2 Models, Generalized Mixture Models, American Options, Exercise Premium, Exercise Boundaries, Integral Equations, Local Time

4.

On the American Swaption in the Linear-Rational Framework

Forthcoming, Quantitative Finance, Swiss Finance Institute Research Paper No. 16-44
Number of pages: 26 Posted: 08 Jul 2016 Last Revised: 12 Mar 2018
Damir Filipović and Yerkin Kitapbayev
Ecole Polytechnique Fédérale de Lausanne and North Carolina State University
Downloads 86 (305,913)
Citation 1

Abstract:

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American swaption, swaption, swap, linear-rational term structure model, polynomial diffusion, optimal stopping, free-boundary problem, local time-space calculus, integral equation

5.

Debt Dynamics and Default Probabilities

Number of pages: 36 Posted: 12 Jan 2020
Dirk Hackbarth and Yerkin Kitapbayev
Boston University - Department of Finance & Economics and North Carolina State University
Downloads 59 (376,595)

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Bankruptcy, Barrier Options, Capital Structure, Default Probability, Integral Equation, Refinancing, Trade-off Model

6.

American Options with Discontinuous Two-Level Caps

Number of pages: 32 Posted: 24 Jul 2017 Last Revised: 31 Oct 2017
Jerome Detemple and Yerkin Kitapbayev
Boston University - Department of Finance & Economics and North Carolina State University
Downloads 44 (428,403)

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American capped option, optimal stopping, geometric Brownian motion, free-boundary problem, local time, integral equation

7.

On the Optimal Exercise Boundaries of Swing Put Options

Forthcoming in Mathematics of Operational Research
Number of pages: 30 Posted: 19 Jul 2017
Tiziano De Angelis and Yerkin Kitapbayev
University of Manchester and North Carolina State University
Downloads 7 (630,611)

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8.

On American VIX Options Under the Generalized 3/2 and 1/2 Models

Mathematical Finance, Vol. 28, Issue 2, pp. 550-581, 2018
Number of pages: 32 Posted: 16 Mar 2018
Jérôme Detemple and Yerkin Kitapbayev
Boston University and North Carolina State University
Downloads 1 (681,074)
Citation 3
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Abstract:

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American options, exercise boundaries, exercise premium, generalized 3/2 and 1/2 models, generalized mixture models, integral equations, local time, stochastic volatility, VIX