Ilya I. Gikhman

Independent

6077 Ivy Woods Court

Mason, OH 45040

SCHOLARLY PAPERS

44

DOWNLOADS
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Top 2,498

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11,821

CITATIONS
Rank 11,596

SSRN RANKINGS

Top 11,596

in Total Papers Citations

35

Scholarly Papers (44)

1.

Exotic Options

Number of pages: 33 Posted: 14 Nov 2005
Ilya I. Gikhman
Independent
Downloads 2,067 (5,050)

Abstract:

plain vanilla options, exotics option

2.

Remarks on Options Valuation

Number of pages: 45 Posted: 28 Sep 2005
Ilya I. Gikhman
Independent
Downloads 1,165 (13,328)
Citation 2

Abstract:

Option, American, European, compound

3.

Option Valuation

Number of pages: 78 Posted: 09 May 2006
Ilya I. Gikhman
Independent
Downloads 755 (25,116)
Citation 4

Abstract:

alternative option pricing, exotics, binomial scheme, continuous time, Black

4.

A Short Remark on Feller’s Square Root Condition

Number of pages: 3 Posted: 07 Feb 2011
Ilya I. Gikhman
Independent
Downloads 729 (15,235)

Abstract:

Interest rate model, square root model, CIR, stochastic differential equation, Feller’s square root condition

5.

Risky Swaps

Number of pages: 38 Posted: 04 Feb 2008 Last Revised: 13 Mar 2009
Ilya I. Gikhman
Independent
Downloads 608 (34,404)
Citation 3

Abstract:

Default, risk neutral valuation, credit default swap, constant maturity default swap, equity default swap, asset swap, total return swap, credit linked note, floating rate risky bond, counterparty risk, credit spread.

6.

Fixed-Income Instruments Pricing

Number of pages: 36 Posted: 08 Feb 2007
Ilya I. Gikhman
Independent
Downloads 537 (39,244)
Citation 2

Abstract:

Bond, coupon bond, present value, floating rate bond, convertible, callable

7.

Some Critical Comments on Credit Risk Modeling

Number of pages: 6 Posted: 23 Nov 2006
Ilya I. Gikhman
Independent
Downloads 534 (40,418)

Abstract:

Credit risk, credit derivatives, risk neutral world, risk neutral probability

8.

Remarks on Local Volatility

Number of pages: 6 Posted: 19 Sep 2008 Last Revised: 25 Jan 2011
Ilya I. Gikhman
Independent
Downloads 531 (40,775)
Citation 1

Abstract:

Local volatility, smile, Black-Scholes model, implied volatility

9.

On Black-Scholes Equation

Number of pages: 33 Posted: 08 Aug 2008
Ilya I. Gikhman
Independent
Downloads 489 (43,584)
Citation 6

Abstract:

10.

Market Risk and Mark-to-Market Valuation of the Cross Currency Swap

Number of pages: 16 Posted: 27 Aug 2013 Last Revised: 05 Sep 2013
Ilya I. Gikhman
Independent
Downloads 468 (24,065)

Abstract:

Discount factor, risk free bond, Libor, OIS, market risk, mark-to-market valuation, interest rate swap, cross currency swap, stochastic Libor model

11.

On Some Remarks on Derivatives Valuations

Number of pages: 9 Posted: 26 Jul 2006 Last Revised: 13 Nov 2007
Ilya I. Gikhman
Independent
Downloads 286 (87,743)
Citation 1

Abstract:

Option valuation, risk neutral world and probability

12.

Remarks on Basics of Financial Modeling

Number of pages: 11 Posted: 14 Mar 2009 Last Revised: 15 Jun 2016
Ilya I. Gikhman
Independent
Downloads 268 (83,758)
Citation 1

Abstract:

options pricing, risk neutral pricing, local volatility, copula, cds

13.

Drawbacks in Options Definition

Number of pages: 7 Posted: 10 Apr 2006
Ilya I. Gikhman
Independent
Downloads 231 (109,724)
Citation 2

Abstract:

Black Scholes equation, risk neutral valuation, binomial scheme, arbitrage, risk management, exotics

14.

Black Scholes Pricing and Dynamic Hedging I

Number of pages: 3 Posted: 27 Aug 2011 Last Revised: 10 Oct 2011
Ilya I. Gikhman
Independent
Downloads 167 (143,675)

Abstract:

Black Scholes equation, hedge

15.

Default Characteristics of Corporate Bonds

Number of pages: 9 Posted: 23 Jul 2008
Ilya I. Gikhman
Independent
Downloads 132 (175,594)

Abstract:

default, default bond, reduced form, credit risk

16.

Multiple Risky Securities Valuation

Number of pages: 23 Posted: 25 Feb 2009
Ilya I. Gikhman
Independent
Downloads 118 (189,855)
Citation 1

Abstract:

Multiple risky securities valuation, risky bond , default, CDOs valuation, copula

17.

A Supplement to Remark on Local Volatility

Number of pages: 5 Posted: 06 Jun 2011 Last Revised: 06 Jul 2011
Ilya I. Gikhman
Independent
Downloads 109 (195,823)

Abstract:

local volatility, call option

18.

Corporate Debt Pricing

Number of pages: 30 Posted: 23 Jul 2008
Ilya I. Gikhman
Independent
Downloads 106 (203,417)
Citation 4

Abstract:

19.

Derivatives Pricing

Number of pages: 12 Posted: 04 Sep 2012
Ilya I. Gikhman
Independent
Downloads 89 (227,766)

Abstract:

Option, derivatives, pricing, dynamic hedging

20.

Fixed Income Basic Notions and Randomization

Number of pages: 24 Posted: 25 Nov 2011
Ilya I. Gikhman
Independent
Downloads 81 (245,981)
Citation 2

Abstract:

Stochastic interest rate, stochastic forward rate

21.

Option Pricing Revisited

Number of pages: 6 Posted: 07 Mar 2012 Last Revised: 26 Aug 2013
Ilya I. Gikhman
Independent
Downloads 77 (253,284)

Abstract:

option price, dynamic hedging

22.

FX Basic Notions and Randomization

Number of pages: 15 Posted: 13 Dec 2011
Ilya I. Gikhman
Independent
Downloads 70 (261,038)
Citation 2

Abstract:

Spot rate, stochastic FX exchange, stochastic interest rate, stochastic forward rate, LIBOR

23.

Black Scholes Pricing Concept

Number of pages: 13 Posted: 27 Jun 2015
Ilya I. Gikhman
Independent
Downloads 61 (255,185)

Abstract:

.Black Scholes, option, derivatives, pricing, hedging.

24.

Multiple Risky Securities Valuation I

Number of pages: 24 Posted: 14 Oct 2011 Last Revised: 02 Nov 2011
Ilya I. Gikhman
Independent
Downloads 59 (291,028)
Citation 1

Abstract:

. Credit derivatives, risky portfolio valuation, copula, perfect copula, CDS, CDO

25.

Bond Pricing and CVA

Number of pages: 14 Posted: 12 Apr 2015
Ilya I. Gikhman
Independent
Downloads 58 (202,145)

Abstract:

Bond, Credit Risk Mark-to-Market, Counterparty Risk, CVA.

26.

Forward Contract Pricing

Posted: 20 Jan 2010
Ilya I. Gikhman
Independent
Downloads 58 (277,539)

Abstract:

cash and carry, forward contract

27.

Multilateral Virtual Currency Model

Number of pages: 6 Posted: 01 Sep 2012 Last Revised: 19 Nov 2012
Ilya I. Gikhman
Independent
Downloads 56 (284,117)

Abstract:

Multilateral FX

28.

Failings of the Option Pricing

Number of pages: 7 Posted: 10 Mar 2014
Ilya I. Gikhman
Independent
Downloads 49 (313,466)

Abstract:

Option, derivatives, pricing, hedging, risk-neutral probability, local volatility

29.

A Comment on No-Arbitrage Pricing

Number of pages: 5 Posted: 02 Jan 2013 Last Revised: 10 Jan 2013
Ilya I. Gikhman
Independent
Downloads 41 (336,385)
Citation 1

Abstract:

No-arbitrage pricing, forward contract, derivatives

30.

Multiple Risky Securities Valuation II

Number of pages: 10 Posted: 07 Nov 2011 Last Revised: 19 Nov 2011
Ilya I. Gikhman
Independent
Downloads 39 (333,401)

Abstract:

CDO, equity tranche pricing

31.

Market Risk of the Fixed Rates Contracts

Number of pages: 18 Posted: 26 May 2013
Ilya I. Gikhman
Independent
Downloads 32 (358,295)
Citation 1

Abstract:

market risk, default, default bond, reduced form, credit risk, liquidity, randomization

32.

Fixed Rates Modeling

Number of pages: 25 Posted: 30 Jun 2013
Ilya I. Gikhman
Independent
Downloads 31 (348,536)
Citation 1

Abstract:

Forward rate agreement, Market risk, Stochastic Libor model, Interest Rate Swap, Liquidity of Corporate Bonds, Stochastic default intensity

33.

Derivatives Pricing Basics and Randomization (Short Presentation)

Number of pages: 15 Posted: 25 Nov 2013
Ilya I. Gikhman
Independent
Downloads 28 (379,327)

Abstract:

derivatives price, local volatility

34.

Alternative Option Pricing and CVA

Number of pages: 12 Posted: 02 Mar 2015
Ilya I. Gikhman
Independent
Downloads 25 (339,386)

Abstract:

Options, derivatives, mark-to-market, counterparty risk, CVA

35.

Discrete Space-Time Options Pricing

fsrforum, jaargang 12, editie #5
Number of pages: 8 Posted: 28 Oct 2012
Ilya I. Gikhman
Independent
Downloads 25 (403,040)

Abstract:

plain vanilla options, exotics option

36.

Market Risk and Liquidity of the Risky Bonds

Number of pages: 10 Posted: 07 Sep 2013
Ilya I. Gikhman
Independent
Downloads 23 (398,860)

Abstract:

37.

Basic of Pricing 1

Number of pages: 14 Posted: 24 Apr 2014
Ilya I. Gikhman
Independent
Downloads 22 (383,074)

Abstract:

no arbitrage, mark-to-market, cash flow, market risk, credit risk, reduced form pricing, credit risk, interest rate swap

38.

Basic of Pricing 2

Number of pages: 19 Posted: 17 Nov 2014
Ilya I. Gikhman
Independent
Downloads 12 (446,732)

Abstract:

No arbitrage, mark-to-market, cash flow, market risk, credit risk, reduced form pricing, credit risk

39.

Critical Point on Stochastic Volatility Option Pricing

Number of pages: 5 Posted: 03 Oct 2017
Ilya I. Gikhman
Independent
Downloads 0 (503,890)

Abstract:

Option Pricing, Stochastic Volatility, Square Root Diffusion

40.

Stock, Implied, Local Volatilities and Black Scholes Pricing

Number of pages: 9 Posted: 02 Aug 2017
Ilya I. Gikhman
Independent
Downloads 0 (390,824)

Abstract:

Black Scholes Pricing, Implied Volatility, Local Volatility

41.

Pricing of American Options

Number of pages: 9 Posted: 04 Jun 2017
Ilya I. Gikhman
Independent
Downloads 0 (336,385)

Abstract:

America call option, American put option

42.

Comments on Option Pricing

Number of pages: 20 Posted: 30 Jul 2016 Last Revised: 11 Aug 2016
Ilya I. Gikhman
Independent
Downloads 0 (368,556)

Abstract:

Black Scholes, option, derivatives, hedging, local volatility

43.

Black Scholes Pricing and Dynamic Hedging

Number of pages: 5 Posted: 22 Jan 2016
Ilya I. Gikhman
Independent
Downloads 0 (261,038)

Abstract:

Black Scholes, option, derivatives, pricing, dynamic hedging

44.

Remark on Variance Swaps Pricing

Number of pages: 7 Posted: 09 Nov 2015 Last Revised: 12 Nov 2015
Ilya I. Gikhman
Independent
Downloads 0 (348,536)

Abstract:

Variance swap, Black Scholes pricing, risk neutral valuation.

Other Papers (1)

Total Downloads: 10    Citations: 0
1.

Critical Thoughts About Modern Option Pricing.

Number of pages: 4 Posted: 28 Dec 2014
Ilya I. Gikhman
Independent
Downloads 6

Abstract:

Black Scholes pricing, alternative options pricing.