Ilya I. Gikhman

Independent

6077 Ivy Woods Court

Mason, OH 45040

SCHOLARLY PAPERS

45

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Top 2,916

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12,836

SSRN CITATIONS
Rank 14,873

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Top 14,873

in Total Papers Citations

0

CROSSREF CITATIONS

61

Scholarly Papers (45)

1.

Exotic Options

Number of pages: 33 Posted: 14 Nov 2005
Ilya I. Gikhman
Independent
Downloads 2,195 (6,476)

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plain vanilla options, exotics option

2.

A Short Remark on Feller’s Square Root Condition

Number of pages: 3 Posted: 07 Feb 2011
Ilya I. Gikhman
Independent
Downloads 1,619 (10,804)
Citation 3

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

3.

Remarks on Options Valuation

Number of pages: 45 Posted: 28 Sep 2005
Ilya I. Gikhman
Independent
Downloads 1,212 (16,932)
Citation 1

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Option, American, European, compound

4.

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 907 (26,012)

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

5.

Option Valuation

Number of pages: 78 Posted: 09 May 2006
Ilya I. Gikhman
Independent
Downloads 799 (31,060)
Citation 5

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

6.

Risky Swaps

Number of pages: 38 Posted: 04 Feb 2008 Last Revised: 13 Mar 2009
Ilya I. Gikhman
Independent
Downloads 629 (43,008)

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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.

7.

Fixed-Income Instruments Pricing

Number of pages: 36 Posted: 08 Feb 2007
Ilya I. Gikhman
Independent
Downloads 592 (46,591)
Citation 1

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

8.

Remarks on Local Volatility

Number of pages: 6 Posted: 19 Sep 2008 Last Revised: 25 Jan 2011
Ilya I. Gikhman
Independent
Downloads 562 (49,787)

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

9.

Some Critical Comments on Credit Risk Modeling

Number of pages: 6 Posted: 23 Nov 2006
Ilya I. Gikhman
Independent
Downloads 558 (50,216)

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

10.

On Black-Scholes Equation

Number of pages: 33 Posted: 08 Aug 2008
Ilya I. Gikhman
Independent
Downloads 533 (53,226)
Citation 12

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11.

Remarks on Basics of Financial Modeling

Number of pages: 11 Posted: 14 Mar 2009 Last Revised: 15 Jun 2016
Ilya I. Gikhman
Independent
Downloads 304 (103,237)

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

12.

On Some Remarks on Derivatives Valuations

Number of pages: 9 Posted: 26 Jul 2006 Last Revised: 13 Nov 2007
Ilya I. Gikhman
Independent
Downloads 292 (107,900)
Citation 1

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Option valuation, risk neutral world and probability

13.

Drawbacks in Options Definition

Number of pages: 7 Posted: 10 Apr 2006
Ilya I. Gikhman
Independent
Downloads 238 (133,472)
Citation 4

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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 184 (170,058)
Citation 1

Abstract:

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Black Scholes equation, hedge

15.

Default Characteristics of Corporate Bonds

Number of pages: 9 Posted: 23 Jul 2008
Ilya I. Gikhman
Independent
Downloads 147 (207,395)

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default, default bond, reduced form, credit risk

16.

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 128 (230,297)
Citation 1

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local volatility, call option

17.

Multiple Risky Securities Valuation

Number of pages: 23 Posted: 25 Feb 2009
Ilya I. Gikhman
Independent
Downloads 128 (230,297)

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

18.

Bond Pricing and CVA

Number of pages: 14 Posted: 12 Apr 2015
Ilya I. Gikhman
Independent
Downloads 126 (233,047)

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

19.

Corporate Debt Pricing

Number of pages: 30 Posted: 23 Jul 2008
Ilya I. Gikhman
Independent
Downloads 120 (241,689)
Citation 6

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20.

Derivatives Pricing

Number of pages: 12 Posted: 04 Sep 2012
Ilya I. Gikhman
Independent
Downloads 104 (267,623)
Citation 1

Abstract:

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Option, derivatives, pricing, dynamic hedging

21.

Black Scholes Pricing and Dynamic Hedging

Number of pages: 5 Posted: 22 Jan 2016
Ilya I. Gikhman
Independent
Downloads 96 (282,395)

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Black Scholes, option, derivatives, pricing, dynamic hedging

22.

Black Scholes Pricing Concept

Number of pages: 13 Posted: 27 Jun 2015
Ilya I. Gikhman
Independent
Downloads 91 (292,111)
Citation 1

Abstract:

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

23.

Fixed Income Basic Notions and Randomization

Number of pages: 24 Posted: 25 Nov 2011
Ilya I. Gikhman
Independent
Downloads 91 (292,111)
Citation 2

Abstract:

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Stochastic interest rate, stochastic forward rate

24.

Option Pricing Revisited

Number of pages: 6 Posted: 07 Mar 2012 Last Revised: 26 Aug 2013
Ilya I. Gikhman
Independent
Downloads 87 (300,514)

Abstract:

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option price, dynamic hedging

25.

FX Basic Notions and Randomization

Number of pages: 15 Posted: 13 Dec 2011
Ilya I. Gikhman
Independent
Downloads 84 (307,121)
Citation 3

Abstract:

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

26.

Forward Contract Pricing

Posted: 20 Jan 2010
Ilya I. Gikhman
Independent
Downloads 74 (330,928)
Citation 1

Abstract:

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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 73 (333,480)

Abstract:

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Multilateral FX

28.

Stock, Implied, Local Volatilities and Black Scholes Pricing

Number of pages: 9 Posted: 02 Aug 2017
Ilya I. Gikhman
Independent
Downloads 72 (338,608)
Citation 1

Abstract:

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Black Scholes Pricing, Implied Volatility, Local Volatility

29.

Multiple Risky Securities Valuation I

Number of pages: 24 Posted: 14 Oct 2011 Last Revised: 02 Nov 2011
Ilya I. Gikhman
Independent
Downloads 71 (338,608)
Citation 1

Abstract:

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

30.

Pricing of American Options

Number of pages: 9 Posted: 04 Jun 2017
Ilya I. Gikhman
Independent
Downloads 70 (341,297)

Abstract:

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America call option, American put option

31.

Alternative Option Pricing and CVA

Number of pages: 12 Posted: 02 Mar 2015
Ilya I. Gikhman
Independent
Downloads 67 (349,425)
Citation 1

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

32.

Failings of the Option Pricing

Number of pages: 7 Posted: 10 Mar 2014
Ilya I. Gikhman
Independent
Downloads 62 (363,723)
Citation 2

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

33.

Multiple Risky Securities Valuation II

Number of pages: 10 Posted: 07 Nov 2011 Last Revised: 19 Nov 2011
Ilya I. Gikhman
Independent
Downloads 55 (385,565)
Citation 1

Abstract:

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CDO, equity tranche pricing

34.

Remark on Variance Swaps Pricing

Number of pages: 7 Posted: 09 Nov 2015 Last Revised: 12 Nov 2015
Ilya I. Gikhman
Independent
Downloads 51 (398,859)
Citation 2

Abstract:

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Variance swap, Black Scholes pricing, risk neutral valuation.

35.

Fixed Rates Modeling

Number of pages: 25 Posted: 30 Jun 2013
Ilya I. Gikhman
Independent
Downloads 51 (398,859)
Citation 3

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

36.

A Comment on No-Arbitrage Pricing

Number of pages: 5 Posted: 02 Jan 2013 Last Revised: 10 Jan 2013
Ilya I. Gikhman
Independent
Downloads 51 (398,859)
Citation 2

Abstract:

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No-arbitrage pricing, forward contract, derivatives

37.

Comments on Option Pricing

Number of pages: 20 Posted: 30 Jul 2016 Last Revised: 11 Aug 2016
Ilya I. Gikhman
Independent
Downloads 48 (409,213)
Citation 1

Abstract:

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Black Scholes, option, derivatives, hedging, local volatility

38.

Market Risk of the Fixed Rates Contracts

Number of pages: 18 Posted: 26 May 2013
Ilya I. Gikhman
Independent
Downloads 46 (416,526)
Citation 1

Abstract:

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

39.

Derivatives Pricing Basics and Randomization (Short Presentation)

Number of pages: 15 Posted: 25 Nov 2013
Ilya I. Gikhman
Independent
Downloads 42 (431,822)
Citation 2

Abstract:

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derivatives price, local volatility

40.

Basic of Pricing 1

Number of pages: 14 Posted: 24 Apr 2014
Ilya I. Gikhman
Independent
Downloads 40 (439,913)

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

41.

Market Risk and Liquidity of the Risky Bonds

Number of pages: 10 Posted: 07 Sep 2013
Ilya I. Gikhman
Independent
Downloads 35 (460,976)

Abstract:

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42.

Discrete Space-Time Options Pricing

fsrforum, jaargang 12, editie #5
Number of pages: 8 Posted: 28 Oct 2012
Ilya I. Gikhman
Independent
Downloads 34 (465,444)

Abstract:

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plain vanilla options, exotics option

43.

Pricing and Hedging Options

Number of pages: 10 Posted: 23 Oct 2017
Ilya I. Gikhman
Independent
Downloads 25 (511,131)

Abstract:

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Option, pricing, hedging

44.

Basic of Pricing 2

Number of pages: 19 Posted: 17 Nov 2014
Ilya I. Gikhman
Independent
Downloads 25 (511,131)
Citation 2

Abstract:

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

45.

Critical Point on Stochastic Volatility Option Pricing

Number of pages: 5 Posted: 03 Oct 2017
Ilya I. Gikhman
Independent
Downloads 18 (553,154)
Citation 1

Abstract:

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Option Pricing, Stochastic Volatility, Square Root Diffusion

Other Papers (1)

Total Downloads: 10
1.

Critical Thoughts About Modern Option Pricing.

Number of pages: 4 Posted: 28 Dec 2014
Ilya I. Gikhman
Independent
Downloads 10

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Black Scholes pricing, alternative options pricing.