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Financial Engineering Workshop - Andrey Itkin - NYU and Bank of America - via Microsoft Teams Event Logo

Financial Engineering Workshop - Andrey Itkin - NYU and Bank of America - via Microsoft Teams

by Faculty Events

Webinar

Wed, Feb 24, 2021

6:10 PM – 7:15 PM (GMT+0)

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Dr. Andrey Itkin is an Adjunct Professor at NYU, Department of Risk and Financial Engineering and Director, Senior Research Associate at Bank of America. He will be giving a seminar titled "Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit" on Wednesday 24th February 2021 from 18:10-19:15. 

Abstract: We continue a series of papers devoted to construction of semi-analytic solutions for barrier options. These options are written on underlying following some simple one-factor diffusion model, but all the parameters of the model as well as the barriers are time-dependent. We managed to show that these solutions are systematically more efficient for pricing and calibration than, eg. the corresponding finite-difference solvers. In this paper we extend this technique to pricing double barrier options and present two approaches to solving it: the General Integral transform method and the Heat Potential method. Our results confirm that for double barrier options these semi-analytic techniques are also more efficient than the traditional numerical methods used to solve this type of problems. This is a joint paper with Dmitry Muravey. Paper available at arXiv:2009.09342v3

 

Dr. Andrey Itkin is an Adjunct Professor at NYU, Department of Risk and Financial Engineering and Director, Senior Research Associate at Bank of America. He received his PhD in physics of liquids, gases and plasma, and degree of Doctor of Science in computational physics. During his academic carrier he published few books and multiple papers on chemical and theoretical physics and astrophysics, and later on computational and mathematical finance. Andrey occupied various research and managerial positions in financial industry and also is a member of multiple professional associations in finance and physics.

 
The Financial Engineering Workshop will now be online only via Microsoft Teams. 

For the link to the online seminar please register before 2pm on the day of the seminar otherwise you will not be given access.

 



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