Some people claimed that for an unknown reason clicking on a hyperlink does not open a presentation. If this is the case, please click on the hyperlink by a right mouse button and then use "save target as" to save the file at your own computer. This works fine by all means.
1. Pricing options with VG model using FFT - "The variance gamma and related financial models" conference, University of Virginia, Charlottesville, October 22-23, 2005.
Video of this presentation is available at rtsp://lectures.math.virginia.edu/itkin.rm
2. Finite-difference approach to pricing barrier options under stochastic skew model - "Global Derivatives & Risk" Conference, Paris, May 8-12, 2006
3. New splitting finite-difference method to efficiently price barrier options under stochastic skew model. - "Computational Methods in Finance" Conference, Waterloo, July 2007.
4. Pricing swaps and options on quadratic variation under stochastic time change models. - "14th Annual CAP Workshop, 2007, Columbia University
5. Using pseudo-parabolic equations for option priceng in jump diffusion models. - "Global Derivatives and Risk Conference, Roma 2009
6. Comparison of Direct and Iterative Solvers for Finite-Difference GPU-Based Valuation of American Options. - 2009 SIAM Annual Meeting, July 6-10, Denver, Colorado
7. Fractional PDE Approach for Numerical Solution of Some Jump-Diffusion Models . - Math finance and PDE conference, Rutgers University, New Jersey, Dec.4, 2009