Ilya I. Gikhman

Independent

6077 Ivy Woods Court

Mason, OH 45040

SCHOLARLY PAPERS

45

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13,492

SSRN CITATIONS
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SSRN RANKINGS

Top 18,452

in Total Papers Citations

0

CROSSREF CITATIONS

58

Scholarly Papers (45)

1.

Exotic Options

Number of pages: 33 Posted: 14 Nov 2005
Ilya I. Gikhman
Independent
Downloads 2,213 (8,083)

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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 2,018 (9,397)
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 1,218 (20,752)
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 963 (29,336)

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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 805 (37,469)
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 633 (51,822)

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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 604 (55,023)
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 568 (59,421)

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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 566 (59,686)

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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 539 (63,465)
Citation 12

Abstract:

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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 (123,435)

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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 293 (128,351)
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 242 (155,787)
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 185 (200,223)
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 148 (241,899)

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default, default bond, reduced form, credit risk

16.

Bond Pricing and CVA

Number of pages: 14 Posted: 12 Apr 2015
Ilya I. Gikhman
Independent
Downloads 135 (260,341)

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

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 132 (264,759)
Citation 1

Abstract:

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local volatility, call option

18.

Multiple Risky Securities Valuation

Number of pages: 23 Posted: 25 Feb 2009
Ilya I. Gikhman
Independent
Downloads 130 (267,821)

Abstract:

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

19.

Corporate Debt Pricing

Number of pages: 30 Posted: 23 Jul 2008
Ilya I. Gikhman
Independent
Downloads 125 (275,818)
Citation 6

Abstract:

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20.

Derivatives Pricing

Number of pages: 12 Posted: 04 Sep 2012
Ilya I. Gikhman
Independent
Downloads 109 (304,045)
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 100 (322,298)

Abstract:

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Black Scholes, option, derivatives, pricing, dynamic hedging

22.

Fixed Income Basic Notions and Randomization

Number of pages: 24 Posted: 25 Nov 2011
Ilya I. Gikhman
Independent
Downloads 98 (326,518)
Citation 2

Abstract:

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Stochastic interest rate, stochastic forward rate

23.

Black Scholes Pricing Concept

Number of pages: 13 Posted: 27 Jun 2015
Ilya I. Gikhman
Independent
Downloads 97 (328,656)
Citation 1

Abstract:

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

24.

Stock, Implied, Local Volatilities and Black Scholes Pricing

Number of pages: 9 Posted: 02 Aug 2017
Ilya I. Gikhman
Independent
Downloads 92 (339,864)
Citation 1

Abstract:

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Black Scholes Pricing, Implied Volatility, Local Volatility

25.

Option Pricing Revisited

Number of pages: 6 Posted: 07 Mar 2012 Last Revised: 26 Aug 2013
Ilya I. Gikhman
Independent
Downloads 91 (342,197)

Abstract:

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option price, dynamic hedging

26.

FX Basic Notions and Randomization

Number of pages: 15 Posted: 13 Dec 2011
Ilya I. Gikhman
Independent
Downloads 85 (356,954)
Citation 3

Abstract:

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

27.

Pricing of American Options

Number of pages: 9 Posted: 04 Jun 2017
Ilya I. Gikhman
Independent
Downloads 77 (378,290)

Abstract:

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America call option, American put option

28.

Multilateral Virtual Currency Model

Number of pages: 6 Posted: 01 Sep 2012 Last Revised: 19 Nov 2012
Ilya I. Gikhman
Independent
Downloads 76 (381,045)

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Multilateral FX

29.

Forward Contract Pricing

Posted: 20 Jan 2010
Ilya I. Gikhman
Independent
Downloads 76 (381,045)
Citation 1

Abstract:

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cash and carry, forward contract

30.

Alternative Option Pricing and CVA

Number of pages: 12 Posted: 02 Mar 2015
Ilya I. Gikhman
Independent
Downloads 75 (384,002)
Citation 1

Abstract:

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

31.

Multiple Risky Securities Valuation I

Number of pages: 24 Posted: 14 Oct 2011 Last Revised: 02 Nov 2011
Ilya I. Gikhman
Independent
Downloads 74 (386,839)
Citation 1

Abstract:

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

32.

Failings of the Option Pricing

Number of pages: 7 Posted: 10 Mar 2014
Ilya I. Gikhman
Independent
Downloads 64 (418,046)
Citation 2

Abstract:

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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 60 (431,789)
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 56 (446,252)
Citation 2

Abstract:

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Variance swap, Black Scholes pricing, risk neutral valuation.

35.

Comments on Option Pricing

Number of pages: 20 Posted: 30 Jul 2016 Last Revised: 11 Aug 2016
Ilya I. Gikhman
Independent
Downloads 54 (453,564)
Citation 1

Abstract:

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Black Scholes, option, derivatives, hedging, local volatility

36.

Fixed Rates Modeling

Number of pages: 25 Posted: 30 Jun 2013
Ilya I. Gikhman
Independent
Downloads 53 (457,375)

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

37.

A Comment on No-Arbitrage Pricing

Number of pages: 5 Posted: 02 Jan 2013 Last Revised: 10 Jan 2013
Ilya I. Gikhman
Independent
Downloads 52 (461,121)
Citation 2

Abstract:

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No-arbitrage pricing, forward contract, derivatives

38.

Market Risk of the Fixed Rates Contracts

Number of pages: 18 Posted: 26 May 2013
Ilya I. Gikhman
Independent
Downloads 47 (481,351)
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 45 (489,898)
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 41 (507,816)

Abstract:

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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 36 (531,868)

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 35 (536,998)

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 31 (558,311)

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 26 (588,325)
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 21 (621,551)
Citation 1

Abstract:

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Option Pricing, Stochastic Volatility, Square Root Diffusion

Other Papers (1)

Total Downloads: 14
1.

Critical Thoughts About Modern Option Pricing.

Number of pages: 4 Posted: 28 Dec 2014
Ilya I. Gikhman
Independent
Downloads 14

Abstract:

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Black Scholes pricing, alternative options pricing.