Volkov won the Chigorin Memorial in 1998 and in the following year, he was joint winner with Alexander Grischuk.

He shared victory at the 2005 Rilton Cup with Evgeny Gleizerov and Emanuel Berg.

[1] In 2008 he won the bronze medal at the European Individual Championship for the second time in his career.

[2] In 2010, Volkov tied for 1st–8th with Viorel Iordachescu, Hrant Melkumyan, Eduardo Iturrizaga, Gadir Guseinov, David Arutinian, Aleksej Aleksandrov and Tornike Sanikidze in the 12th Dubai Open.

At the 1998 Chess Olympiad, while still an International Master, he played for Russia 2 team that finished eighth.