I am Head Systematic Solutions and Portfolio Construction at Sygnum Bank’s Asset Management in Zurich, specializing in crypto assets and decentralized finance. Prior, I led quantitative research at a systematic hedge fund (Quantica Capital) focusing on data-driven investment strategies and asset allocation in global managed futures. In previous roles, I worked as front office Quant Strategist on the implementation of systematic solutions in private banking (Julius Baer), and on the full-cycle development of quantitative solutions and derivatives in investment banking (Merrill Lynch/BofA).
I am dedicated to connecting financial applications with science and technology. My expertise covers quantitative investing and asset allocation, modeling of financial markets and instruments, statistical and Machine Learning methods, modern computational and programming tools. My 14 years professional experience includes performing in leading roles at top quant teams in New-York, London, and Zurich.
I have a PhD in Mathematical Statistics from University of Tartu, an MSc in Industrial Engineering and Management Sciences from Northwestern University, and a BA cum laude in Mathematical Economics from Tallinn University of Technology. I am the author and co-author of several research articles on quantitative finance published in key journals. I am known for contributions to stochastic volatility and credit risk modelling with an H-index of 16. I am a member of the editorial board of the Journal of Computational Finance. I love martial arts, water, and mountain sports.
- Professional update: systematic solutions for crypto and digital assets at Sygnum Bank’s Asset Management
- Paper on Automated Market Making for DeFi: arbitrage-fee exchange between on-chain and traditional markets
- Machine Learning for Volatility Trading
- Trend-following strategies for tail-risk hedging and alpha generation
- Lessons from the crash of short volatility ETPs
- Diversifying Cyclicality Risk of Quantitative Investment Strategies: presentation slides and webinar Q&A
- Volatility Modelling and Trading: Workshop presentation
- Allocation to systematic volatility strategies using VIX futures, S&P 500 index puts, and delta-hedged long-short strategies
- Why the volatility is log-normal and how to apply the log-normal stochastic volatility model in practice
- Volatility Modeling and Trading: Q&A with Euan Sinclair
- Quantitative Approaches to Wealth Management: An Interview for Instututional Investor Journals
- How to optimize volatility trading and delta-hedging strategies under the discrete hedging with transaction costs