Presentations

Youtube Videos of Presentations

Diversifying cyclicality risk of quantitative investing strategies, Global Derivatives Webinar, June 2017

Structural default model with regime-switches: estimation of joint dynamics of stock prices and CDS spreads, University of Tartu

Presentation Slides

Diversifying Cyclicality Risk of Quantitative Investment Strategies, Presentation, Global Derivatives Trading & Risk Management 2017, Barcelona May 8, 2017

Volatility Modelling and Trading, Workshop lecture notes, Global Derivatives Trading & Risk Management 2016, Budapest, May 13, 2016

Gaining the Alpha Advantage in Volatility Trading, Presentation, Quantitative Investment Strategies Summit 2015, Amsterdam, May 18, 2015

Econometric Modelling Of Stock Prices & CDS Spreads With Risk-Premiums, Global Derivatives Trading & Risk Management 2015, Amsterdam, May 19-21, 2015

Realized and Implied Index Skews, Jumps, and the Failure of the Minimum-Variance Hedging, Global Derivatives Trading & Risk Management 2014, Amsterdam, May 13-15, 2014

Beta Stochastic Volatility Model for Consistently Modeling Joint Dynamics of Volatility and Underlying, Global Derivatives Trading & Risk Management 2013, Amsterdam, April 16-18, 2013

Achieving Consistent Modeling Of VIX and Equities Derivatives, Global Derivatives Trading & Risk Management 2012, Barcelona, April 17-19, 2012

Efficient Numerical PDE Methods to Solve Calibration and Pricing Problems in Local Stochastic Volatility Models, Global Derivatives Trading & Risk Management 2011, Paris, April 12-15, 2011

An Approximate Distribution of Delta-Hedging Errors in a Jump-Diffusion Model with Discrete Trading and Transaction Costs, Financial Engineering Workshop, Cass Business School, May 13, 2010