Presentations

Videos

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

Gaining the alpha advantage in volatility trading, The Thalesians Seminar, 27 May 2015

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