My professional research is focused on:

    1. Volatility models and risk-premia for volatility trading strategies
    2. Systematic risk-premia and trend-following strategies for managed futures
    3. Decentralized Finance (DeFi), Smart Contracts, and crypto assets for systematic mid-frequency trading strategies
    4. Alternative data and Machine Learning for systematic macro trading
    5. Tail risk and diversification for quantitative asset allocation
    6. Credit risk and risk-premia for capital structure arbitrage strategies
    7. Structuring, simulation and execution of systematic solutions and products for alpha and risk-premia generation and for risk-mitigation

My PhD research topic was on solving the stopping time problem for jump-diffusion and stochastic volatility processes with applications to default risk modeling.

My research is cited in over 900 research papers according to Google Scholar and my author H index is 16 (published 16 articles that are cited at least 16 times).

You can read my research from:

Feel free to contact me if you have questions or comments regarding my research and expertise at artursepp@gmail. I will try to contact you back as soon as possible.

Selected Research Papers

Sepp A., Dezeraud L., (2019), “Trend-Following CTAs vs Alternative Risk-Premia: Crisis beta vs risk-premia alpha”, The Hedge Fund Journal, Issue 138, page 20-31,

Trend-Following Strategies for Tail-Risk Hedging and Alpha Generation, Working paper, May 2018

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

Log-Normal Stochastic Volatility Model: Affine Decomposition of Moment Generating Function and Pricing of Vanilla Options , Working paper, 2016

Empirical Calibration and Minimum-Variance Delta Under Log-Normal Stochastic Volatility Dynamics, Working paper, 2014

When You Hedge Discretely: Optimization of Sharpe Ratio for Delta-Hedging Strategy under Discrete Hedging and Transaction Costs, Journal of Investment Strategies, 2013, Vol. 3, No. 1, pp. 19-59

Beta Stochastic Volatility Model (with Piotr Karasinski) Risk Magazine, October 2012, 66-71

Pricing Options on Realized Variance in The Heston Model With Jumps In Returns and Volatility – Part II: An Approximate Distribution of Discrete Variance, Journal of Computational Finance, 2012, Vol. 16, No. 2, pp. 3-32

An Approximate Distribution of Delta-Hedging Errors in a Jump-Diffusion Model with Discrete Trading and Transaction Costs, Quantitative Finance, 2012, 12(7), 1119-1141

Credit value adjustment for credit default swaps via the structural default model (with Alex Lipton), The Journal of Credit Risk, 5(2), 2009, 123-146

Stochastic volatility models and Kelvin waves (with Alex Lipton), Journal Of Physics A: Mathematical and Theoretical, 41, 344012, 2008

Pricing Options on Realized Variance in the Heston Model with Jumps in Returns and Variance, Journal of Computational Finance, 11(4), 2008, 33-70

VIX Options Pricing in a Jump-Diffusion Model, Risk Magazine, April 2008, 84-89

Variance Swaps under no Conditions, Risk Magazine, March 2007, 82-87

Extended CreditGrades Model with Stochastic Volatility and Jumps, Wilmott Magazine, September 2006, 50-62

Pricing European-Style Options under Jump Diffusion Processes with Stochastic Volatility: Applications of Fourier Transform (with Raul Kangro and Kalev Parna), Acta et Commentationes Universitatis Tartuensis de Mathematica, 8, 2004, 123-133

Analytical Pricing of Double-Barrier Options under a Double-Exponential Jump Diffusion Process: Applications of Laplace Transform,  International Journal of Theoretical and Applied Finance, 7(2), 2004, 151-175

Option Pricing with Jumps (with Igor Skachkov), Wilmott Magazine, November 2003, 50-58