Artur Sepp Blog on Quantitative Investment Strategies

@article{sepp2026goalbased,
title={Dynamic Mean-Variance Portfolio Allocation under Regime-Switching Jump-Diffusions with Absorbing Barriers},
author={Sepp, Artur},
year={2026},
url={https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6534579}
}

@article{sepphansenkastenholz2026,
title={Capital Market Assumptions and Strategic Asset Allocation Using Multi-Asset Tradable Factors},
author={Sepp, Artur and H. Hansen, Emilie and Kastenholz, Mika},
journal={Under revision at the Journal of Portfolio Management}
}

@article{seppossakastenholz2026,
title={Robust optimization of strategic and tactical asset allocation for multi-asset portfolios},
author={Sepp, Artur and Ossa, Ivan and Kastenholz, Mika},
journal={Journal of Portfolio Management},
volume={52},
number={4},
year={2026},
pages={86--120},
url={https://www.pm-research.com/content/iijpormgmt/52/4/86}
}

@article{lucicsepp2025,
title={The science and practice of trend-following systems},
author={Sepp, Artur and Lucic, Vladimir},
year={2025},
note={Working paper},
url={http://ssrn.com/abstract=3167787}
}

@article{packhamliusepp2025,
title={Jump risk premia in the presence of clustered jumps},
author={Packham, Natalie and Liu, Francis and Sepp, Artur},
year={2025},
note={Working paper},
url={https://ssrn.com/abstract=4735365}
}

@article{sepprakhmonov2025,
title={Stochastic volatility for factor Heath-Jarrow-Morton framework},
author={Sepp, Artur and Rakhmonov, Parviz},
volume={28},
number={12},
year={2025},
journal={Review of Derivatives Research},
doi={https://doi.org/10.1007/s11147-025-09217-4},
note={Preprint: http://ssrn.com/abstract=4646925}
}

@article{liptonlucicsepp2025,
title={Unified approach for hedging impermanent loss of liquidity provision},
author={Lipton, Alex and Lucic, Vladimir and Sepp, Artur},
journal={Digital Finance},
volume={7},
year={2025},
pages={429--477},
doi={https://doi.org/10.1007/s42521-025-00144-5},
note={Preprint: https://ssrn.com/abstract=4887298}
}

@article{lucicsepp2024,
title={Valuation and hedging of cryptocurrency inverse options},
author={Lucic, Vladimir and Sepp, Artur},
journal={Quantitative Finance},
volume={24},
number={7},
pages={851--869},
year={2024},
url={https://www.tandfonline.com/doi/full/10.1080/14697688.2024.2364804}
}

@article{sepprakhmonov2023,
title={Log-normal stochastic volatility model with quadratic drift},
author={Sepp, Artur and Rakhmonov, Parviz},
journal={International Journal of Theoretical and Applied Finance},
volume={26},
number={8},
year={2023},
url={https://www.worldscientific.com/doi/epdf/10.1142/S0219024924500031}
}

@article{sepprakhmonov2023b,
title={What is a robust stochastic volatility model},
author={Sepp, Artur and Rakhmonov, Parviz},
year={2023},
note={Working paper},
url={http://ssrn.com/abstract=4647027}
}

@article{sepprakhmonov2023c,
title={Robust stochastic volatility model for interest rate dynamics},
author={Sepp, Artur and Rakhmonov, Parviz},
journal={Risk Magazine},
pages={1--6},
month={September},
year={2023},
url={https://ssrn.com/abstract=4315906}
}

@article{sepp2023,
title={Optimal allocation to cryptocurrencies in diversified portfolios},
author={Sepp, Artur},
journal={Risk Magazine},
pages={1--6},
month={October},
year={2023},
url={https://ssrn.com/abstract=4217841}
}

@article{liptonsepp2022,
title={Toward an efficient hybrid method for pricing barrier options on assets with stochastic volatility},
author={Lipton, Alex and Sepp, Artur},
journal={Wilmott Magazine},
pages={70--84},
month={August},
year={2022},
url={https://ssrn.com/abstract=4035813}
}

@article{liptonsepp2022b,
title={Automated market-making for fiat currencies},
author={Lipton, Alex and Sepp, Artur},
journal={Risk Magazine},
month={May},
year={2022},
url={https://ssrn.com/abstract=3939695}
}

@article{sepp2020,
title={60/40 portfolios and the need for smart diversification},
author={Sepp, Artur},
journal={HedgeNordic, Systematic Strategies Special Report},
pages={24--29},
month={June},
year={2020},
url={https://hedgenordic.com/2020/06/60-40-portfolios-and-the-need-for-smart-diversification}
}

@article{dezeraudsepp2019,
title={Trend-following CTAs vs alternative risk-premia: Crisis beta vs risk-premia alpha},
author={Dezeraud, Louis and Sepp, Artur},
journal={The Hedge Fund Journal},
volume={138},
pages={20--31},
month={January},
year={2019},
url={https://thehedgefundjournal.com/trend-following-ctas-vs-alternative-risk-premia/}
}

@inproceedings{sepp2016,
title={Volatility modelling and trading},
author={Sepp, Artur},
booktitle={Global Derivatives Trading \& Risk Management 2016},
address={Budapest},
month={13 May},
year={2016},
note={Workshop lecture notes},
url={http://ssrn.com/abstract=2810768}
}

@article{sepp2014,
title={Empirical calibration and minimum-variance delta under log-normal stochastic volatility dynamics},
author={Sepp, Artur},
year={2014},
note={Working paper},
url={http://ssrn.com/abstract=2387845}
}

@article{sepp2013,
title={When you hedge discretely: Optimization of Sharpe ratio for delta-hedging strategy under discrete hedging and transaction costs},
author={Sepp, Artur},
journal={Journal of Investment Strategies},
volume={3},
number={1},
pages={19--59},
year={2013},
url={http://ssrn.com/abstract=1865998}
}

@article{karasinskisepp2012,
title={Beta stochastic volatility model},
author={Karasinski, Piotr and Sepp, Artur},
journal={Risk Magazine},
pages={66--71},
month={October},
year={2012},
url={http://ssrn.com/abstract=2150614}
}

@article{sepp2012,
title={Pricing options on realized variance in the Heston model with jumps in returns and volatility -- {Part II}: An approximate distribution of discrete variance},
author={Sepp, Artur},
journal={Journal of Computational Finance},
volume={16},
number={2},
pages={3--32},
year={2012},
url={http://ssrn.com/abstract=1664267}
}

@article{sepp2012b,
title={An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs},
author={Sepp, Artur},
journal={Quantitative Finance},
volume={12},
number={7},
pages={1119--1141},
year={2012},
url={http://ssrn.com/abstract=1360472}
}

@article{liptonsepp2011,
title={Filling the gaps},
author={Lipton, Alex and Sepp, Artur},
journal={Risk Magazine},
pages={66--71},
month={October},
year={2011},
url={http://ssrn.com/abstract=2150646}
}

@article{liptonsepp2009,
title={Credit value adjustment for credit default swaps via the structural default model},
author={Lipton, Alex and Sepp, Artur},
journal={The Journal of Credit Risk},
volume={5},
number={2},
pages={123--146},
year={2009},
url={http://ssrn.com/abstract=2150669}
}

@article{liptonsepp2008,
title={Stochastic volatility models and {Kelvin} waves},
author={Lipton, Alex and Sepp, Artur},
journal={Journal Of Physics A: Mathematical and Theoretical},
volume={41},
pages={344012},
year={2008},
url={http://ssrn.com/abstract=2150644}
}

@article{sepp2008,
title={Pricing options on realized variance in the {Heston} model with jumps in returns and variance},
author={Sepp, Artur},
journal={Journal of Computational Finance},
volume={11},
number={4},
pages={33--70},
year={2008},
url={http://ssrn.com/abstract=1408005}
}

@article{sepp2008b,
title={{VIX} options pricing in a jump-diffusion model},
author={Sepp, Artur},
journal={Risk Magazine},
pages={84--89},
month={April},
year={2008},
url={http://ssrn.com/abstract=1412339}
}

@article{sepp2007,
title={Variance swaps under no conditions},
author={Sepp, Artur},
journal={Risk Magazine},
pages={82--87},
month={March},
year={2007},
url={http://ssrn.com/abstract=1412338}
}

@article{sepp2006,
title={Extended {CreditGrades} model with stochastic volatility and jumps},
author={Sepp, Artur},
journal={Wilmott Magazine},
pages={50--62},
month={September},
year={2006},
url={http://ssrn.com/abstract=1412327}
}

@article{kangroparsepp2004,
title={Pricing {European}-style options under jump diffusion processes with stochastic volatility: {Applications} of {Fourier} transform},
author={Kangro, Raul and Parna, Kalev and Sepp, Artur},
journal={Acta et Commentationes Universitatis Tartuensis de Mathematica},
volume={8},
pages={123--133},
year={2004},
url={http://ssrn.com/abstract=1412333}
}

@article{sepp2004,
title={Analytical pricing of double-barrier options under a double-exponential jump diffusion process: {Applications} of {Laplace} transform},
author={Sepp, Artur},
journal={International Journal of Theoretical and Applied Finance},
volume={7},
number={2},
pages={151--175},
year={2004},
url={http://ssrn.com/abstract=1412344}
}

@article{skachkovsepp2003,
title={Option pricing with jumps},
author={Skachkov, Igor and Sepp, Artur},
journal={Wilmott Magazine},
pages={50--58},
month={November},
year={2003},
url={http://ssrn.com/abstract=1412340}
}