My research is focused on the volatility models, investing and trading strategies, in particular, the volatility trading, and asset allocation. My PhD research topic was on solving the stopping time problem for jump-diffusion processes and applications to default risk modeling.

My research is cited in over 750 research papers according to Google Scholar and my author H index is 15 (published 15 articles that are cited at least 15 times).

You can read my research from:


Selected Papers

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