## Research

**Research Papers**

**Research Papers**

Robust Log-normal Stochastic Volatility for Interest Rate Dynamics (with Parviz Rakhmonov), Working paper, 2022

Optimal Allocation to Cryptocurrencies in Diversified Portfolios, Working paper, 2022

Log-normal Stochastic Volatility Model with Quadratic Drift: Applications to Assets with Positive Return-Volatility Correlation and to Inverse Martingale Measures (with Parviz Rakhmonov), Working paper, 2022

Toward an Efficient Hybrid Method for Pricing Barrier Options on Assets With Stochastic Volatility (with Alex Lipton), Wilmott Magazine, August 2022, 70-84

Automated Market-Making for Fiat Currencies (with Alex Lipton), Risk Magazine, May 2022

60/40 Portfolios and the Need for Smart Diversification, HedgeNordic, Systematic Strategies, 2020

Trend-Following CTAs vs Alternative Risk-Premia: Crisis beta vs risk-premia alpha (with Louis Dezeraud), The Hedge Fund Journal, January 2019, 138, 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, 13 May, 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, 3(1), 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, 16(2), 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

Filling the Gaps (with Alex Lipton), Risk Magazine, October 2011, 66-71

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, 2004, 7(2), 151-175

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

**Youtube Videos**

**Youtube Videos**

Modeling Implied Volatility Surfaces of Crypto Options, Presentation slides, Imperial College, 18 May 2022

Systematic smart beta strategies for crypto assets, Presentation Slides, QuantMinds, 7 December 2021

Machine Learning for Volatility Trading, Presentation Slides, QuantMinds, May 2018

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

Structural default model with regime-switches: estimation of joint dynamics of stock prices and CDS spreads, Presentation Slides, University of Tartu, 2015

**Podcasts**

**Podcasts**

Review of paper “Log-normal Stochastic Volatility Model with Quadratic Drift” and its Github project 10 August 2022

Trend Following, Signal Deterioration, & Crypto Modelling With Quant Artur Sepp, The Derivative by RCM Alternatives, 28 April 2022

Conditional Beta, Flirting with Models, 10 April 2021

**Presentation Slides**

**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