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Artur Sepp

Gmail: artursepp

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Personal blog in Linkedin Pulse

Volatility Modelling and Trading: Workshop Presentation and Interview, July 17, 2016

Quantitative Approaches to Wealth Management: An Interview with Artur Sepp, May 27, 2016

How to optimize volatility trading and delta-hedging strategies under the discrete hedging with transaction costs, December 6, 2015

Why the volatility is log-normal and how to apply the log-normal stochastic volatility model in practice, October 5, 2015

 


Academic Publications

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

 


Presentations

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

Gaining the alpha advantage in volatility trading Quantitative Investment Strategies Summit, Global Derivatives Trading & Risk Management 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

Stochastic Local Volatility Models: Theory and Implementation (University of Leicester), December 9, 2010

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

Quantitative Methods for Counterparty Risk (Quantitative Finance Workshop, Technical University of Helsinki), September 2, 2009

Volatility Products and Default Risk (Quant Congress Europe), November 14-15, 2007

 


 

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