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Artur Sepp

Likes
73
Date
2022/08/10
Image Link
https://media-exp1.licdn.com/dms/image/sync/C4D27AQE3w6NPy03dsw/articleshare-shrink_800/0/1660153635928?e=1660770000&v=beta&t=8BV3rUfj76woSZZftc30N9nJCjf-iUGZcTSSw9YeKXU
ML Score
4
Job
Sygnum Bank | Head Systematic Solutions and Portfolio Construction
Content
Introducing new paper co-authored with Parviz Rakhmonov "Stochastic Volatility Model with Quadratic Drift: Applications to Assets with Positive Return-Volatility Correlation and to Inverse Martingale Measures"We show that conventional stochastic volatility models are not arbitrage-free for assets with positive return-volatility correlation.With our model we guarantee the existence of martingale measures. We provide applications to modelling arbitrage-free vol surfaces of cryptocurrencies #bitcoin #ethereum
Property
Integromat
Link
https://www.linkedin.com/feed/update/urn:li:activity:6963153721211912192
Comments
1
Type
Post
Profile
https://www.linkedin.com/in/artursepp/
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