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Artur Sepp

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73
Date
2022/08/10
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
Comments
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Type
Post
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