Home

Artur Sepp

Likes
170
Date
2022/05/04
Image Link
https://media-exp1.licdn.com/dms/image/sync/C4E27AQFeD1HvcML6qQ/articleshare-shrink_800/0/1651678186817?e=1651784400&v=beta&t=4ehuUE-I3ykU7ub25W19Zg53IUZ2hnQjk8eTEzji3zA
ML Score
7
Job
Sygnum Bank | Head Systematic Solutions and Portfolio Construction
Content
I will talk about modeling the dynamic of implied volatility surfaces of crypto assets (#btc, #eth ) at Imperial College in London on Wednesday the 18th May. I will present an arbitrage-free framework equipped with a stochastic volatility model for the arbitrage-free dynamics and valuation of different types of crypto options. I will illustrate applications for calibrating and modeling of Bitcoin and Ether volatility surfaces using Deribit options exchange data.This talk is based on joint work with Parviz Rakhmonov.
Property
https://media-exp1.licdn.com/dms/image/sync/C4E27AQFeD1HvcML6qQ/articleshare-shrink_800/0/1651678186817?e=1651784400&v=beta&t=4ehuUE-I3ykU7ub25W19Zg53IUZ2hnQjk8eTEzji3zA
Link
https://www.linkedin.com/feed/update/urn:li:activity:6927641787884830720
Comments
9
Type
Post
Profile
https://www.linkedin.com/in/artursepp/
TOP