Artur Sepp

LGT Bank (Schweiz) AG

Head Quant

Switzerland

http://artursepp.com/

SCHOLARLY PAPERS

31

DOWNLOADS
Rank 943

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Top 943

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48,917

SSRN CITATIONS
Rank 8,195

SSRN RANKINGS

Top 8,195

in Total Papers Citations

49

CROSSREF CITATIONS

167

Scholarly Papers (31)

1.

Volatility Modelling and Trading

Global Derivatives Workshop Global Derivatives Trading & Risk Management, Budapest, 2016
Number of pages: 164 Posted: 19 Jul 2016
Artur Sepp
LGT Bank (Schweiz) AG
Downloads 6,669 (2,141)

Abstract:

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Volatility, Trading, Investment Strategies

2.

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
Number of pages: 37 Posted: 19 Jun 2011 Last Revised: 08 Dec 2015
Artur Sepp
LGT Bank (Schweiz) AG
Downloads 4,789 (3,785)
Citation 4

Abstract:

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delta-hedging errors, profit & loss distribution, discrete trading, transaction costs, parameters misspecification, jump-diffusion model, stochastic volatility, Sharpe ratio

3.

Machine Learning for Volatility Trading (Presentation Slides)

Number of pages: 34 Posted: 14 Jun 2018 Last Revised: 28 Oct 2023
Artur Sepp
LGT Bank (Schweiz) AG
Downloads 3,984 (5,169)

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Volatility, Machine Learning, Statistical Estimation, Trading

4.

VIX Option Pricing in a Jump-Diffusion Model

Risk Magazine, pp. 84-89, April 2008
Number of pages: 10 Posted: 01 Jun 2009
Artur Sepp
LGT Bank (Schweiz) AG
Downloads 3,081 (7,852)
Citation 4

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VIX index, VIX futures and options, Imlied volatility, Stochastic volatility, Heston model with volatility jumps

5.

Trend-Following Strategies for Tail-Risk Hedging and Alpha Generation

Number of pages: 36 Posted: 09 May 2018
Artur Sepp
LGT Bank (Schweiz) AG
Downloads 2,821 (8,994)
Citation 1

Abstract:

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Trend-Following, CTA, Tail Risk Hedging, Quantitative Investment Strategies, Alpha, Skewness

6.

Log-normal Stochastic Volatility Model with Quadratic Drift

Forthcoming in International Journal of Theoretical and Applied Finance
Number of pages: 48 Posted: 11 Nov 2014 Last Revised: 18 Feb 2024
Artur Sepp and Parviz Rakhmonov
LGT Bank (Schweiz) AG and Marex
Downloads 2,580 (10,419)
Citation 1

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Log-normal stochastic volatility, Non-affine models, Closed-form solution, Moment generating function, cryptocurrency derivatives, Quadratic variance

7.

Pricing Options on Realized Variance in the Heston Model with Jumps in Returns and Volatility

Journal of Computational Finance, Vol. 11, No. 4, pp. 33-70, 2008
Number of pages: 37 Posted: 21 May 2009 Last Revised: 05 Oct 2010
Artur Sepp
LGT Bank (Schweiz) AG
Downloads 2,468 (11,160)
Citation 9

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realized variance, variance swap, volatility swap, option on variance swap, volatility derivatives, VIX futures, VIX option, Heston model

8.

An Approximate Distribution of Delta-Hedging Errors in a Jump-Diffusion Model with Discrete Trading and Transaction Costs

Sepp, A. (2012), "An Approximate Distribution of Delta-Hedging Errors in a Jump-Diffusion Model with Discrete Trading and Transaction Costs", Quantitative Finance, 12(7), 1119-1141
Number of pages: 37 Posted: 19 Mar 2009 Last Revised: 18 Feb 2014
Artur Sepp
LGT Bank (Schweiz) AG
Downloads 1,991 (15,684)
Citation 1

Abstract:

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delta-hedging errors, profit & loss distribution, discrete trading, transaction costs, parameters misspecification, jump-diffusion model, jump risk

9.

Profit-and-Loss of Option Strategies under Quadratic Skew Parametrization

Number of pages: 42 Posted: 25 Oct 2010 Last Revised: 05 Nov 2010
Artur Sepp
LGT Bank (Schweiz) AG
Downloads 1,635 (21,391)

Abstract:

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Delta-hedging, profit-and-loss, straddle, risk-reversal, butterfly, quadratic implied volatility, volatility skew

10.

Beta Stochastic Volatility Model

Risk Magazine, pp. 66-71, October 2012
Number of pages: 19 Posted: 23 Sep 2012 Last Revised: 20 Feb 2024
Artur Sepp and Piotr Karasinski
LGT Bank (Schweiz) AG and European Bank for Reconstruction and Development (EBRD)
Downloads 1,549 (23,238)
Citation 1

Abstract:

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beta stochastic volatility, stochastic volatility, volatility skew, local stochastic volatility

11.

Empirical Calibration and Minimum-Variance Delta Under Log-Normal Stochastic Volatility Dynamics

Number of pages: 42 Posted: 30 Jan 2014 Last Revised: 09 Mar 2016
Artur Sepp
LGT Bank (Schweiz) AG
Downloads 1,546 (23,436)

Abstract:

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Lognormal stochastic volatility, Jumps in price and volatility, Model calibration, Implied volatility skew, Closed-form solution, Option pricing, Minimum-variance hedging

12.

Gaining the Alpha Advantage in Volatility Trading (Presentation Slides)

Quantitative Investment Strategies Summit, Amsterdam, 2015
Number of pages: 37 Posted: 07 Sep 2017
Artur Sepp
LGT Bank (Schweiz) AG
Downloads 1,440 (25,951)

Abstract:

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Volatility trading, risk-premia, cyclicality risk, diversification

13.

Valuation and hedging of cryptocurrency inverse options

Forthcoming in Quantitative Finance
Number of pages: 31 Posted: 18 Nov 2023 Last Revised: 03 Jun 2024
Artur Sepp and Vladimir Lucic
LGT Bank (Schweiz) AG and Imperial College London
Downloads 1,367 (27,971)
Citation 1

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Inverse options, Perpetual Futures, Deribit exchange, Change of numéraire, Cryptocurrencies JEL Classifications: C02, G12, G23

14.

Diversifying Cyclicality Risk of Quantitative Investment Strategies (Presentation Slides)

Global Derivatives Buy Side Summit, Barcelona, 2017
Number of pages: 44 Posted: 05 Jun 2017
Artur Sepp
LGT Bank (Schweiz) AG
Downloads 1,294 (30,393)
Citation 1

Abstract:

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Volatility, Trading, Investment Strategies, Momentum, Volatility, Skewness, Risk parity, trend following

15.

A Robust Stochastic Volatility Model for Interest Rate Dynamics

Risk Magazine, September 2023, 1-6
Number of pages: 20 Posted: 02 Jan 2023 Last Revised: 20 Feb 2024
Artur Sepp and Parviz Rakhmonov
LGT Bank (Schweiz) AG and Marex
Downloads 1,188 (34,393)
Citation 1

Abstract:

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Interest rate volatility, log-normal stochastic volatility, Cheyette model

16.

Pricing European-Style Options under Jump Diffusion Processes with Stochastic Volatility: Applications of Fourier Transform

Kangro, R., Parna, K., and Sepp, A., (2004), "Pricing European-Style Options under Jump Diffusion Processes with Stochastic Volatility: Applications of Fourier Transform", Acta et Commentationes Universitatis Tartuensis de Mathematica 8, 123-133
Number of pages: 30 Posted: 31 May 2009 Last Revised: 18 Feb 2014
Artur Sepp
LGT Bank (Schweiz) AG
Downloads 1,148 (36,028)
Citation 11

Abstract:

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stochastic volatility, jump-diffusion processes, volatility smile, option pricing, characteristic function, Fourier transform, DAX volatility surface

17.

Analytical Pricing of Double-Barrier Options under a Double-Exponential Jump Diffusion Process: Applications of Laplace Transform

International Journal of Theoretical and Applied Finance, Vol. 7, No. 2, pp. 151-175, 2004
Number of pages: 24 Posted: 31 May 2009
Artur Sepp
LGT Bank (Schweiz) AG
Downloads 875 (52,801)

Abstract:

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jump diffusion processes, exponential jumps, volatility smile, option pricing, path-dependent options, double barrier options, double touch options, Laplace transform

18.

Optimal Allocation to Cryptocurrencies in Diversified Portfolios

Risk Magazine, October 2023, 1-6
Number of pages: 11 Posted: 23 Sep 2022 Last Revised: 30 Nov 2023
Artur Sepp
LGT Bank (Schweiz) AG
Downloads 866 (53,586)

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Optimal Asset Allocation, Bitcoin, Cryptocurrency

19.

Automated Market-Making for Fiat Currencies

Number of pages: 16 Posted: 11 Oct 2021
Alex Lipton and Artur Sepp
Hebrew University of Jerusalem and LGT Bank (Schweiz) AG
Downloads 855 (54,548)
Citation 7

Abstract:

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Cryptocurrencies, Automated Market Making, Decentralized Finance, Blockchain, Decentralized Exchanges, Central Bank Digital Currencies

20.

Extended CreditGrades Model with Stochastic Volatility and Jumps

Wilmott Magazine, September 2006, pp. 50-62
Number of pages: 29 Posted: 31 May 2009
Artur Sepp
LGT Bank (Schweiz) AG
Downloads 818 (57,987)

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credit risk, Merton default model, Equity to Credit model, CreditGrades model, jump diffusion processes, stochastic volatility, credit default swap spreads, equity default swap, volatility smile

21.

Credit Value Adjustment for Credit Default Swaps via the Structural Default Model

The Journal of Credit Risk, Vol. 5, No. 2, pp. 127-150, 2009
Number of pages: 17 Posted: 22 Sep 2012 Last Revised: 03 Jun 2013
Alex Lipton and Artur Sepp
Hebrew University of Jerusalem and LGT Bank (Schweiz) AG
Downloads 796 (60,126)
Citation 7

Abstract:

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counterparty risk, jump-to-default

22.

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
Number of pages: 23 Posted: 25 Aug 2010 Last Revised: 21 May 2014
Artur Sepp
LGT Bank (Schweiz) AG
Downloads 746 (65,483)
Citation 1

Abstract:

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realized variance, discrete variance, quadratic variance, variance swap, volatility derivatives, Heston model

23.

Variance Swaps Under No Conditions

Risk Magazine, pp. 82-87, March 2007
Number of pages: 12 Posted: 01 Jun 2009
Artur Sepp
LGT Bank (Schweiz) AG
Downloads 699 (71,264)
Citation 2

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variance swap, conditional variance swaps, volatility derivatives, Heston model, stochastic volatility

24.

Filling the Gaps

Risk Magazine, October 2011, 66-71
Number of pages: 22 Posted: 23 Sep 2012
Alex Lipton and Artur Sepp
Hebrew University of Jerusalem and LGT Bank (Schweiz) AG
Downloads 679 (74,090)
Citation 1

Abstract:

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local volatility, diffusion with tiled volatility

25.

Option Pricing with Jumps

Wilmott Magazine, pp. 50-58, November 2003
Number of pages: 19 Posted: 01 Jun 2009
Artur Sepp and Igor Skachkov
LGT Bank (Schweiz) AG and Independent
Downloads 653 (77,846)

Abstract:

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jump-diffusion, regime switching, Laplace transfrom, Barrier options

26.

Toward an Efficient Hybrid Method for Pricing Barrier Options on Assets With Stochastic Volatility

Number of pages: 33 Posted: 05 Apr 2022
Alex Lipton and Artur Sepp
Hebrew University of Jerusalem and LGT Bank (Schweiz) AG
Downloads 595 (87,339)

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barrier options, stochastic volatility, Heston model, heat potentials, semi-analytical solution, Volterra equation, Willards' formula

27.

Stochastic Volatility Models and Kelvin Waves

Journal of Physics A: Mathematical and Theoretical, Vol. 41, 2008
Number of pages: 27 Posted: 22 Sep 2012
Alex Lipton and Artur Sepp
Hebrew University of Jerusalem and LGT Bank (Schweiz) AG
Downloads 435 (127,856)
Citation 4

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Stochastic volatility, Stein-Stein model, Heston model

28.

Stochastic Volatility for Factor Heath-Jarrow-Morton Framework

Number of pages: 44 Posted: 14 Dec 2023 Last Revised: 26 Jun 2024
Artur Sepp and Parviz Rakhmonov
LGT Bank (Schweiz) AG and Marex
Downloads 420 (133,195)

Abstract:

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Interest rate volatility, log-normal stochastic volatility, Cheyette model, Factor Heath-Jarrow-Morton

29.

What Is a Robust Stochastic Volatility Model

Number of pages: 19 Posted: 27 Dec 2023 Last Revised: 29 Feb 2024
Artur Sepp and Parviz Rakhmonov
LGT Bank (Schweiz) AG and Marex
Downloads 383 (148,336)
Citation 1

Abstract:

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Log-normal stochastic volatility, Non-affine models, Heston model, Rough volatility, Closed-form solution, Moment generating function

30.

Econometric Modelling of Stock Prices and CDS Spreads with Risk-Premiums (Presentation Slides)

Global Derivatives Trading Conference, Amsterdam, 2015
Number of pages: 36 Posted: 07 Sep 2017
Artur Sepp
LGT Bank (Schweiz) AG
Downloads 274 (211,484)

Abstract:

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Credit risk, risk-premia, cyclicality risk, diversification

31.

Unified Approach for Hedging Impermanent Loss of Liquidity Provision

Number of pages: 35
Artur Sepp, Alex Lipton and Vladimir Lucic
LGT Bank (Schweiz) AG, Hebrew University of Jerusalem and Imperial College London
Downloads 273

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Automated Market Making, Liquidity Provision, Decentralized Finance, Uniswap, Cryptocurrencies, Impermanent Loss JEL Classifications: C02

Other Papers (1)

Total Downloads: 60
1.

Jump risk premia in the presence of clustered jumps

Number of pages: 39 Posted: 24 Feb 2024 Last Revised: 05 Mar 2024
Francis Liu, Natalie Packham and Artur Sepp
Humboldt-Universität zu Berlin - IRTG1792, Berlin School of Economics and Law and LGT Bank (Schweiz) AG
Downloads 60

Abstract:

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Risk premia, risk premium, jumps, clustered jumps, Hawkes process, cryptocurrencies