Zurich
Switzerland
http://artursepp.com
Quantica Capital AG
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Volatility, Trading, Investment Strategies
delta-hedging errors, profit & loss distribution, discrete trading, transaction costs, parameters misspecification, jump-diffusion model, stochastic volatility, Sharpe ratio
VIX index, VIX futures and options, Imlied volatility, Stochastic volatility, Heston model with volatility jumps
Volatility, Machine Learning, Statistical Estimation, Trading
realized variance, variance swap, volatility swap, option on variance swap, volatility derivatives, VIX futures, VIX option, Heston model
delta-hedging errors, profit & loss distribution, discrete trading, transaction costs, parameters misspecification, jump-diffusion model, jump risk
Log-normal stochastic volatility, Jumps in price and volatility, Model calibration, Closed-form solution, Option pricing, Quadratic variance, Econometric Estimation
Lognormal stochastic volatility, Jumps in price and volatility, Model calibration, Implied volatility skew, Closed-form solution, Option pricing, Minimum-variance hedging
beta stochastic volatility, stochastic volatility, volatility skew, local stochastic volatility
Volatility, Trading, Investment Strategies, Momentum, Volatility, Skewness, Risk parity, trend following
Volatility trading, risk-premia, cyclicality risk, diversification
Trend-Following, CTA, Tail Risk Hedging, Quantitative Investment Strategies, Alpha, Skewness
Delta-hedging, profit-and-loss, straddle, risk-reversal, butterfly, quadratic implied volatility, volatility skew
stochastic volatility, jump-diffusion processes, volatility smile, option pricing, characteristic function, Fourier transform, DAX volatility surface
jump diffusion processes, exponential jumps, volatility smile, option pricing, path-dependent options, double barrier options, double touch options, Laplace transform
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
realized variance, discrete variance, quadratic variance, variance swap, volatility derivatives, Heston model
jump-diffusion, regime switching, Laplace transfrom, Barrier options
counterparty risk, jump-to-default
variance swap, conditional variance swaps, volatility derivatives, Heston model, stochastic volatility
local volatility, diffusion with tiled volatility
Stochastic volatility, Stein-Stein model, Heston model
Credit risk, risk-premia, cyclicality risk, diversification
