Artur Sepp

Clearstar AG

Head Quantitative Strategies

Zurich

Switzerland

http://artursepp.com

SCHOLARLY PAPERS

27

DOWNLOADS
Rank 1,064

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Top 1,064

in Total Papers Downloads

38,835

SSRN CITATIONS
Rank 7,593

SSRN RANKINGS

Top 7,593

in Total Papers Citations

31

CROSSREF CITATIONS

164

Scholarly Papers (27)

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
Clearstar AG
Downloads 4,492 (3,471)

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
Clearstar AG
Downloads 4,107 (4,049)
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
Artur Sepp
Clearstar AG
Downloads 3,353 (5,713)

Abstract:

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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
Clearstar AG
Downloads 2,951 (7,018)
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
Clearstar AG
Downloads 2,486 (9,182)
Citation 1

Abstract:

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

6.

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
Clearstar AG
Downloads 2,335 (10,137)
Citation 8

Abstract:

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

7.

Log-normal Stochastic Volatility Model with Quadratic Drift

Number of pages: 45 Posted: 11 Nov 2014 Last Revised: 28 Mar 2023
Artur Sepp and Parviz Rakhmonov
Clearstar AG and Citigroup London
Downloads 2,029 (12,727)
Citation 1

Abstract:

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

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
Clearstar AG
Downloads 1,783 (15,609)
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.

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
Clearstar AG
Downloads 1,422 (22,070)

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

10.

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
Clearstar AG
Downloads 1,383 (23,012)

Abstract:

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

11.

Beta Stochastic Volatility Model

Risk Magazine, pp. 66-71, October 2012
Number of pages: 19 Posted: 23 Sep 2012
Artur Sepp and Piotr Karasinski
Clearstar AG and European Bank for Reconstruction and Development (EBRD)
Downloads 1,337 (24,149)
Citation 1

Abstract:

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

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
Clearstar AG
Downloads 1,281 (25,768)

Abstract:

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Volatility trading, risk-premia, cyclicality risk, diversification

13.

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
Clearstar AG
Downloads 1,195 (28,509)
Citation 1

Abstract:

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

14.

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
Clearstar AG
Downloads 1,068 (33,539)
Citation 11

Abstract:

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

15.

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
Clearstar AG
Downloads 843 (46,571)

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

16.

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
Clearstar AG
Downloads 788 (51,085)

Abstract:

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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

17.

Automated Market-Making for Fiat Currencies

Number of pages: 16 Posted: 11 Oct 2021
Alex Lipton and Artur Sepp
Hebrew University of Jerusalem and Clearstar AG
Downloads 719 (57,767)

Abstract:

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

18.

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 Clearstar AG
Downloads 705 (59,276)
Citation 4

Abstract:

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counterparty risk, jump-to-default

19.

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
Clearstar AG
Downloads 700 (59,848)

Abstract:

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

20.

Variance Swaps Under No Conditions

Risk Magazine, pp. 82-87, March 2007
Number of pages: 12 Posted: 01 Jun 2009
Artur Sepp
Clearstar AG
Downloads 635 (67,907)
Citation 1

Abstract:

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

21.

Option Pricing with Jumps

Wilmott Magazine, pp. 50-58, November 2003
Number of pages: 19 Posted: 01 Jun 2009
Artur Sepp and Igor Skachkov
Clearstar AG and Independent
Downloads 621 (69,900)

Abstract:

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

22.

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 Clearstar AG
Downloads 607 (71,949)
Citation 1

Abstract:

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local volatility, diffusion with tiled volatility

23.

Optimal Allocation to Cryptocurrencies in Diversified Portfolios

Number of pages: 12 Posted: 23 Sep 2022
Artur Sepp
Clearstar AG
Downloads 548 (81,707)

Abstract:

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Optimal Asset Allocation, Bitcoin, Cryptocurrency

24.

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 Clearstar AG
Downloads 530 (85,153)

Abstract:

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

25.

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 Clearstar AG
Downloads 391 (122,160)
Citation 3

Abstract:

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Stochastic volatility, Stein-Stein model, Heston model

26.

Robust Log-normal Stochastic Volatility for Interest Rate Dynamics

Number of pages: 20 Posted: 02 Jan 2023 Last Revised: 10 May 2023
Artur Sepp and Parviz Rakhmonov
Clearstar AG and Citigroup London
Downloads 277 (177,002)

Abstract:

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

27.

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
Clearstar AG
Downloads 249 (196,915)

Abstract:

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Credit risk, risk-premia, cyclicality risk, diversification