Artur Sepp

Quantica Capital AG

Research Director

Zurich

Switzerland

http://artursepp.com

  • Quantica Capital AG

SCHOLARLY PAPERS

24

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23,282

CITATIONS
Rank 17,776

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Top 17,776

in Total Papers Citations

27

Scholarly Papers (24)

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1.

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
Quantica Capital AG
Downloads 2,501 (4,858)
Citation 5

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

2.

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
Quantica Capital AG
Downloads 2,417 (5,136)
Citation 17

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

3.

Volatility Modelling and Trading

Global Derivatives Workshop Global Derivatives Trading & Risk Management, Budapest, 2016
Number of pages: 164 Posted: 19 Jul 2016
Artur Sepp
Quantica Capital AG
Downloads 2,291 (5,628)

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Volatility, Trading, Investment Strategies

4.

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
Quantica Capital AG
Downloads 1,964 (7,308)
Citation 42

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

5.

Machine Learning for Volatility Trading (Presentation Slides)

Number of pages: 34 Posted: 14 Jun 2018
Artur Sepp
Quantica Capital AG
Downloads 1,369 (13,211)

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Volatility, Machine Learning, Statistical Estimation, Trading

6.

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
Quantica Capital AG
Downloads 1,337 (13,710)
Citation 5

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

7.

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
Quantica Capital AG
Downloads 1,021 (20,634)

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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

8.

Beta Stochastic Volatility Model

Risk Magazine, pp. 66-71, October 2012
Number of pages: 19 Posted: 23 Sep 2012
Artur Sepp and Piotr Karasinski
Quantica Capital AG and European Bank for Reconstruction and Development (EBRD)
Downloads 1,001 (21,270)
Citation 4

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

9.

Log-Normal Stochastic Volatility Model: Affine Decomposition of Moment Generating Function and Pricing of Vanilla Options

Number of pages: 76 Posted: 11 Nov 2014 Last Revised: 15 Mar 2016
Artur Sepp
Quantica Capital AG
Downloads 968 (22,331)

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Log-normal stochastic volatility, Jumps in price and volatility, Model calibration, Closed-form solution, Option pricing, Quadratic variance, Econometric Estimation

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
Quantica Capital AG
Downloads 881 (25,622)

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

11.

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
Quantica Capital AG
Downloads 866 (26,249)
Citation 1

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

12.

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
Quantica Capital AG
Downloads 858 (26,602)
Citation 11

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

13.

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
Quantica Capital AG
Downloads 786 (30,055)

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Volatility trading, risk-premia, cyclicality risk, diversification

14.

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
Quantica Capital AG
Downloads 747 (32,222)
Citation 31

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

15.

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

Number of pages: 36 Posted: 09 May 2018
Artur Sepp
Quantica Capital AG
Downloads 672 (37,229)
Citation 1

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

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
Quantica Capital AG
Downloads 668 (37,512)

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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.

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
Quantica Capital AG
Downloads 571 (46,168)
Citation 16

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

18.

Option Pricing with Jumps

Wilmott Magazine, pp. 50-58, November 2003
Number of pages: 19 Posted: 01 Jun 2009
Artur Sepp and Igor Skachkov
Quantica Capital AG and Independent
Downloads 503 (54,178)
Citation 1

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

19.

Variance Swaps Under No Conditions

Risk Magazine, pp. 82-87, March 2007
Number of pages: 12 Posted: 01 Jun 2009
Artur Sepp
Quantica Capital AG
Downloads 459 (60,809)
Citation 3

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

20.

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
Bank of America Merrill Lynch and Quantica Capital AG
Downloads 444 (63,303)
Citation 33

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counterparty risk, jump-to-default

21.

Filling the Gaps

Risk Magazine, October 2011, 66-71
Number of pages: 22 Posted: 23 Sep 2012
Alex Lipton and Artur Sepp
Bank of America Merrill Lynch and Quantica Capital AG
Downloads 422 (67,281)
Citation 3

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local volatility, diffusion with tiled volatility

22.

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
Bank of America Merrill Lynch and Quantica Capital AG
Downloads 213 (141,258)
Citation 3

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Stochastic volatility, Stein-Stein model, Heston model

23.

Trend-Following CTAs vs Alternative Risk-Premia (ARP) Products: Crisis Beta vs Risk-premia Alpha

Sepp A., and L. Dezeraud (2019), “Trend-Following CTAs vs Alternative Risk-Premia: Crisis beta vs risk-premia alpha”, The Hedge Fund Journal, Issue 138, pp. 20-31
Number of pages: 27 Posted: 08 May 2019 Last Revised: 12 Jul 2019
Artur Sepp and Louis Dezeraud
Quantica Capital AG and affiliation not provided to SSRN
Downloads 201 (149,124)

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

24.

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
Quantica Capital AG
Downloads 122 (227,223)

Abstract:

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Credit risk, risk-premia, cyclicality risk, diversification