Igor Skachkov

Independent

SCHOLARLY PAPERS

6

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Scholarly Papers (6)

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1.

Statistical Arbitrage: Medium Frequency Portfolio Trading

Number of pages: 27 Posted: 25 Jun 2013 Last Revised: 09 Jul 2013
Igor Skachkov
Independent
Downloads 2,932 (6,661)

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statistical arbitrage, market impact, trading strategy, optimization

2.

Option Pricing with Jumps

Wilmott Magazine, pp. 50-58, November 2003
Number of pages: 19 Posted: 01 Jun 2009
Artur Sepp and Igor Skachkov
Sygnum Bank Asset Management and Independent
Downloads 606 (68,062)

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

3.

Trading Portfolios Management

Number of pages: 43 Posted: 22 Jun 2013
Igor Skachkov
Independent
Downloads 247 (187,570)

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market impact models, optimal portfolio liquidation

4.

Market Impact Paradoxes

Downloads 218 (211,434)

Market Impact Paradoxes

Wilmott Magazine, March 2014, pp 71-78
Number of pages: 20 Posted: 27 Jul 2013 Last Revised: 02 May 2014
Igor Skachkov
Independent
Downloads 132 (324,989)

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market impact, dynamic arbitrage, trading engines, Laplace transform

Market Impact Paradoxes

February 19, 2014 Cornell University, CFEM Seminar
Number of pages: 50 Posted: 22 Feb 2014
Igor Skachkov
Independent
Downloads 86 (438,314)

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market impact, dynamic arbitrage, trading engines, Laplace transform

5.

Optimal Execution: Linear Market Impact with Exponential Decay

Number of pages: 12 Posted: 22 Jun 2013 Last Revised: 11 Feb 2015
Igor Skachkov
Independent
Downloads 212 (217,009)
Citation 1

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Optimal execution, Market impact

6.

Black-Scholes Equation in Laplace Transform Domain

Wilmott Technical Article (online) March, 2002
Number of pages: 6 Posted: 08 May 2013
Igor Skachkov
Independent
Downloads 146 (299,538)
Citation 1

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Black-Scholes Equation, Laplace Transform