Sergei Esipov

Quant Isle Ltd.

SCHOLARLY PAPERS

8

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CITATIONS
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8

Scholarly Papers (8)

1.

Dynamic Investment Strategies: Portfolio Insurance Versus Efficient Frontier

Number of pages: 27 Posted: 01 Oct 1999
Sergei Esipov and Igor Vaysburd
Quant Isle Ltd. and JP Morgan Securities Inc.
Downloads 2,869 (3,860)
Citation 4

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On the Profit and Loss Distribution of Dynamic Hedging Strategies

Discussion Paper Series No. 9899-03
Number of pages: 24 Posted: 02 Feb 1999
Sergei Esipov and Igor Vaysburd
Quant Isle Ltd. and JP Morgan Securities Inc.
Downloads 2,662 (4,280)
Citation 6

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On the Profit and Loss Distribution of Dynamic Hedging Strategies

International Journal of Theoretical and Applied Finance, Vol. 2, 1999, pp. 131-153
Posted: 02 Feb 1999
Sergei Esipov and Igor Vaysburd
Quant Isle Ltd. and JP Morgan Securities Inc.

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3.

Bid-Ask Spread Formula and Liquidity Cost: Risk and Reward of a Market Maker

Number of pages: 19 Posted: 20 Jul 2000
Sergei Esipov and Alex Morozovsky
Quant Isle Ltd. and Bridge
Downloads 2,596 (4,575)

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4.

Collectively Fluctuating Assets in the Presence of Arbitrage Opportunities and Option Pricing

Number of pages: 10 Posted: 02 Feb 1999
Alexander N. Adamchuk and Sergei Esipov
NAFT and Quant Isle Ltd.
Downloads 2,124 (6,370)
Citation 1

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5.

Arbitrage Relaxation of Instruments with Temporal Constraints

Number of pages: 21 Posted: 01 Jun 1998
NAFT, NAFT and Quant Isle Ltd.
Downloads 1,702 (9,310)

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6.

Portfolio Based Risk Pricing: Pricing Long Term Put Options with Gjr-Garch (1,1)/Jump Diffusion Process

Number of pages: 15 Posted: 02 Jan 1999
Dajiang Guo and Sergei Esipov
Greenwich Capital Markets, Inc. and Quant Isle Ltd.
Downloads 995 (21,475)
Citation 2

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7.

Weakly Inefficient Markets: Stability of High-Frequency Trading Strategies

Tribute to Y.B. Levinson issue. Lithuanian Journal of Physics, Vol. 52, No. 2, pp 102-114 (2012)
Number of pages: 24 Posted: 02 Sep 2010 Last Revised: 25 Jun 2012
Sergei Esipov
Quant Isle Ltd.
Downloads 299 (99,867)
Citation 1

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dynamic investment strategies, risk-return framework, alpha, market efficiency

8.

On Correlations between a Contract and Portfolio and Internal Capital Alliocation

RETHINKING VALUATION AND PRICING MODELS: LESSONS LEARNED FROM THE CRISIS AND FUTURE CHALLENGES, C. Wehn, C. Hoppe, G. Gregoriou, eds., Elseiver, 2012
Posted: 04 Mar 2012 Last Revised: 22 Oct 2013
Sergei Esipov
Quant Isle Ltd.

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Capital allocation, return on capital, value-at-risk, Basel recommendations, Solvency II regulations, default probability, profit and loss distribution, portfolio aggregation