Babak Mahdavi-Damghani

University of Oxford - Oxford-Man Institute of Quantitative Finance

United Kingdom

  • University of Oxford - Oxford-Man Institute of Quantitative Finance

SCHOLARLY PAPERS

12

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CITATIONS
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16

Ideas:
“  Deep Neural Networks with constraints  ”

  • University of Oxford - Oxford-Man Institute of Quantitative Finance

Scholarly Papers (12)

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1.

De-Arbitraging with a Weak Smile: Application to Skew Risk

Wilmott Magazine, p. 40, 2013
Number of pages: 10 Posted: 25 Apr 2014 Last Revised: 21 May 2014
Babak Mahdavi-Damghani and Andrew Kos
University of Oxford - Oxford-Man Institute of Quantitative Finance and Credit Suisse AG
Downloads 677 (36,839)
Citation 3

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arbitrage-free volatility surface; Dupire local volatility; Fokker-Planck equation; Kolmogorov forward equation; constraint optimization; search algorithm; butterfly spread; calendar spread; arbitrage frontier; SVI; gSVI; skew risk; Vanna

2.

Introducing the Implied Volatility Surface Parametrization (IVP): Application to the FX Market

Number of pages: 14 Posted: 06 Nov 2015 Last Revised: 07 Nov 2015
Babak Mahdavi-Damghani
University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 530 (50,710)
Citation 4

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IVP; SVI; gSVI; SABR; arbitrage-free volatility surface; positive semi-definite implied correlation matrices; FX; Dupire local volatility; constraint optimization; butterfly spread; calendar spread

3.

The Non-Misleading Value of Inferred Correlation: An Introduction to the Cointelation Model

Wilmott, Volume 2013, Issue 67, pages 50-61, September 2013
Number of pages: 11 Posted: 26 Apr 2014 Last Revised: 21 May 2014
Babak Mahdavi-Damghani
University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 458 (60,953)
Citation 3

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cointelation; inferred correlation; measured correlation; cointegration; correlation term structure

4.

Financial Mathematics or Machine Learning in the context of Portfolio Optimization for Cointelated Pairs? From a solution opposing SDEs to Clustering to one where PDE and Deep Learning are apposed

Number of pages: 18 Posted: 21 Sep 2017 Last Revised: 22 May 2019
Babak Mahdavi-Damghani, Konul Mustafayeva, Stephen Roberts and Cristin Buescu
University of Oxford - Oxford-Man Institute of Quantitative Finance, King's College London, University of Oxford - Oxford-Man Institute of Quantitative Finance and King's College London, Department of Mathematics
Downloads 238 (126,744)
Citation 2

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Cointelation, Portfolio Optimization, Mean- Variance Criterion, Power Utility Maximization, Band-wise Gaussian Mixture, LSTM, Partial Differential Equation, Deep Learning, Cryptocurrency, Bitcoin, Altoin, Pairs Trad- ing.

5.

The Misleading Value of Measured Correlation

Wilmott, Volume 2012, Issue 62, pages 64-73, November 2012
Number of pages: 10 Posted: 15 Feb 2017
Babak Mahdavi-Damghani, Daniella Welch Welch, Ciaran O'Malley and Stephen Knights
University of Oxford - Oxford-Man Institute of Quantitative Finance, None, None and University of Oxford - Department of Economics
Downloads 199 (150,425)
Citation 4

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correlation; cointegration; mean reversion; cointelation

6.

Introducing the HFTE Model: A Multi-Species Predator Prey Ecosystem for High Frequency Quantitative Financial Strategies

Number of pages: 18 Posted: 06 Apr 2017
Babak Mahdavi-Damghani
University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 183 (162,473)
Citation 3

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HFTE Model, High Frequency Financial Funnel, HFFF, Multi-Target Tracking, Stability of Financial Systems, Data Analysis and Patterns in Data, Electronic Trading, Systemic Risk, High Frequency Trading, Game Theory, Machine Learning, Predator Prey Models

7.

Machine Learning Techniques for Deciphering Implied Volatility Surface Data in a Hostile Environment: Scenario Based Particle Filter, Risk Factor Decomposition & Arbitrage Constraint Sampling

Number of pages: 27 Posted: 04 Mar 2018 Last Revised: 26 Jan 2019
Babak Mahdavi-Damghani and Stephen Roberts
University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 156 (186,666)

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Implied Volatility Parametrization (IVP), Volatility Surface, SVI, gSVI, Arbitrage Free Volatility Surface, Fundamental Review of the Trading Book (FRTB)

8.

A Proposed Risk Modeling Shift from the Approach of Stochastic Differential Equation towards Machine Learning Clustering: Illustration with the Concepts of Anticipative & Responsible VaR

Number of pages: 28 Posted: 21 Sep 2017
Babak Mahdavi-Damghani and Stephen Roberts
University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 104 (254,786)
Citation 3

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Stochastic Differential Equation, Gaussian Process, Cointelation, Value at Risk (VaR), Responsive VaR, Stable VaR, Responsible VaR, Anticipative VaR, Anticipatible VaR, Stochastic Differential Equations (SDE), Implied Volatility Parametrization (IVP), High Frequency Trading Ecosystem (HFTE), VAR

9.

Agent-Based Quantitative Financial Strategies & Price Formation: Systems & Evolutionary Dynamics as Deciphering Keys of the High Frequency Trading Ecosystem

Number of pages: 26 Posted: 20 Sep 2017 Last Revised: 10 Aug 2018
Babak Mahdavi-Damghani and Stephen Roberts
University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 93 (274,345)
Citation 1

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High Frequency Trading Ecosystem (HFTE), High Frequency Financial Funnel (HFFF), Multi-Target Tracking (MTT), Stability of Financial Systems, Markov Chain Monte Carlo (MCMC), Reversible-Jump, RJ-MCMC, Data Analysis and Patterns in Data, Electronic Trading, Systemic Risk, High Frequency Trading

10.

A Bottom-up Approach to the Financial Markets: Agent-Based Quantitative Algorithmic Strategies: Ecosystem, Dynamics & Detection

Number of pages: 38 Posted: 13 Feb 2019 Last Revised: 12 Jul 2019
Babak Mahdavi-Damghani and Stephen Roberts
University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 76 (310,308)

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High Frequency Trading Ecosystem (HFTE), High Frequency Financial Funnel (HFFF), Multi-Target Tracking (MTT), Stability of Financial Systems, Markov Chain Monte Carlo (MCMC), Data Analysis and Patterns in Data, Electronic Trading, Systemic Risk, High Frequency Trading, Game Theory, Machine Learning

11.

UTOPE-ia

Wilmott, Volume 2012, Issue 60, pages 28-37, July 2012
Number of pages: 10 Posted: 26 Apr 2014 Last Revised: 06 Apr 2017
Babak Mahdavi-Damghani
University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 61 (349,039)

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Psychology, Apophenia, Unfortunate cosT Of Pattern rEcognition, UTOPE, Behavioural Finance

12.

Convergence of Heston to SVI Proposed Extensions: Rational & Conjecture for the Convergence of Extended Heston to the Implied Volatility Surface Parametrization

Number of pages: 31 Posted: 21 Sep 2017 Last Revised: 30 Aug 2018
Babak Mahdavi-Damghani, Konul Mustafayeva and Stephen Roberts
University of Oxford - Oxford-Man Institute of Quantitative Finance, King's College London and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 53 (373,302)
Citation 1

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Volatility Smile, Implied Volatility Wings, Heston Model, P-Heston, IVP, SVI, Stochastic Volatility, Implied Volatility Surface Parametrization, Asymptotic Convergence, Local Correlation Surface