Konul Mustafayeva

King's College London

Strand

London, England WC2R 2LS

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

316

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Portfolio Optimization for Cointelated Pairs: Financial Mathematics or Machine Learning?

Number of pages: 20 Posted: 21 Sep 2017 Last Revised: 30 Jul 2019
University of Oxford - Oxford-Man Institute of Quantitative Finance, King's College London, King's College London, Department of Mathematics and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 262 (118,255)
Citation 2

Abstract:

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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 Trading

2.

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 54 (378,119)
Citation 1

Abstract:

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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