Konul Mustafayeva

King's College London, Department of Mathematics

Strand

London, England WC2R 2LS

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

85

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

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, Department of Mathematics and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 60 (385,476)
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

2.

Portfolio Optimization for Cointelated Pairs: SDEs vs Machine Learning

Number of pages: 47 Posted: 24 Feb 2020
University of Oxford - Oxford-Man Institute of Quantitative Finance, King's College London, Department of Mathematics, King's College London, Department of Mathematics and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 25 (532,549)

Abstract:

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Pairs Trading, Cointelation, Portfolio Optimization, Stochastic Control, Band-wise Gaussian Mixture, Deep Learning