Parviz Rakhmonov

Citigroup London

33 Canada Square

London, E14 5LB

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS
Rank 38,392

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Top 38,392

in Total Papers Downloads

1,967

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Log-normal Stochastic Volatility Model with Quadratic Drift: Applications to Assets with Positive Return-Volatility Correlation and to Inverse Martingale Measures

Number of pages: 51 Posted: 11 Nov 2014 Last Revised: 19 Sep 2022
Artur Sepp and Parviz Rakhmonov
Sygnum Bank Asset Management and Citigroup London
Downloads 1,909 (13,231)
Citation 1

Abstract:

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Log-normal stochastic volatility, Non-affine models, Closed-form solution, Moment generating function, cryptocurrency derivatives, Quadratic variance

2.

Robust Log-normal Stochastic Volatility for Interest Rate Dynamics

Number of pages: 20 Posted: 02 Jan 2023 Last Revised: 30 Jan 2023
Artur Sepp and Parviz Rakhmonov
Sygnum Bank Asset Management and Citigroup London
Downloads 58 (537,337)

Abstract:

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Interest rate volatility, log-normal stochastic volatility, Cheyette model