Alexey Medvedev

Lombard Odier & Cie

Quant portfolio manager

11 rue de la Corraterie

1211 Geneva 11

Switzerland

SCHOLARLY PAPERS

12

DOWNLOADS
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Top 7,491

in Total Papers Downloads

5,840

CITATIONS
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SSRN RANKINGS

Top 11,540

in Total Papers Citations

35

Scholarly Papers (12)

1.

Pricing American Options under Stochastic Volatility and Stochastic Interest Rates

Swiss Finance Institute Research Paper No. 07-25
Number of pages: 34 Posted: 01 Mar 2007 Last Revised: 21 Sep 2009
Alexey Medvedev and O. Scaillet
Lombard Odier & Cie and University of Geneva GSEM and GFRI
Downloads 1,130 (17,519)
Citation 7

Abstract:

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American options, stochastic volatility, stochastic interest rates, asymptotic approximation.

Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility

Swiss Finance Institute Research Paper No. 06-8
Number of pages: 45 Posted: 21 Jun 2006
Alexey Medvedev and O. Scaillet
Lombard Odier & Cie and University of Geneva GSEM and GFRI
Downloads 684 (35,396)
Citation 18

Abstract:

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Option pricing, stochastic volatility, asymptotic approximation, jump-diffusion

Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility

The Review of Financial Studies, Vol. 20, Issue 2, pp. 427-459, 2007
Posted: 17 Jul 2008
Alexey Medvedev and O. Scaillet
Lombard Odier & Cie and University of Geneva GSEM and GFRI

Abstract:

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3.

Efficient Integration of Risk Premia Exposures into Equity Portfolios

Number of pages: 21 Posted: 01 Feb 2015 Last Revised: 10 Sep 2016
Benoit Vaucher and Alexey Medvedev
Lombard Odier & Cie and Lombard Odier & Cie
Downloads 653 (38,231)

Abstract:

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equity factor premiums, factor investing, portfolio construction, portfolio allocation, risk parity, risk-based portfolio management, low-beta, value,quality, equities, mutual fund

4.

Risk Parity with Flexible Views

Number of pages: 22 Posted: 10 Jan 2015 Last Revised: 12 Feb 2015
Alexey Medvedev
Lombard Odier & Cie
Downloads 526 (50,698)

Abstract:

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Risk parity, expected returns, views, ambiguity, asset allocation

5.

Implied Volatility at Expiration

Swiss Finance Institute Research Paper No. 08-04
Number of pages: 26 Posted: 04 Feb 2008
Alexey Medvedev
Lombard Odier & Cie
Downloads 509 (52,801)

Abstract:

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Option pricing, stochastic volatility, implied volatility, short-maturity, asymptotics

6.

Asymptotic Methods for Computing Implied Volatilities Under Stochastic Volatility

NCCR-Finrisk Working Paper No. 204
Number of pages: 38 Posted: 15 Feb 2005
Alexey Medvedev
Lombard Odier & Cie
Downloads 490 (55,421)
Citation 1

Abstract:

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Option pricing, stochastic volatility, local volatility, implied volatility, short term asymptotics

7.

A Simple Robust Methodology for Incorporating Views on Expected Returns into the Portfolio Construction Process

Number of pages: 21 Posted: 19 May 2015 Last Revised: 30 Jun 2015
Alexey Medvedev
Lombard Odier & Cie
Downloads 446 (62,291)

Abstract:

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Expected returns, views, asset allocation, robust approach, mean-variance

8.

A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics

Number of pages: 56 Posted: 14 Dec 2003
Alexey Medvedev and O. Scaillet
Lombard Odier & Cie and University of Geneva GSEM and GFRI
Downloads 441 (63,148)
Citation 9

Abstract:

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Option pricing, stochastic volatility, asymptotic approximation, jump-diffusion

9.

A 'Smart' Alpha Overlay

Number of pages: 13 Posted: 17 Sep 2015
Alexey Medvedev and Thierry Michel
Lombard Odier & Cie and Lombard Odier & Cie
Downloads 421 (66,780)

Abstract:

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asset allocation, portfolio construction, alpha overlay, active views, minimum risk, expected returns

10.

Tractable Robust Drawdown Management

Number of pages: 19 Posted: 08 Sep 2016 Last Revised: 21 Sep 2016
Alexey Medvedev
Lombard Odier & Cie
Downloads 251 (118,956)

Abstract:

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Maximum Drawdown, Robust Optimization, Prior Free, Dynamic Allocation, Risk Management

11.

Risk-Parity and Ambiguity

Number of pages: 24 Posted: 20 Jun 2014 Last Revised: 31 Dec 2014
Alexey Medvedev
Lombard Odier & Cie
Downloads 209 (142,435)

Abstract:

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Risk parity, ambiguity, asset allocation, minimum variance, approximation

12.

Robust Portfolio Insurance: Maximum Protection with Minimum Assumptions

Number of pages: 19 Posted: 04 Jan 2018 Last Revised: 01 May 2019
Alexey Medvedev
Lombard Odier & Cie
Downloads 80 (298,408)

Abstract:

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portfolio insurance, maximum drawdown, options, robust optimisation, CPPI, OBPI