South Kensington Campus
Exhibition Road
London, Greater London SW7 2AZ
United Kingdom
Imperial College London
SSRN RANKINGS
in Total Papers Downloads
Market making, algorithmic trading, options, volatility arbitrage, Hamilton–Jacobi–Bellman equation
Inverse options, Perpetual Futures, Deribit exchange, Change of numéraire, Cryptocurrencies JEL Classifications: C02, G12, G23
Fokker-Planck, boundary conditions, reflecting boundary, stochastic volatility
implied volatility, Lee moment formula, normalizing volatility transforms
Implied Volatility, Variance Swap
Automated Market Making, Liquidity Provision, Decentralized Finance, Uniswap, Cryptocurrencies, Impermanent Loss JEL Classifications: C02
implied volatility, no arbitrage bounds
stochastic volatility, Heston model
positive (semi) definite matrix, matrix completion
Machine Learning, Deep Learning, Libor, Libor reform, Median, Quantile, Percentile, RFR, OIS, Risk-Free Rates, Sonia, Fallback, Brownian motion with drift, Fallback Spread, Libor Adjustment Spread
conditional expectation
probability, mathematical probability
Bitcoin options, martingale measure
Log Contract, Moment Formula
implied volatility, options pricing
Mills ratio, Hermite polynomials, Laplace transform
variance swap, log contract, normalizing volatility transforms
