I am delighted to share the video from my QuantMinds presentation that I made in Barcelona in December 2021. Many thanks to QuantMinds organizers for allowing me to share this video. First, it was nice to attend the onsite conference in a while and to meet old friends and colleagues. I was

I am excited to share the latest paper with Prof. Alexander Lipton. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4035813 We find the semi-analytical solution to one of the unsolved problems in Quantitative Finance, which is to compute survival probabilities and barrier option values for

Everyone knows that the risk profile of systematic strategies can change considerably when equity markets turn down and volatilities spike. For an example, a smooth profile of a short volatility delta-hedged strategy in normal regimes becomes highly volatile and correlated to equity markets in