Quant Mashup - Artur Sepp
Developing systematic smart beta strategies for crypto assets [Artur Sepp]
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
- 3 months ago, 23 Feb 2022, 07:35pm -
Toward an efficient hybrid method for pricing barrier options [Artur Sepp]
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
- 3 months ago, 23 Feb 2022, 07:33pm -
Tail risk of systematic investment strategies and risk-premia alpha [Artur Sepp]
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
- 3 years ago, 9 Apr 2019, 02:22pm -