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Quant Mashup - Artur Sepp
Robust Log-normal Stochastic Volatility for Interest Rate Dynamics [Artur Sepp]
The volatility of interest rates in 2022 has been indeed extreme. In Figure 1, I show the dependence the between the MOVE index (which measures the implied volatility of one-month options on UST bond futures and which is constructed similarly to the VIX index for implied volatilities of the S&P
- 3 weeks ago, 9 Jan 2023, 10:28pm -
Optimal Allocation to Cryptocurrencies in Diversified Portfolios [Artur Sepp]
Cryptocurrencies have been acknowledged as an emerging asset class with a relatively low correlation to traditional asset classes. One of the most important questions for allocators is how much to allocate to Bitcoin and to a portfolios cryptocurrency assets within a broad portfolio which includes
- 4 months ago, 14 Sep 2022, 11:26am -
Log-normal Stochastic Volatility Model [Artur Sepp]
I am introducing my most recent research on log-normal stochastic volatility model with applications to assets with positive implied volatility skews, such as VIX index, short index ETFs, cryptocurrencies, and some commodities. Together with Parviz Rakhmonov, we have extended my early work on the
- 5 months ago, 11 Aug 2022, 11:02am -
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
- 11 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
- 11 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 -

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