ARTUR SEPP
Bank of America Merrill Lynch, Equity Derivatives Analytics, London
E-mail: artur_sepp at ml.com
PAST
Merrill Lynch, Credit Derivatives Analytics,
Bear Stearns, Structured Equity Products,
PUBLICATIONS
Dynamic Credit Models (with Stewart
Inglis, Alex Lipton, and Ioana Savescu), Statistics
and Its Interface, 1(2), 2008, 211-227
Stochastic volatility models and Kelvin waves (with Alex Lipton), Journal Of Physics A: Mathematical and Theoretical, 41, 344012, 2008
Pricing Options on Realized Variance in the
Heston Model with Jumps in Returns and Variance, Journal of
Computational Finance, 11(4), 2008, 33-70
VIX Options Pricing in a Jump-Diffusion Model, Risk Magazine, April 2008, 84-89
Variance Swaps under no Conditions, Risk Magazine, March 2007, 82-87
Extended CreditGrades Model with Stochastic
Volatility and Jumps, Wilmott
Magazine, September 2006, 50-62
Pricing European-Style Options under Jump Diffusion
Processes with Stochastic Volatility: Applications of Fourier Transform
(with Raul Kangro and Kalev Parna), Acta et Commentationes Universitatis
Tartuensis de Mathematica, 8, 2004, 123-133
Analytical Pricing of Double-Barrier Options
under a Double-Exponential Jump Diffusion Process: Applications of Laplace
Transform, International
Journal of Theoretical and Applied Finance, 7(2), 2004, 151-175
Option Pricing with Jumps
(with Igor Skachkov), Wilmott
Magazine, November 2003, 50-58
Fourier Transform for Option Pricing under
Affine Jump-Diffusions: An Overview, September 2003
DISSERTATION
Affine Models in Mathematical Finance: an
Analytical Approach, PhD Thesis,
PRESENTATIONS
Volatility products and Default Risk
(Quant Congress Europe), November 14-15, 2007