Research
Publications
Boswijk, H. P., Laeven, R. J. A., Lalu, A., and Vladimirov, E. (2026). Jump Contagion among Stock Market Indices: Evidence from Option Markets, Journal of the American Statistical Association, Forthcoming
Boswijk, H. P., Laeven, R. J. A. and Vladimirov, E. (2024). Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation, Journal of Econometrics, 244(1).
JoE / Working version / arXiv / Julia Code
Working papers
Characteristic Function-Based Estimation of Option Pricing Models.
(joint work with Yannick Dillschneider)
Autoencoder Option Pricing Models.
(joint work with Gustavo Freire)
iCOS: Option-Implied COS Method.
Work in progress
Characteristic Function-Based Factor Modelling of Affine Jump Diffusions Using Options.
(joint work with Peter Boswijk, Roger Laeven and Niels Marijnen)
An Extended Score-Driven Dynamic Factor Model: Recovering Composite Indicators from the Pandemic. (joint work with Mariia Artemova and Dick van Dijk)
Pre-graduate publications
Mapping the stocks in MICEX: Who is central in the Moscow Stock Exchange? Economics of Transition and Institutional Change, 28(4), 581-620, 2020 (joint work with Hakan Eratalay)
Systemic Risk of the Russian Economy, Finance and Business, 2017 (in Russian)