Research
Working papers
iCOS: Option-Implied COS Method.
Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation. (joint work with Peter Boswijk and Roger Laeven)
Jump Contagion among Stock Market Indices: Evidence from Option Markets.
(joint work with Peter Boswijk, Roger Laeven and Andrei Lalu)
Work in progress
Characteristic Function-Based Factor Modelling of Affine Jump Diffusions Using Options.
(joint work with Peter Boswijk, Roger Laeven and Niels Marijnen)
Autoencoder Option Pricing Models.
(joint work with Gustavo Freire)
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)