Research

Publications

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

Jump Contagion among Stock Market Indices: Evidence from Option Markets.
(joint work with Peter Boswijk, Roger Laeven and Andrei Lalu)

Latest version / Supplementary Material / SSRN / GitHub

iCOS: Option-Implied COS Method.

Latest version / arXiv

Autoencoder Option Pricing Models.
(joint work with Gustavo Freire)

SSRN

Functional Estimation of Option Pricing Models.
(joint work with Yannick Dillschneider)

Latest version / SSRN

Work in progress

Characteristic Function-Based Factor Modelling of Affine Jump Diffusions Using Options.
(joint work with Peter Boswijk, Roger Laeven and Niels Marijnen)

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)