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