Working papers

Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation. (joint work with Peter Boswijk and Roger Laeven)

Latest version / arXiv / Julia Code

iCOS: Option-Implied COS Method.

Latest version / arXiv

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

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)