1 citations · 1 across the 3 of their papers we have counts for
3 papers
q-fin.MF2025
Jump risk premia in the presence of clustered jumps
Francis Liu, Natalie Packham, Artur Sepp
This paper presents an option pricing model that incorporates clustered jumps using a bivariate Hawkes process. The process captures both self- and cross-excitation of positive and…
q-fin.CP2022★ 1 cited
Toward an efficient hybrid method for pricing barrier options on assets with stochastic volatility
Alexander Lipton, Artur Sepp
We combine the one-dimensional Monte Carlo simulation and the semi-analytical one-dimensional heat potential method to design an efficient technique for pricing barrier options on…
q-fin.TR2021
Automated Market-Making for Fiat Currencies
Alex Lipton, Artur Sepp
We present an automated market-making (AMM) cross-settlement mechanism for digital assets on interoperable blockchains, focusing on central bank digital currencies (CBDCs) and stab…