38 citations · 44 across the 17 of their papers we have counts for
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q-fin.PR2016
Robust Trading of Implied Skew
Sergey Nadtochiy, Jan Obloj
In this paper, we present a method for constructing a (static) portfolio of co-maturing European options whose price sign is determined by the skewness level of the associated impl…
q-fin.TR2016★ 1 cited
Endogenous Formation of Limit Order Books: Dynamics Between Trades
Roman Gayduk, Sergey Nadtochiy
In this work, we present a continuous-time large-population game for modeling market microstructure betweentwo consecutive trades. The proposed modeling framework is inspired by ou…