Research

• Vola Dynamics’ Greatest Hits
  LinkedIn, September 2021
• GameStop options trading during the short squeeze
  LinkedIn, February 2021
• SPX vol surfaces during the 2020 Coronavirus Crash
  LinkedIn, March 2020
• Spot-Vol Dynamics and Deltas for SPX Options [pdf]
  LinkedIn, January 2020
• AAPL, FB vol curves around earnings
  LinkedIn, January 2019
• The Global Volatility Summit New York happens on March 13, 2019
  LinkedIn, January 2019
• Pot is hot: Having fun with TLRY options and borrows
  LinkedIn, Sep 2018
• Option market thinks there is a 16% change that Tesla will not exist in January 2020 (part 2)
  LinkedIn, July 2018
• Option market thinks there is a 16% change that Tesla will not exist in January 2020
  LinkedIn, July 2018
• Volatility Surface Fitting Buy vs Build
  LinkedIn, June 2018
• The Most Interesting Volsurface in the World
  LinkedIn, June 2018
• Vol Dynamics Releases Vol Derivatives Module
  LinkedIn, May 2018
• How does a Bitcoin volatility curve look like?
  LinkedIn, October 2017
• Are you in the options business -- then ask yourself these questions
  LinkedIn, September 2017
• "Your Curves work like magic"
  LinkedIn, July 31, 2017
• TABB piece on the history of volatility modeling among OMM
  TABB Forum, May 18, 2017
• LinkedIn article on options market structure and intro to the TABB piece
  LinkedIn, May 18, 2017
• Valuing options on leveraged ETFs
  LinkedIn, March 8, 2017
• How dividends impact options greeks
  LinkedIn, October 14, 2016

• The Swiss Army Knife of Options Analytics,
  Profile of Vola Dynamics, Wilmott Magazine, January 2020
• Vola was at the GVS 2019
  GVS, March 13, 2019
• How S&P 500 options may be used to manipulate VIX ‘fear gauge’
  MarketWatch, June 19, 2017
• 18 Startups Bringing New Products and Services to the Derivatives Markets
  MarketVoice, December 5, 2016
• FIA announces 18 companies selected for Innovators Pavilion
  FIA, September 15, 2016

• Robust Options Valuation and Risk Management Workflows with Vola Dynamics Analytics
  Quant Insights 2021 conference, October 28, 2021
• Optimal Portfolio Construction and Risk Premia in Options Markets
  Quant Insights 2021 conference, October 27, 2021
• Navigating New Waters of Extreme Change in Quant Finance
  Quant Insights 2021 conference, May 2021
• The New World of Options Trading: Valuation, Risk and Robust Workflows
  Quant Insights 2021 conference, May 2021
• Tools for Options Trading in a Crazy World
  MathFin Conference 2021, March 16, 2021
• Tools for Options Trading in the New World - A Report from the Cutting Edge
  Quant Insights 2020 conference, November 12, 2020
• Arbitrage-Free Parametric Implied Volatility Surfaces and Real-Time Fitting
  Global Derivatives conference, November 2, 2017
• Arbitrage-Free Parametric Implied Volatility Surfaces and Real-Time Fitting
  Risk Quant Summit USA conference, June 2017
• Equity Implied Vols for All, Part 2: Implied Volatility Curve Design and Fitting
  Columbia University, Practitioners Seminar, March 24, 2016
• High Performance Options Analytics and Volatility Modeling
  Columbia University, Algorithmic Trading Class, April 13, 2016
• Equity Implied Vols for All, Part 1: Pricing with Cash Dividends
  Columbia University, Financial Engineering Seminar, November 16, 2015

• Pricing Vanilla Options with Cash Dividends
  Available at SSRN, July 2015
• Necessary and Sufficient No-Arbitrage Conditions for the SSVI/S3 Volatility Curve
  Available at SSRN, February 2016

Earlier Articles about Pricing Models and Algorithms

• Simple, Fast and Flexible Pricing of Asian Options
  Journal of Computational Finance, 4(3) 89-124 (2001)
• Pricing Variance Swaps with Cash Dividends
  Wilmott Journal, 1(4) 173-177 (2009)
• Symmetries in Jump-Diffusion Models with Applications in Option Pricing and Credit Risk
  International Journal of Theoretical and Applied Finance, 6(2) 135-172 (2003)
• Scaling Invariance and Contingent Claim Pricing
• International Journal of Theoretical and Applied Finance, 4(1) 1-21 (2001)
• Scaling Invariance and Contingent Claim Pricing II: Path-Dependent Contingent Claims
• International Journal of Theoretical and Applied Finance, 4(1) 23-43 (2001)
• Asians and Cash Dividends: Exploiting Symmetries in Pricing Theory
  Available at SSRN, arxiv.
• Tradable Schemes
  Available at SSRN, arxiv.
• Converting the Reset
  Available at SSRN, arxiv.