Recent Research

Some remarks on VIX futures and ETPs (Slides of Talk at Princeton ORFE Sep 20, 2017)
Statistics of VIX futures and applications to trading exchange-traded products with A. Papapanicolaou, August 29, 2017 (submitted)
Slides on Active/Passive Investments Mexico AMAFORE Breakfast, June 2017.
Workshop of Central Clearing of Derivatives and Risk-Management (Rio de Janeiro, Nov 2016)
Lecture on Trading Volatility with focus on VIX futures and ETNs (Rio de Janeiro, Nov 2016)
Optimal Portfolio LIquidation and Applications to Macro-Hedging
My presentation on ICEBERG at BDF 2016
Big Data in Finance Conference 2016
Risk Model for RMBS (Buzios, Brazil, 2014)
Derivatives and tax evasion (from senate.gov)
The implied volatility correlation matrix has 108 significant eigenvalues (Talk at ICBI Global Derivatives, May 2014)
Optimal Execution under Liquidity Constraints (Hongsik Kim, PhD Thesis, April 2014)
Modeling systemic risk in the options market (Doris Dobi’s PhD Thesis, April 2014)
Liquidity-adjusted Expected Shortfall (Thesis by Lu Xue, January 16,2014)
Recent Advances in Modeling Liquidity Risk and Applications to Central Clearing (Global Derivatives USA, Nov 2013.)
Hedge Funds 360 (RiskMathics Workshop, June 2013)
Video inteview with Fabio Mercurio at Global Derivatives 2013 (“The era of the pure quant is over”, April 2013)
New techniques for pricing VIX Futures and VXX options (Si Amsterdam m’etait “contangue”, April 2013)
5 Questions for the JPM execs that testified in the Levin subcommittee (March 15, 2013)
Close out risk evaluation (CORE) Managing Simultaneously Liquidity and Market Risk for Central Counterparties (Bloomberg presentation, March 2013)
Close-Out Risk Evaluation (CORE): A New Risk-Management Approach for Central Counterparties White paper (July 2012)
Reducing variance in the numerical solution of BSDEs Work with Samu Alanko on numerical analysis of backward stochastic differential equations (2013)
17 ETF-Friendly Professors I’m ETF friendly! Are you?
Structural Slippage of Leveraged ETFs (July, 2012, co-author: Doris Dobi)
The MF Global Scandal: What went wrong in the belly of the beast? A proposal for upgrading futures clearing to the Ultimate Beneficiary system, which prevents misuse of clients’ funds and other issues (March 27, 2012)
White Paper on regulatory aspects of finance in Argentina and Brazil (December 11, 2011, co-authors: Gaston Besancon and Norberto Caneva)
The importance of quantitative strategies in the current investment landscape (HFT World/Quant Invest 2011, New York Dec 8, 2011)
Interview on Dodd-Frank by Sylvain Cypel in Le Monde (Sep 19, 2011)
The ETF Revolution, International and Brazilian Perspectives, (English) , (Portuguese) (Campos de Jordao, Brazil, August 2011)
The importance of quantitative strategies in the current investment landscape (HFT World/Quant Invest 2011, New York Dec 8, 2011)
Interview on Dodd-Frank by Sylvain Cypel in Le Monde (Sep 19, 2011)
The ETF Revolution, International and Brazilian Perspectives, (English) , (Portuguese) (Campos de Jordao, Brazil, August 2011)
Presentation on Central Clearing and Central Counterparties (slides, Banca IMI May, 2011)
Presentation on Algorithmic & High-Frequency Trading (Quant Congress USA, slides,July 12, 2011)
Finance Concepts’ studies on transparency in OTC derivatives markets; see also press release from ISDA (Fall-Winter, 2010)
To pin or not to pin… that is the question. Review article on stock pinning with some new results (June 2011).
Does Size Matter? Forecasting Prices from Level-I quotes in the Presence of Hidden Liquidity (This version: December 14, 2010)
Matematica, finanza y la cultura del riesgo (in Spanish, MATBAIRES, March 2009)
Avancos recentes na estrutura e modelizacao de Electronic Trading (slides in Portuguese, BM&F Bovespa Conference, Sao Paulo, September 2010)
Stanley Zhang’s thesis: Options on Leveraged ETFs (September 16, 2010)
Seminar Course on Fixed-income and MBS Syllabus (Spring 2010)
Presentation on Statistical Arbitrage and 130/30 funds (Alliance Bernstein investor conference, April 23, 2010)
Counting the beads in the ABACUS CDO. This is how it’s done (by the big boys).
“Doing God’s work”: SEC vs. Goldman Sachs & Co. and Fabrice Tourre
2010 Quant of the Year award from RISK Magazine
Leveraged ETFs: All you wanted to know but were afraid to ask (Risk Professional, February 2010)
Presentation on Leveraged ETFs (slides) (Sept 23, 2009)
Path Dependence of Leveraged ETF Returns (May 15, 2009)
Whistling in the dark: Markopolos’ 2005 Letter to the SEC on Madoff A must-read!
What do Quants have to do with Benard Madoff? (December 15, 2008, in GARP Feb. 2009)
A dynamic model for hard-to-borrow stocks (this version, March 11, 2009)
More downloadable papers and presentations (1994-2008)
Shorting: the math (Forbes, September 25,2008)
Restrictions on Short-Selling are bad for Markets(September 18,2008)
Statistical Arbitrage in the U.S. Equities Market (this version: June 15, 2009), Published version
Hedge-funds: How big is big? (unpublished working paper, 2005)