How can the application of computational finance and statistics contribute to the understanding of stock market volatility? That question raised a debate in the first Research Seminar of this semester, organized by the Institute of Finance at Corvinus University of Budapest on the 18th of September 2023. The event hosted Dr. Slavi Georgiev, an Assistant Professor and Researcher in applied mathematics and statistics, from the Institute of Mathematics and Informatics, Bulgarian Academy of Sciences.
The presentation delivered by Dr. Slavi Georgiev covered the topic “two numerical approaches to identify time-dependent implied volatility from option quotes”, based on research that he has been developing in the past six years. These approaches hold practical relevance within computational finance, particularly in risk management and insurance.
According to the researcher, the models showed robustness when tested with synthetic and real data, determining the volatility in a close-related path as that found in the market. You can find more details about his models in the publications available on his Google Scholar page.
Besides researching the stock market, Dr. Slavi has recently been dedicated to health-related financial topics, including epidemic modeling and the financial losses generated by the pandemic of COVID-19. During his pandemic research, he developed a mathematical model to study COVID-19 dissemination and figured out a way to estimate how fast the virus spreads and how quickly people recover, thus evaluating estimated economic losses caused by the public health problem.
In addition to his academic roles, Dr. Slavi also serves as a Co-founder and Senior Scientist at QuantSoft, a firm specializing in the exploration of trading strategies tied to volatility, relative value, and options trading. His work involves rigorous statistical analysis of market data, aimed at recognizing trading opportunities and optimizing portfolio performance.
The Institute of Finance anticipates hosting more informative events in the future with researchers from several countries, fostering an environment of continuous learning and collaboration within the financial community at an international level. You can consult their upcoming Research Seminars on this page and attend them face-to-face at Corvinus or via Microsoft Teams.