Oleg Kudryavtsev : Personal page

Doctor of Science in Physics and Mathematics (Habilitation Degree)

Expert in Computational Finance and Applied Mathematics, member of the international research group MathRisk

The author of papers published in journals ranked at levels 3 in the Chartered ABS Academic Journal Guide

The head of research projects supported by the Russian Foundation for Basic Research

Personal Info:

Oleg Kudryavtsev
Date of birth: 17/12/1975
Place of birth: Rostov-on-Don, Russia.
WhatsApp: +7 9034734395
website: https://inwise-systems.com/oleg-kudryavtsev/
e-mail: okudr@mail.ru, koe@donrta.ru
Citizenship: Russia
Languages: Russian, English

Links:

Education:

2012

Doctor of Science in Physics and Mathematics (Habilitation Degree), Central Economics and Mathematics Institute of Russian Academy of Science, Moscow, Russia

Thesis title: Efficient mathematical methods for pricing options in models admitting jumps

2001

Candidate of Science in Physics and Mathematics (Ph.D. Equivalent), Rostov State University, Rostov-on-Don, Russia

Thesis title: Spectral asymptotics for the magnetic Schrodinger operators and representations of nilpotent Lie algebras

1998

M. of Sc. in Mathematics, Diploma with Honor, Rostov State University, Russia

Research Interests

Computational finance, Numerical methods, Levy processes, Machine Learning

Professional Expertise

Teaching Courses

Higher Mathematics, Linear Algebra, Calculus, Theory of Probability and Mathematical Statistics, Optimization Methods, Statistical Analysis with Modern Program Applications, Risk Analysis in Customs Activities, Mathematical Methods of Risk Estimation, Mathematical Finance, Integro-differential Equations arising in Mathematical Finance. PhD’s, Bachelor’s and Master’s thesis advisor.

Computer skills

confident working with MS Word, MS Excel, MS Access, typing scientific texts in LaTeX;

implementing complex computational algorithms on C/C++;

implementing machine learning algorithms with Python;

developing training courses with Moodle.

Research

A system approach in research.

Development of fast and efficient computational algorithms for pricing path-dependent options and risk estimation in models admitting jumps.

Expertise in numerical methods for solving partial integrodifferential equations and computing expectations of stochastic processes admitting jumps (numerical Wiener-Hopf factorization, Monte Carlo methods, finite difference schemes, integral transform methods).

Professional Experience:

2016 – present

Head of the Department, Department of Informatics and Information Customs Technologies, Russian Customs Academy Rostov Branch

2015 – present

Head of research projects on computational finance and mathematical modeling of financial markets, InWise Systems, LLC

2008 – present

Regular collaboration with international research team “MathRisk” at INRIA (the French national institute for research in computer science and control) as a visiting scientist (1-2 months every year). A permanent contributor to the program platform Premia (www.premia.fr) developed by the “MathRisk” team and financially supported by a consortium of French banks (Credit Agricole Corporate and Investment Bank, Natixis and others). Premia is a software designed for option pricing, hedging, and financial model calibration. It is provided with it’s C/C++ source code and extensive scientific documentation.

2014 – 2016

Professor, Department of Informatics and Information Customs Technologies, Russian Customs Academy Rostov Branch

Professor, Department of Algebra and Discrete Mathematics, I.I. Vorovich Institute of Mathematics, Mechanics and Computer Science, Southern Federal University

2012 – 2014

Professor, Department of Informatics and Information Customs Technologies, Russian Academy Rostov Branch

Associate Professor, Department of Mathematics, Mechanics and Computer Science, Southern Federal University

2004 – 2012

Associate Professor, Department of Informatics and Information Customs Technologies, Russian Customs Academy Rostov Branch
Associate Professor, Department of Mathematics, Mechanics and Computer Science, Southern Federal University

1998 — 2004

Assistant Professor, Department of Informatics and Information Customs Technologies, Russian Customs Academy Rostov Branch
Courses: Higher Mathematics, Statistics.

Recent Research Activity

2018-2020

Russian Foundation for Basic Research grant “Numerical methods for contemporary problems of mathematical finance” (project 18-01-00910), head of the project

2019

A contributor to the platform PREMIA 22 (www.premia.fr), MATHRISK project, INRIA, Paris — Rocquencourt, France (July 13 — August 11, 2019):

implementing the Wiener-Hopf Monte Carlo simulation technique for pricing lookback options under Levy processes and implementing optimized finite difference methods for pricing American lookback options

2018

A contributor to the platform PREMIA 21 (www.premia.fr), MATHRISK project, INRIA, Paris — Rocquencourt, France (July 2 — August 3, 2018):

implementing robust frame projection method for pricing barrier options under exponential Levy dynamics

2017

A contributor to the platform PREMIA 20 (www.premia.fr), MATHRISK project, INRIA, Paris — Rocquencourt, France (July 2 — August 1, 2017):

implementing Fourier transform algorithms for pricing and hedging discretely sampled exotic variance products and volatility derivatives under Levy processes and implementing a method for pricing European options by an efficient solution of backward jump-diffusion PIDEs with splitting and matrix exponentials

2016

A contributor to the platform PREMIA 19 (www.premia.fr), MATHRISK project, INRIA, Paris — Rocquencourt, France (July 13 — August 1, 2016):

implementing a method for calculating model-free volatility index taking into account possible price jumps and implementing the improved fast Gauss transform to option pricing under jump-diffusion processes

2015

Development of numerical methods based on the theory of Toeplitz matrices to solve integrodifferential equations (in collaboration with Prof. S. Grudsky) CINVESTAV, Mexico City, Mexico (October 22 — November 8, 2015)

2015

A contributor to the platform PREMIA 18 (www.premia.fr), MATHRISK project, INRIA, Paris — Rocquencourt, France (June 29 — July 29, 2015):

implementing a method for calculating model-free implied volatility in the class of diffusion models and implementing a method for pricing barrier options by transforming the integration contour in the Laplace transform inversion formula and the Wiener-Hopf factorization

2015-2017

Russian Foundation for Humanities grant “Mathematical Methods of Analysis and Risk Management on Russian Stock Market” (project 15-32-01390), head of the project

2014

A contributor to the platform PREMIA 17 (www.premia.fr), MATHRISK project, INRIA, Paris — Rocquencourt, France (July 11 — August 24, 2014):

implementing numerical methods for pricing barrier options: Wiener-Hopf Monte Carlo simulation techniques for Levy processes

2013

A participant of the workshop “Innovation Ecosystems Ideas Lab”, Skolkovo Institute of Science and Technology (in collaboration with Massachusetts Institute of Technology), Moscow, Russia (September 23 — 27, 2013).

An “Ideas Lab” is an intensive interactive workshop designed to produce radically innovative research proposals. Participants from diverse backgrounds and disciplines come together in a creative, free-thinking environment, away from their daily routines and distractions, and immerse themselves in a collaborative process to develop fresh approaches to an important challenge.

2012

A contributor to the platform PREMIA 16 (www.premia.fr), MATHRISK project, INRIA, Paris — Rocquencourt, France (July 12 — August 20, 2012):

implementing numerical methods for pricing options on variance under Levy processes

2011-2012

A contributor to the platform PREMIA 14 (www.premia.fr), MATHRISK project, INRIA, Paris — Rocquencourt, France (July 11 — August 19, 2011), (January 9 — February 8, 2012): implementing numerical FFT-based methods for computing VaR and AVar in Infinitely Divisible Distributions and the author’s Wiener-Hopf factorization method for pricing swing and lookback options under Levy processes

2010-2011

A contributor to the platform PREMIA 13 (www.premia.fr), MATHFI project, INRIA, Paris — Rocquencourt, France (July 3 — August 17, 2010, January 8 — February 7, 2011):

implementing the Wiener-Hopf methods for pricing barrier and American options in the Heston model and implementing an FFT-based backward induction method for option pricing under Levy processes

2010

Developing efficient pricing methods for swing options under Levy models (in collaboration with Dr. A.Zanette) University of Udine, Dipartimento di Finanza dell’Impresa e dei Mercati Finanziari, Italy:

within the framework of the European Science Foundation activity through the Short Visit Grant number 3404 of the program on “Advanced Mathematical Methods in Finance” (AMaMeF)

2009-2010

Russian Federal grant of Rosnauka, Research-educational centers, “Dialog high-level optimizing automatic parallelization and its applications”, the team member

2009-2010

A contributor to the platform PREMIA 12 (www.premia.fr), MATHFI project, INRIA, Paris — Rocquencourt, France (July 6 — August 16, 2009, January 5 — February 4, 2010):

implementing numerical methods for pricing one-touch, barrier, American options under regime switching Levy processes: an approximate Wiener-Hopf factorization

2008-2009

A contributor to the platform PREMIA 11 (www.premia.fr), MATHFI project, INRIA, Paris — Rocquencourt, France (July 17 — August 3, 2008, January 18 — February 15, 2009): implementing numerical methods for pricing one-touch, barrier, American options under Levy processes: an approximate Wiener-Hopf factorization

2007

Inner grant of the Southern Federal University, Russia, 05/6-26, Mathematical Finance in SFU, the team member

2007

Inner grant of the Southern Federal University, Russia, 05/6-148, Teaching and research laboratory of optimization and paralleling programs, the team member

Professional service:

— Review Editor for the Journal Frontiers in Applied Mathematics and Statistics, section Mathematical Finance (Frontiers Media SA, Switzerland)
— Reviewer for international journals on applied mathematics and mathematical finance (Quantitative Finance, Journal of Applied Mathematics and Computing, Journal of Computational and Applied Mathematics, Journal of Applied Mathematics, International Journal of Theoretical and Applied Finance, Communications in Statistics, Journal of Mathematical Analysis and Applications, Statistics and Probability Letters, Journal of Integral Equations and Applications)

Main Resent Presentations:

29 August 2019

“Numerical methods for computing risk measures in Levy models”, International Summer School on Mathematical Finance, Moscow, Moscow School of Economics, August 26–30, 2019

16 July 2019

“Adequate modeling for the dynamics of cryptocurrencies”, International Congress on Industrial and Applied Mathematics, Valencia, Spain, July 15–19, 2019

7 June 2019

“On approaches to pricing European and American lookback options”, plenary talk, 4th International Conference on stochastic methods, Novorossiysk, Russia, June 2–9, 2019

16 May 2019

“New Monte Carlo method for pricing lookback options in Levy models”, Seminar at University of Udine, Udine, Italy

6 December 2018

“Adequate modeling prices of cryptocurrencies” II Open Russian Statistical Congress, talk at the plenary session, Rostov-on-Don, Russia, December 4—6, 2018

9 July 2018

“Adequate modeling for the dynamics of cryptocurrencies”, 29th European Conference on Operational Research (EURO2018), Valencia, Spain, July 8–11, 2018

5 June 2018

“Monte Carlo method and Wiener-Hopf factorization in option pricing problems in Levy models”, Third International Conference on stochastic methods, Novorossiysk, Russia, June 3–9, 2018

17 May 2018

“Numerical methods for pricing options with lookback features under Levy models”, Seminar at University of Udine, Udine, Italy

15 May 2018

“Numerical Wiener-Hopf factorization method for option pricing under Levy models”, Seminar at Polytechnic University of Milan, Milan, Italy

30 May 2017

“Numerical method of liquidity estimation in models admitting jumps”, plenary talk, Second International Conference on stochastic methods, Novorossiysk, Russia, May 25–31, 2017

6 October 2016

“Estimation of financial assets liquidity in Levy models”, plenary talk, The Seventeenth Russian Symposium on Applied and Industrial Mathematics (autumn session), Sochi, Russia, September 30 — October 8, 2016

25 September 2016

“Efficient pricing options in models admitting jumps: a numerical Wiener-Hopf factorization method”, Seminar at New York University Abu Dhabi, Abu Dhabi, United Arab Emirates

1 June 2016

“New approaches to pricing exotic options in Levy models”, plenary talk, International conference on stochastic methods, Novorossiysk, Russia, May 27 -June 3, 2016

15 December 2015

“Efficient Monte Carlo methods for pricing exotic options under Levy processes”, International Conference of Computational Finance, London, United Kingdom, December 14 — December 18, 2015

5 November 2015

“A numerical Wiener-Hopf factorization in mathematical finance problems”, The International Workshop Wiener-Hopf method, Toeplitz operators, and their applications, Veracruz, Mexico, November 3-7, 2015

28 October 2015

“Fast numerical methods to solve partial integrodifferential equations arising in mathematical finance”, Colloquium of Professors, The Department of Mathematics, Cinvestav-IPN, Mexico City, Mexico

24 March 2015

“Efficient pricing options under Levy processes: a numerical Wiener-Hopf factorization method”, 6th Workshop Nonlinear PDEs and Financial Mathematics, University of Applied Sciences Zittau/ Gorlitz, Germany, March 23-27, 2015

2 October 2014

“New Monte Carlo method for pricing options under Levy models”, The Fifteenth Russian Symposium on Applied and Industrial Mathematics (autumn session), Sochi, Russia, September 28 — October 5, 2014

5 June 2013

Efficient pricing functionals of special type arising in mathematical finance at International Conference on Contemporary Methods, Problems and Applications of Operator Theory and Harmonic Analysis III, Rostov-on-Don, Russia, June 3-6, 2013

22 June 2012

“Efficient Pricing of Options with Barrier and Lookback Features under Levy Processes”, (with Sergei Levendorskii) at the Seventh World Congress of the Bachelier Finance Society, Sidney, Australia, June 19-22, 2012

25 April 2011

Approximate Wiener-Hopf factorization in mathematical finance problems at International Conference on Contemporary Methods, Problems and Applications of Operator Theory and Harmonic Analysis, Rostov-on-Don, Russia, April 24-28, 2011

18 October 2010

“Efficient numerical method for pricing barrier options under Levy models”, The Eleventh Russian Symposium on Applied and Industrial Mathematics (autumn session), Sochi, Russia, October 16-19, 2010

7 May 2010

Efficient pricing barrier options under Levy models» the Fifth General Conference on Advanced Mathematical Methods in Finance Hotel Golf, Bled, Slovenia, May 3 — 9, 2010.

3 May 2010

Efficient pricing barrier options under Levy models», Seminar at Dipartimento di Finanza dell’Impresa e dei Mercati Finanziari, Udine University, Udine, Italy

29 January 2010

“Efficient pricing options under regime switching”, Seminar “Stochastic methods in finance” at University Paris-Est-Marne-la-Vall´ee, Paris, France

11 February 2009

“Fast pricing American and barrier options under Levy processes”, the PREMIA meeting at Institute of Louis Bachelier, Paris, France

6 February 2009

“Fast and accurate pricing American and barrier options based on Wiener-Hopf factorization method”, Seminar “Stochastic methods in finance” at University Paris-Est-Marne-la-Vall´ee, Paris, France

16 July 2008

“Fast and Accurate Pricing of Barrier Options Under Levy Processes”, (with Sergei Levendorskii) at the Fifth World Congress of the Bachelier Finance Society, London, United Kingdom

Main publications

Monographs and Chapters in monographs

[1] Kudryavtsev O. and Zanette A. Efficient Pricing of Swing Options in Levy-Driven Models // Commodities/eds. M. A. H. Dempster, Ke Tang. Chapman and Hall/CRC Financial Mathematics Series, London, 2015, Ch.28, p.607-620.

[2] Kudryavtsev, O., Rodochenko, V. A Numerical Realization of the Wiener–Hopf Method for the Kolmogorov Backward Equation. In: Karapetyants A., Kravchenko V., Liflyand E. (eds) Modern Methods in Operator Theory and Harmonic Analysis. OTHA 2018. Springer Proceedings in Mathematics & Statistics, vol 291. Springer, Cham, 2019, pp. 399-426.

[3] Кудрявцев, О. Е. Эффективные методы вычисления цен опционов. Модели, допускающие скачки: монография / О. Е. Кудрявцев // Palmarium Academic Publishing, 2012. — 260 с. (Efficient methods for pricing options. Models admitting jumps.-Monography, by Oleg Kudryavtsev, In Palmarium Academic Publishing.-2012.- 260 p.)

[4] Кудрявцев, О. Е. Современные численные методы решения интегро-дифференциальных уравнений, возникающих в приложениях: монография / О. Е. Кудрявцев // М.: Вузовская книга, 2010. — 144 с. (Modern numerical methods for solving of partial integrodifferential equations arising in applications.-Monograph, by Oleg Kudryavtsev, Moscow, Vuzovskaya kniga, 2010. — 144 p.)

[5] Гамидуллаев, С. Н. Современные методы оценки и анализа рисков в таможенной деятельности : монография / С. Н. Гамидуллаев, О. Е. Кудрявцев, И. В. Хоршева. – М.: Вузовская книга, 2011. — 152 с. (Modern numerical methods for risk estimation and analysis in customs activity.-Monograph, by S. Gamidullaev, O. Kudryavtsev, I. Khorsheva, Moscow, Vuzovskaya kniga, 2011. — 152 p.)

Papers in the international peer-reviewed journals

[6] Kudryavtsev, O. E. Spectral Asymptotics for Magnetic Schrodinger Operators and Nilpotent Lie Algebras // Doklady Mathematics. 2002 Vol. 65, No. 1, P. 16-18.

[7] Kudryavtsev, O., Levendorskii, S. Pricing of first touch digitals under normal inverse Gaussian processes // International Journal of Theoretical and Applied Finance. 2006. – Vol. 9. – № 6. P. 915-949.

[8] Levendorskii, S., Kudryavtsev, O., Zherder, V. The relative efficiency of numerical methods for pricing American options under Levy processes // Journal of Computational Finance. 2006, Vol. 9, No. 2, P. 69–97.

[9] Kudryavtsev, O., Levendorskii, S. Fast and accurate pricing of barrier options under Levy processes // Finance and Stochastics. 2009, Vol. 13, No. 4, P. 531–562.

[10] Kudryavtsev, O.Ye. An efficient numerical method to solve a special class of integrodifferential equations relating to the Levy models // Mathematical Models and Computer Simulations. 2011, Vol. 3, No. 6, P. 706-711.

[11] Kudryavtsev, O., Zanette, A. Efficient pricing of swing options in Levy-driven models // Quantitative Finance. 2013, Vol.13.-No. 4. P. 627–635.

[12] Kudryavtsev, O. Finite Difference Methods For Option Pricing Under Levy Processes: Wiener- Hopf Factorization Approach // The Scientific World Journal. Vol. 2013, Article ID 963625, 12 pages, 2013.

[13] Kudryavtsev, O. E. Advantages of the Laplace transform approach in pricing first touch digital options in Levy-driven models // Boletin de la Sociedad Matematica Mexicana. 2016, Vol. 22, No. 2, P. 711–731.

[14] Kudryavtsev, O., Rodochenko, V. A Wiener-Hopf factorization approach for pricing barrier options in the Heston model // Applied Mathematical Sciences. — 2017. -Vol. 11, N2. P. 93-100.

[15] Kudryavtsev, O., Rodochenko, V. On a numerical method for solving integrodifferential equations with variable coefficients with applications in finance // J. of Phys.: Conf. Series. 2018, Vol. 973, No. 1.-012054.

[16] Kudryavtsev, O., Rodochenko, V. On using convolutions with exponential distributions for solving a Kolmogorov backward equation // J. of Phys.: Conf. Series. 2019, Vol. 1203, No. 1.-012101.

[17] Kudryavtsev, O. E. Approximate Wiener–Hopf Factorization and Monte Carlo Methods for Levy Processes // Theory of Probability & Its Applications. 2019, Vol. 64, No. 2, pp. 186–208.

Preprints in the international research centers

[18] Kudryavtsev, O., Levendorskii, S. Comparative study оf first touch digitals: normal inverse Gaussian vs. Gaussian Modelling // Centre for Mathematical Physics аnd Stochastics Department оf Mathematical Sciences, University оf Aarhus, Research Report 33. – 2002.

[19] Kudryavtsev, O., Levendorskii, S. Fast and Accurate Pricing of Barrier Options Under Levy Processes // Research Report № 6670, Institut National de Recherche en Informatique et en Automatique, Paris — Rocquencourt. – October, 2008.

[20] Kudryavtsev, O. Efficient pricing options under regime switching //Research Report № 7184. Institut National de Recherche en Informatique et en Automatique, Paris — Rocquencourt. – January 2010.

[21] Kudryavtsev, O., Zanette, A. Efficient pricing of Swing options in Levy-driven models //Working Paper 1-2010, Dipartimento di Finanza dell’Impresa e dei Mercati Finanziari, Udine University (Italy), 2010.

[22] Kudryavtsev, O. E. An implementation of the Wiener-Hopf factorization into finite difference methods for option pricing under Levy processes //Research Report № 7873. Institut National de Recherche en Informatique et en Automatique, Paris — Rocquencourt. – February, 2012.

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