ACADEMIC RESEARCH INTEREST
My research area is Quantitative Finance with focus on pricing and calibration of quantitative models applied in Finance. I am particularly interested in model implementation. I am very keen in developing models that capture new phenomena in financial markets such as the observed market basis spread and roughness behaviour in market volatility.
PAPERS
1. M. Alfeus and C. Nikitopoulos "Forecasting commodity markets volatility: HAR or Rough?"
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3520500 (submitted to Journal of Commodity Markets)
2. M. Alfeus and S. Kannan "Spread Option Pricing on Single-Core and Parallel Computing Architectures"
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3457036 (Accepted as a book chapter on Real Perspective of Fourier Transforms - IntechOpen)
3. M. Alfeus, H. Xe and S. Zhu "Regularization Effect on Model Calibration"
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3515199 (Submitted to Journal of Risks)
4. M. Alfeus, H. Xe and S. Zhu " An Empirical Study of the Option Pricing Formula with the Underlying Banned from Short Sell"
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3478355 (Submitted to Journal of Financial Markets)
5. M. Alfeus, M. Grasselli and E. Schlogl " Polynomial++ Term Structure Model", work in progress
6. M. Alfeus, M. Grasselli and E. Schlogl "A Consistent Stochastic Model Of The Term Structure Of Interest Rate For Multiple Tenors" (JEDC)
https://www.sciencedirect.com/science/article/pii/S0165188920300312
7. M. Alfeus and E. Schlogl "On Spread option pricing using two-dimensional Fourier transform" (IJTAF)
https://www.worldscientific.com/doi/10.1142/S0219024919500237
8. M. Alfeus and E. Schlogl "On Numerical Methods For Spread Options"
papers.ssrn.com/sol3/papers.cfm?abstract_id=3099902
9. M. Alfeus, L. Overbeck and Erik Schlogl "Regime Switching Rough Heston Model"
papers.ssrn.com/sol3/papers.cfm?abstract_id=3086467 (Published in the Journal of Futures Markets)
10. M. Alfeus, F. Korula, M. Lopes, A. Soane and T. MacWater "Rough Volatility"
acqufrr.co.za/Docs/2017_Financial_Mathematics_Team_Challenge_Research_Reports.pdf
11. M. Alfeus and P. Ouwehand "Valuation Methods For The Levy HJM Model"
www.researchgate.net/publication/269313831_Valuation_methods_for_the_Levy_HJM_model
My research area is Quantitative Finance with focus on pricing and calibration of quantitative models applied in Finance. I am particularly interested in model implementation. I am very keen in developing models that capture new phenomena in financial markets such as the observed market basis spread and roughness behaviour in market volatility.
PAPERS
1. M. Alfeus and C. Nikitopoulos "Forecasting commodity markets volatility: HAR or Rough?"
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3520500 (submitted to Journal of Commodity Markets)
2. M. Alfeus and S. Kannan "Spread Option Pricing on Single-Core and Parallel Computing Architectures"
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3457036 (Accepted as a book chapter on Real Perspective of Fourier Transforms - IntechOpen)
3. M. Alfeus, H. Xe and S. Zhu "Regularization Effect on Model Calibration"
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3515199 (Submitted to Journal of Risks)
4. M. Alfeus, H. Xe and S. Zhu " An Empirical Study of the Option Pricing Formula with the Underlying Banned from Short Sell"
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3478355 (Submitted to Journal of Financial Markets)
5. M. Alfeus, M. Grasselli and E. Schlogl " Polynomial++ Term Structure Model", work in progress
6. M. Alfeus, M. Grasselli and E. Schlogl "A Consistent Stochastic Model Of The Term Structure Of Interest Rate For Multiple Tenors" (JEDC)
https://www.sciencedirect.com/science/article/pii/S0165188920300312
7. M. Alfeus and E. Schlogl "On Spread option pricing using two-dimensional Fourier transform" (IJTAF)
https://www.worldscientific.com/doi/10.1142/S0219024919500237
8. M. Alfeus and E. Schlogl "On Numerical Methods For Spread Options"
papers.ssrn.com/sol3/papers.cfm?abstract_id=3099902
9. M. Alfeus, L. Overbeck and Erik Schlogl "Regime Switching Rough Heston Model"
papers.ssrn.com/sol3/papers.cfm?abstract_id=3086467 (Published in the Journal of Futures Markets)
10. M. Alfeus, F. Korula, M. Lopes, A. Soane and T. MacWater "Rough Volatility"
acqufrr.co.za/Docs/2017_Financial_Mathematics_Team_Challenge_Research_Reports.pdf
11. M. Alfeus and P. Ouwehand "Valuation Methods For The Levy HJM Model"
www.researchgate.net/publication/269313831_Valuation_methods_for_the_Levy_HJM_model