Skip to main content

Andrei Soklakov

Andrei Soklakov is the Asia-Pacific head of prime and delta-one quantitative analytics at Citibank in Hong Kong.

Follow Andrei

Articles by Andrei Soklakov

Information derivatives

Andrei Soklakov considers the problem of creating derivatives to provide tailored exposure to volatility risk. Information theory leads us to a whole class of such products. This class of 'information derivatives' includes the standard volatility…