Andrei Soklakov

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

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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…

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