Andrey Pogudin is a financial market practitioner with interests both in modelling traditional asset classes and cryptocurrencies. He studied at Moscow Institute of Physics and Technology and graduated with a distinction in Applied Mathematics and Physics. After obtaining his MBA degree from Georgetown University in the US, he pursued a career in financial markets working at various banks and asset management companies as a Quantitative Researcher and a Portfolio Manager in London. His main specialisation is fixed income and foreign exchange markets. Andrey also holds an MSc in Mathematical Finance from Oxford University. He has pursued a PhD degree in Financial Mathematics at King’s College London. He is the author of several articles on interest rates and volatility modelling in some of the leading financial journals. Andrey’s interests also include skiing and mountaineering, including a first ascent of a peak in the Arctic. Twitter: @PogudinAndrey.
The authors explore the effects of market capitalization on the dynamics of cryptocurrencies within both returns and volatility networks and show that these cryptocurrencies exhibit scaling properties in volatility with respect to market capitalization.
Riccardo Rebonato, Andrey Pogudin and Richard White examine the hedging performance of the SABR and LMM-SABR models using real market data. As a by-product, they gain indirect evidence about how well specified the two models are. The results are…