Mikhail Deryabin

Nordea Markets, FX Options

Dr. Mikhail Deryabin is Head of Complex Risk team in FX Options Trading unit of Nordea Markets. Mikhail is responsible for pricing and hedging exotic FX options, as well as development of trading models, infrastructure and analytical tools for the trading desk. Before joining Nordea Mikhail worked as a senior quant at DONG Energy Markets, where he developed cross-asset option pricing models, and at algo-trading team in Saxo Bank. Mikhail has PhD in mathematics and physics from Moscow State University.

Articles by Mikhail Deryabin

Original research

Local variance gamma revisited

In this paper, the authors propose a new method of constructing volatility surfaces for foreign exchange options.

30 Aug 2017