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 geometry of risks and returns
An innovative product design framework and its geometric interpretation is introduced
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…