Grigory Vilkov
Professor of Finance
Frankfurt School of Finance & Management
✉️ vilkov@vilkov.net | g.vilkov@fs.de
- 📄 SSRN Profile
- 📚 Google Scholar
- 🗄️ OSF Profile
🔥 Highlights
- QMOMS Python Package: Implied Moments from Volatility Surface Data on GitHub.
- Featured in FT: Anatomy of the VIX Spike, BIS Bulletin with K. Todorov, Aug 2024.
- R&R at RFS: 0DTEs: Trading, Gamma Risk and Volatility Propagation (with C. Dim, B. Eraker).
Current research agenda
- Deep learning and parametric portfolios.
- Automatic feature discovery for high- and medium-frequency conditional alpha modeling.
- Rough voltility modeling.
- Designing and explaining quantile dispersions.
Research
My research focuses on options markets as sources of forward-looking information — including volatility, skewness, correlation, factor betas, and other variables based on risk-neutral return characteristics — and their role in return and risk predictability. I investigate options markets, including 0DTE options, emphasizing trading rules, gamma exposure, volatility propagation, and study factor and quantile dispersions. In portfolio construction, I work on skew-sensitive allocations driven by forward-looking signals and actively explore new ML/DL approaches to constructing efficient portfolios. With co-authors, we explore asset pricing through narratives and sentiment, using NLP applied to financial news and earnings calls. In climate finance, we study how firm-level exposure to climate-related risks is related to financial risks and real firms’ activity and how it is reflected in asset prices.