Welcome to the personal page of Behzad Alimoradian
Quantitative structuring
At BAML, I have had a pivotable role in structuring some of the exotic deals, that would have otherwise not happened. This is because the risk at stake is difficult to understand and requires a strong mathematic and economic intuition. Some of these contracts were share buybacks, VWAPs agreements, variable annuities GMWB, and correlation products.
Since joining Valerian Capital Group, I have been working with the partners to set new stable value structures, by optimizing the crediting rate formula, by ensuring that a wider range of pension funds can be wrapped without creating huge tail risk for the insurance company. This lead to working research paper on this field on "asset liability management of stable value funds with a crediting rate formula".
Vol trading automat
Having designed backtests on volatility trading strategies at BAML, I recognized that the vol trading that is being done manually could be automated. this fruited in the software Momentum I built in 2017, a software to study a large number derivative strategies and to select those who meet profitability targets. The backtesting software was also equipped with a complex model for the option trading capital requirement.
A market impact model for the implied vol surface
I am currently working on a project that aims to design an extension of the Black Scholes model, that could ultimately be calibrated to the call and put strip, but does also imply a conditional market impact on the model parameters.
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Information Theory and Market Impact
The market impact theory as I have understood, is not just for illiquid markets, it is actually the foundation of the price movements; any price movements are the results of an imbalance between offers and demands and therefore relate to asymmetric liquidity.
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During a trading day at BAML, one trader asked me "I have a large derivative deal on a stock, I can give a price, but I know that I will impact the market when would start hedging my position.". We recognized that the problem was more interesting and more complex than we initially thought: there was the market impact, but there was also the question of information. The trader does have a stronger knowledge about its own activity than the market. So it automatically put him in a situation that could manipulate the market even if he/she did not intend do so.
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After joining the University of Lyon, I had discussion with Dr Anne Eyraud-Loisel, who has been expert in sthe theory of information in the financial market, and Dr Karim Barigou, who has extensive knowledge on partial hedging and this fruited in a working group on the information theory.
Realized volatility smile
The realized volatility as it is discussed by practitioners does not have comparability and equivalence to the implied volatility. Simply because the latter is a smile, while the former is just a number.