معرفی
Prof. Grigory Vilkov is a Professor of Finance at Frankfurt School of Finance & Management. His research focuses on options markets, volatility dynamics, climate finance, and machine learning applications in finance. He develops quantitative tools like the qmoms Python package for analyzing volatility surfaces. Key research areas include gamma risk, 0DTE options trading, and climate-related financial risk. He collaborates on projects like the BIS Bulletin (2024) and studies firm-level climate exposure. His work bridges theoretical finance with practical applications in portfolio construction and risk management.
Research interests span options-implied moments, factor dispersions, and narrative-driven asset pricing using NLP. He has published in top journals like Review of Financial Studies and maintains active data repositories on OSF. His current projects explore ML/DL for portfolio optimization and automatic feature discovery in financial data.
