Marina Zhuravleva

Marina Zhuravleva

Financial mathematics

Estudiante de quinto año en la Universidad Técnica Estatal Bauman de Moscú (Sistemas de Control Automático), especializada en matemáticas financieras. Experiencia en la calibración de modelos de volatilidad estocástica (Heston) y volatilidad local (Dupire), valoración justa de opciones, incluidas las exóticas, mediante fórmulas analíticas y de Montecarlo, reducción de errores de cobertura y exposición a modelos LSV.

Articles

Inside Our House Algorithm: HRP + Long/Short + CVaR with Hull-White

Inside Our House Algorithm: HRP + Long/Short + CVaR with Hull-White

A deep dive into Pipeline — the composite allocation algorithm we built on top of HRP. Hierarchical Risk Parity as the base, a long/short overlay driven by agent signals and confidence, and a final risk correction via CVaR with a Hull-White volatility adjustment. The full math from our spec, plus the actual Rust implementation.
12 Portfolio Optimization Algorithms, Compared: HRP, Black-Litterman, NCO and Beyond

12 Portfolio Optimization Algorithms, Compared: HRP, Black-Litterman, NCO and Beyond

One basket of crypto, twelve allocation algorithms, one honest comparison. We open-sourced a Rust portfolio optimizer that runs HRP, HERC, MVO, Black-Litterman, NCO, Entropy Pooling and more behind a single interface — here is how each one thinks and why no single winner exists.