Marina Zhuravleva

Marina Zhuravleva

Financial mathematics

Estudante do quinto ano na Universidade Técnica Estatal Bauman de Moscou (Sistemas de Controle Automático), especializada em matemática financeira. Experiência em calibração de modelos de volatilidade estocástica (Heston) e volatilidade local (Dupire), precificação justa de opções, incluindo exóticas, via Monte-Carlo e fórmulas analíticas, redução de erros de hedge e exposição 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.