Browsing by Author "Kidron, Martin"

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  • Empirical evidence on management of ramp-ups: An in-depth analysis of case studies
    (2020-08-24) Kidron, Martin
     Perustieteiden korkeakoulu | Bachelor's thesis
  • Market making with greeks-based risk management in illiquid options market
    (2024-05-22) Kidron, Martin
     Perustieteiden korkeakoulu | Master's thesis
    This thesis develops an algorithmic, portfolio-wide options market making strategy designed to maximize short-term revenue while managing portfolio risk through a limit order tilting policy and delta-hedging in an illiquid options market. The tilting policy aims to achieve a gamma or vega-neutral portfolio, with risk parameters depending on the market maker’s preferences. Delta risk is managed by taking positions in liquid underlying futures. The strategy undergoes testing against historical data, comparing results with those of a naive market maker and demonstrating distinctly positive outcomes. In contrast to concurrent dynamic programming-based literature, the thesis provides a relatively simple, easily communicable, and practical closed-form solution for options market makers. This thesis is notably the first to incorporate transaction fees directly into the objective function and apply relative order placing distances. Additionally, this thesis is pioneering in the field of options market making in crypto derivatives research. Future work is proposed to transition existing dynamic programming-based strategies to closed-form approximations with transaction costs and to incorporate quantitative measures of the speed-sophistication trade-off in market making literature.