Introduction

Mauro Tsezer interviews Valer Zetaka, Head of Quant Services for Equity and Effects at Julius Bear based in Zurich. Mauro: In the past few months you published with us two very interesting papers that I wanted to hear about those works directly from you. The first paper was in October 2022 and it showed a novel way to build an implied volatility surface for liquid assets. The second we just published on January 23 is on the risk that a dealer runs on the mini futures market in case of large price spikes. Now let's start from these latest one.