Research
A continuously updated feed of research papers that pass our automated relevance screening for systematic trading — plus every paper we have published a review of, whatever it scored. Particular focus on alpha hypotheses that can be formalised and tested. The Radar also covers portfolio construction, market risk and execution where the research is directly relevant to systematic investment processes. Follow new entries by RSS.
15,697 papers screened · 250 on the radar · 32 shown
We compare the Heston model with $ρ=-1$ to the one-dimensional local-volatility model calibrated to the same European option prices.
This paper proposed a new model to price a stock option based on the Skewed Laplace distribution approach (SLOP).
PAPER REPORTS · MSE of SLOP 65.6667 vs MSE of BSOP 87.1059 across all 44 contracts (May 14, 2018 - May 14, 2019 sample for volatility;… · APE of SLOP 0.0425 (underpricing) vs APE of BSOP -0.1929 (overpricing), same sample
We propose a deterministic numerical method for pricing and hedging surrenderable equity-linked life-insurance contracts with periodic premiums and fund contributions, maturity and death guarantees, and Bermudan surrender under correlated stochastic…
We investigate arbitrage in a discrete-time financial market model where, in addition to finitely many dynamically traded assets, there are also static options to choose from.
OUR BACKTEST · Sharpe 0.35 · Return +21.4% · Max DD -34.1%
We propose a neural calibration method to construct a recombining binomial tree directly from a set of given option prices.
The factor HJM stochastic volatility model introduced by Sepp and Rakhmonov (2025) obtains tractable swaption pricing by freezing the nonlinear swap-rate loading along a deterministic expected-state path.
Haug and Haug extend the Margrabe exchange option by adding knock-in and knock-out provisions written on the ratio of two asset prices. This paper applies and develops their framework for stock-for-stock takeover bids with collars.
This paper studies European option pricing in a regime-switching Heston-Hull-White framework.
PAPER REPORTS · In-sample (train, 2 Jan-6 Aug 2024, 8,286 obs) DL-RS-HHW pricing error: RMSE 0.0072, MAE 0.0050 (option prices in yuan;… · Out-of-sample (test, 7 Aug-30 Sep 2024, 1,234 obs) DL-RS-HHW pricing error: RMSE 0.0179, MAE 0.0097
Bitcoin inverse options, traded on the Deribit exchange and settled in the underlying cryptocurrency rather than in fiat currency, combine extreme and genuinely rough volatility dynamics with a non-linear, currency-dependent payoff structure.
We develop a PDE-based methodology for pricing and hedging European contingent claims in general one-dimensional diffusion markets characterized solely by their scale function and speed measure, possibly without a classical SDE representation, and with…
PAPER REPORTS · Bachelier (premium 2.0), N_MC=2000, N^space_FD=4000, T=10, no transaction costs: MTE* −0.002 ± 0.008 and StDTE* 0.192 ±… · Skew-Sticky 1 (premium 0.271, κ₋₁=0.3, κ₁=0.7, ρ=1, r=0.2, ELMM exists): MTE* 0.058 ± 0.022 and StDTE* 0.506 ± 0.024 at…
A companion paper \cite{ItkinDF2026} introduced the Diagonal Frog (DF) positivity-preserving schemes for anisotropic Fokker--Planck equations, advancing each directional substep by a Krylov-computed matrix exponential, which dominates the cost.
Implied volatility surfaces summarise the option market and are central to many financial applications.
PAPER REPORTS · Surface point-forecast RMSE aggregated over 30 horizons: 0.01262 vs persistence 0.01343, +6.09% gain; MAE gain +3.45%;… · h=1: RMSE 0.00619 vs persistence 0.00535 (-15.72%); MAE -34.49%
OUR BACKTEST · Sharpe -0.00 · Return -1.0% · Max DD -329.1%
W-shaped smiles appear in near-expiry options around binary events such as earnings, and have been associated with bimodal risk-neutral densities. The three-parameter eSSVI slice cannot produce them.
Basket options are difficult to value under correlated lognormal dynamics because weighted sums and differences of lognormal variables have no tractable distribution.
The Marketron model of \cite{HalperinItkin2025Mark} and its option pricing extension in \cite{HalperinItkinMarketron2} suffer from structural non-identifiability: an eighteen-parameter space traps solvers in suboptimal local minima and renders economic…
We propose a novel valuation framework for contingent convertible (CoCo) bonds based on the issuing bank's Common Equity Tier 1 (CET1) ratio, which is widely acknowledged as an indicator of a bank's solvency.
PAPER REPORTS · Pricing RMSE 5.04% (LYG, CoCo prices 01/04/2021–12/29/2023, in-sample calibration, no transaction cost assumption… · Pricing RMSE 7.95% (LYG, 11/23/2009–12/30/2011) vs best benchmark RMSE 11.32% in Wilkens and Bethke (2014)
Using the local time-space calculus of Peskir (2005) and the method developed in Mijatovic (2010), we derive a new integral representation for the distribution of the first-passage time (FPT) of a diffusion process through a time-dependent barrier.
OUR BACKTEST · Sharpe 0.66 · Return +35.3% · Max DD -18.7%
We develop a geometric theory of arbitrage-free implied variance surface dynamics.
PAPER REPORTS · Out-of-sample RMSE(delta a2) improvement of full (beta,eta,psi) model over SSR-only: 17-21% at 3M-6M (215.7 vs 272.8 at… · Out-of-sample RMSE(delta a1) improvement of adding eta: 1-4% versus SSR-only at 1M-6M, essentially flat at 12M
OUR BACKTEST · Sharpe -0.84 · Return -0.1% · Max DD -0.1%
This article presents with DYSANOS the first generative market model for smooth SANOS option surfaces for all strikes and expiries which are free of static arbitrage.
OUR BACKTEST · Sharpe -0.19 · Return -0.0% · Max DD -0.1%
Thousands of SOFR derivatives are available in exchanges and OTC, but the market remains illiquid and incomplete.
We calibrate credit default swaps and index tranches with elastically stopped Lévy processes: each firm defaults when the running supremum of a latent, spectrally positive distress process crosses an independent exponential barrier.
This paper develops a unified mathematical theory of implied, local, and learned volatility surfaces.
Fractional Brownian motion (fBm) exhibits attractive features for financial modeling, including long-range dependence, path roughness, and anomalous diffusion.
OUR BACKTEST · Sharpe 0.23 · Return +8.6% · Max DD -6.9%
We present a novel application of Neural Networks with Local Converging Inputs (NNLCI) to improve the efficiency of existing numerical methods for pricing multi-asset options.
Local-stochastic volatility (LSV) combines vanilla marginals with richer smile dynamics, but calibration requires a slow, noisy and sequential McKean--Vlasov fixed point. We learn a projection-consistent operator for the calibration triple.
PAPER REPORTS · Calibration latency 0.60 ms/surface vs 98.5 ms particle baseline (paired, same hardware, synthetic held-out states) · Vanilla repricing RMSE 58.2 +/- 3.3 bps on 8 held-out surfaces, 2 seeds (spread across seeds, not a confidence…
OUR BACKTEST · Sharpe 0.53 · Return +5.6% · Max DD -2.0%
We propose the VIX-derived volatility (VDV) model, a VIX-first framework for joint SPXVIX modeling.
Implied volatility surface forecasting is essential for option valuation, hedging,and risk management, but remains difficult because future surfaces are stochastic while pricing inputs must satisfy static no-arbitrage shape restrictions.
Long-term transmission rights (LTTRs) are designed to support hedging in interconnected European electricity markets. LTTR auction prices have historically fallen short of forward market prices, signaling limited arbitrage.
This note studies the conditional-density equation and its pathwise transformation in local stochastic rough volatility models, with rough Heston (rHeston) as the main explicit example.
OUR BACKTEST · Sharpe -0.45 · Return -4.2% · Max DD -7.5%
Gerhold and Gülüm derived necessary calendar-vertical-basket conditions for finite call bid-ask quotes when the cash-settlement reference price lies inside a dynamically traded stock spread of bounded absolute width.
Pay-as-produced power purchase agreements (PPAs) expose buyers and sellers to the joint risk of power prices and renewable production.
PAPER REPORTS · Wind PPA, held-out simulated test paths, Jan–Dec 2025 delivery: multi-month dynamic futures hedge reduces payoff… · Wind PPA semi-static (dynamic futures + static claims): 87.3% reduction in both std (45.6 kEUR) and 95% CVaR (101.4…
The Gasoil options market is illiquid, making it difficult to construct its implied volatility surface directly. However, it is closely linked to the highly liquid Brent options market.