Research
Every research paper we have written up, newest paper first. New arrivals are screened automatically for topical fit with systematic trading; the ones that clear it are read, written up, and — where the idea is testable on our data — backtested. 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.
16,915 papers screened · 588 on the radar · 80 shown
This article studies a finite-horizon American put option with up to $m$ exercise rights under the risk-neutral Black--Scholes model, where consecutive exercises must be separated by a prescribed refractory period $δ>0$ and unused rights may expire.
This paper extends the damped-sinc (DSINC) method for American options beyond the affine Heston class to general one-factor stochastic-volatility models.
Logistic stock-price dynamics have been proposed as a way of representing assets whose growth is bounded by competition, saturation or finite market capacity, but the derivations available in the literature retain a logistic drift while invoking a…
We develop an arithmetic multi-factor stochastic volatility model for commodity futures and options.
PAPER REPORTS · V3 vanilla option portfolio one-day hedge, 2013-2024 (2,809 dates), in-sample, no transaction costs stated: hedging… · VC3 calendar spread option portfolio one-day hedge with 2 hedge options, 2013-2024 (2,806 dates), in-sample:…
In this paper, we provide a comprehensive study of how the classical Black--Scholes-type market framework behaves in an infinite-dimensional setting. The asset prices are modeled by stochastic evolution equations in a separable Hilbert space.
The short-term blow up behaviour of the ATM-IV skew is commonly modelled by either a rough volatility process with small Hurst index or an infinite variation Lévy process in the log-price dynamics.
The end-of-month option allows the short in a futures contract to choose when to deliver during a window in which the delivery price is fixed. We characterize optimal delivery through a universal index obtained from the Bank--El Karoui representation theorem.
This project investigates the valuation of American commodity options using the Schwartz two-factor model.
Physics-informed neural networks provide a flexible framework for learning parametric PDE solution families without labeled data, yet preserving accurate derivatives across heterogeneous regimes remains challenging.
We study finite-maturity American puts in the Heston model without the Feller condition. At positive variance, the exercise boundary is smooth and strictly decreasing in remaining maturity and variance.
We study a local stochastic volatility (LSV) model in which the variance factor follows a generalized Langevin equation (GLE) with colored noise, and past returns act on variance through a memory kernel with state-dependent amplitudes.
We present a statically and dynamically arbitrage-free European option market model with smooth interpolation between option prices, based on the SANOS framework, and prove that its dynamics admit a unique strong solution.
Conditional volatility-based option pricing research generally emphasizes improving volatility inputs, but has not yet fully explained the relative contribution of each parameter to variation in simulated option-pricing responses for Indonesian index stocks.
This paper studies semi-static variance-optimal hedging of variance swaps in the rough Heston model under a risk-neutral measure.
PAPER REPORTS · In-model (simulated, risk-neutral, frictionless) hedging error reduction of the paper's semi-static hedge vs purely… · Same setting with m=12 options: 97.13% (H=0.1), 99.32% (H=0.3), 99.96% (H=0.5).
Abstract We formulate a dimensionally consistent time-fractional Black–Scholes model through inverse-stable subordination. A product pricing measure fixes the clock law and operational numeraire, while clock risk remains unspanned.
We develop a posteriori primal-dual bounds for numerical approximations of European option prices in the Uncertain Volatility Model.
Entropic risk optimisation is a general framework for pricing and hedging financial derivatives in incomplete markets that can be used to decompose P&L into market and model risk contributions.
We determine the leading logarithmic asymptotics of the fixed-maturity right tail of the SABR model with $β\in(0,1)$ and absorption at zero, for every correlation $ρ\in(-1,1)$.
Neural network-based approaches have emerged as efficient alternatives to traditional optimization-based procedures for the calibration of stochastic volatility models.
In this work, we study the pricing of American options under stochastic local volatility (SLV) models extended by including stochastic correlation driven by an additional stochastic process.
On April 20, 2020, the May front-month WTI oil futures contract, one day before its expiration date, opened near $\$17/$barrel and dropped far below zero in a single trading day, reaching an intraday low of $-\$40.32$ and settling at $-\$37.63$.
We derive a short-maturity expansion for up-and-out put barrier option prices under continuous stochastic volatility when the strike and the barrier approach the spot at the diffusive scale.
European option smiles determine the risk-neutral marginal laws of an asset, but not their intertemporal coupling, which is decisive for many applications.
We study the short-maturity implied volatility and the skew stickiness ratio for baskets of assets with continuous, possibly rough, stochastic volatility.
We develop a non-perturbative framework for stochastic-volatility option pricing organised by the two-particle-irreducible (2PI) effective action and the Dyson-Schwinger gap equations of quantum field theory.
Hedging a derivative by trading the underlying asset changes the payoff that the hedging intended to replicate. We study this phenomenon when trading generates price impact and execution costs.
Building on the forest expansion of Alòs, Gatheral and Radoičić and on the explicit Bergomi-Guyon smile expansion derived by Bourgey and Gatheral (2026), we derive fixed-point approximations, in terms of the implied total variance at a small number of magic…
Commodity option surfaces contain information beyond the at-the-money volatility level.
We study affine stochastic Volterra equations on the cone of symmetric positive semidefinite matrices.
We study optimal stopping under dynamic risk measures with simultaneous ambiguity in the probability model and the discount rate.
Catastrophe (cat) bonds overcome some lack of reinsurance by sourcing capacity from the wider capital markets. We present a new type of cat bond addressing the known trade-off between moral hazard and basis risk.
PAPER REPORTS · Cat bond tranche A (attachment 7.861e9 = modeled 100-yr, exhaustion 11.008e9 = modeled 200-yr), extremal-t Cauchy… · Tranche B (attachment 9.593e9 = modeled 150-yr, same exhaustion), same parameters: price 100.69 EUR; par-implied spread…
We study a representative-agent Epstein-Zin economy with geometric dividends and a hidden finite-state Markov drift.
The standard Euler discretization schemes for numerical option pricing under stochastic volatility models are known to exhibit high biases and potential unreliability.
We develop an efficient Monte Carlo simulation scheme for pricing options under the Ornstein-Uhlenbeck driven stochastic volatility model via the operator splitting approach.
Variance swaps are a convenient instrument for trading vega and convexity, and a listed contract now trades on Cboe.
Alòs, Gatheral and Radoičić derived the Bergomi-Guyon expansion of the implied variance smile from the forest expansion of the cumulant generating function.
We study robust bond valuation with endogenous short-rate feedback under volatility uncertainty.
Return models for risk-neutral financial valuation based on skew Brownian motions (SBMs) have been introduced about twenty years ago, and have recently enjoying growing popularity.
Normalized implied-volatility coordinates reveal no-arbitrage structure that is less transparent in strike space. This paper centers on a single quantity that gives those coordinates a direct probabilistic interpretation.
We derive a first-order representation of Black-Scholes implied variance in a continuous local martingale model.
In this note, we propose a general structural approach to model a default time $τ$ as the first-passage time (FPT) of a (``firm-value'') process $S$ below a (``debt'') barrier $K$ that comply with a pre-specified survival probability curve $G(t)=\Pr(τ>t)$.
We give a two-period counterexample to the absence of arbitrage for the posterior-weighted pricing rule in Estimate nothing by Duembgen and Rogers.
We prove that the skew stickiness ratio converges to two at short maturity under local volatility models. This appears to be the first rigorous proof of this limit for a general time-dependent local volatility function.
Let \(P\) be a fixed physical law and let \(Q\) be an equivalent martingale measure selected from the martingale-measure set associated with a chosen numeraire.
OUR BACKTEST · Sharpe 0.54 · Return +50.1% · Max DD -37.6%
We define the variance swap delta as the sensitivity of the price of variance to a change in underlying price. We use Carr-Madan spanning formulas to analyze this sensitivity when the implied volatility smile curve may depend on the underlying price.
We study variance-optimal stock hedging and the convergence of approximate strategies in the rough Hawkes--Heston model.
We develop semi-closed pricing formulas and lifted-model hedging methods for discretely monitored geometric and arithmetic Asian options in the Volterra-Heston stochastic volatility model.
Pathwise differentiation of Monte Carlo estimators fails at payoff discontinuities, producing zero or biased sensitivities for barriers, autocallables, and digital options.
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