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 · 94 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:…
Estimating extreme risk in reinforcement learning becomes increasingly difficult as the confidence level increases, since only a small number of observations contribute to empirical estimates of Conditional Value-at-Risk (CVaR).
PAPER REPORTS · Simulated Merton jump-diffusion, K=140 call, 63 daily steps; transaction costs not mentioned. · Same setting, EVT-trained policy hedging error on 3,000 paths conditional on unhedged payoff > 0.999 quantile: mean…
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.
PAPER REPORTS · Decile long-short, intraday momentum (even lags, last 5 days): 0.23% per half-day (t=19.85); CAPM alpha 0.23 (t=19.87);… · Decile long-short, overnight momentum (even lags, last 5 days): 0.42% per half-day (t=19.34); TW alpha 0.37 (t=18.90);…
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.
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).
This paper studies exit timing for SPX short-straddle portfolios using a two-stage supervised and reinforcement-learning framework.
PAPER REPORTS · Supervised MLP exit policy, OOS 2024-2026 (T≈2.42y), stress-budget compounding sizing, bid entry/ask exit plus… · AC+MLP, 7 seeds, OOS 2024-2026, same costs: cumulative return 37.54% ± 0.92%, ARC 14.05% ± 0.32%, ASD 7.97% ± 0.14%,…
FLEX options are customized exchange-traded contracts allowing participants to choose nonstandard strikes, expirations, exercise styles, and settlement terms while retaining central clearing.
PAPER REPORTS · Rich-IV short straddle, research proxy (0.85 haircut, event close): N 40, mean P&L 1.5350% per trade, win rate 80.0%,… · Rich-IV short straddle, execution-stressed (1.25× median chain relative spread + $0.65/contract × 4 legs): N 40, mean…
As option markets grow and AI advances, agentic systems for option trading are gaining increasing attention.
PAPER REPORTS · Total return 18.32% over 2025-03-03 to 2025-08-29 (six-month out-of-sample), 10 underlyings; fills at bid-ask midpoint… · Annualized Sharpe ratio 1.60 (same period and costs)
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.
Deep hedging learns trading policies from historical or simulated market trajectories, yet under nonstationarity these training paths may not represent future market conditions.
PAPER REPORTS · Nonstationary Heston (simulated), European call, CVaR_0.95 of hedging loss, no transaction costs: WRAP-W far-future… · Nonstationary Heston (simulated) with proportional costs c=0.005: WRAP-U far-future CVaR 8.349±0.189 vs ERM-U…
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.
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.
We introduce a deep kernel hedging framework that combines the flexibility of deep learning with the structural inductive bias of kernel methods.
PAPER REPORTS · S&P500 out-of-sample (Jan 1 2023 to May 31 2026), ATM European call, quadratic hedging with order-3 signature features,… · S&P500 out-of-sample (Jan 1 2023 to May 31 2026), ATM European call, CVaR hedging, frictionless.
OUR BACKTEST · Sharpe 2.30 · Return +22.0% · Max DD -2.8%
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…
We present an end-to-end deep learning framework for systematic options trading that directly embeds hedging behavior through explicit control of portfolio-level risk exposures.
PAPER REPORTS · DP (L1), α=10^2: annualized Sharpe 2.339, E[Return] 0.436, Vol 0.186, MDD 0.210, Sortino 3.583, Calmar 2.078, hit rate… · ENP (L2), α=10^1: Sharpe 2.260, E[Return] 0.409, MDD 0.236, hit rate 0.638. Zero costs.
Option-implied factors are largely, but not entirely, spanned by the equity factor zoo. We construct 137 option-implied characteristics for optionable U.S.
PAPER REPORTS · bakshiKurt long-short factor (value-weighted decile, S&P 500 constituents, 30-day maturity): -11.23% annualized mean,… · ivs_convexity long-short factor: -14.78% annualized mean, vol 17.94%, Sharpe -0.82, MDD -96.94%, skew -3.59, t = -2.57;…
OUR BACKTEST · Sharpe -0.19 · Return -21.5% · Max DD -44.4%
Commodity option surfaces contain information beyond the at-the-money volatility level.
We study optimal stopping under dynamic risk measures with simultaneous ambiguity in the probability model and the discount rate.
Modeling the dynamics of option implied volatility surface (IVS) is crucial for pricing, hedging, and risk-managing option portfolios.
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.
Abstract We develop a modular forecast-to-construction framework for static option-portfolio design with piecewise-affine contingent claims.
PAPER REPORTS · Out-of-sample predictive-region coverage on 200 purged test origins (20 Jun 2025 – 7 Apr 2026): 200/200 = 1.000000 at… · Deterministic hedge certificate for the single deployed portfolio: Profit(x) ≥ 0 on [4.0, 8.5] (e.g.
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.
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.
This paper proposes an investment strategy through resource allocation into Kalshi Crypto Event Contracts in order to effectively hedge exposure to spot asset volatility.
PAPER REPORTS · Bullish 2024 (Mar-Dec 2024 contract), Strategy C with Kalshi fees: +38.69% return vs BTC +36.23%; Sharpe 1.27 (1.30… · Flat Dec 2025 (Nov-Dec 2025 contract), Strategy C: -3.04% (Table 1) vs BTC -3.58%; Sharpe -0.10 with fees (+0.05…
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 develop a diffusion-model framework for dynamic implied-volatility surface generation and evaluate its economic usefulness through data-driven hedging. The framework consists of two models.
PAPER REPORTS · AD-Seq-Vol hedging, held-out 1 Jul 2018 - 28 Feb 2023, transaction costs included as half bid-ask spread in the… · AD-Seq-Vol, same period, COVID window (13 Feb - 21 Jul 2020) excluded: mean 0.78, median 0.02, std 8.33, 5% VaR 10.72,…
We derive a first-order representation of Black-Scholes implied variance in a continuous local martingale model.
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.
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.