{"topic":"Derivatives & Volatility","items":[{"title":"Universal Diffusion Models for Implied Volatility Surfaces: Learning Shared Dynamics Across Stocks","url":"/papers/arxiv/2609.22893/","summary":"A universal diffusion model trained on pooled data from 50 stocks learns to jointly generate implied volatility surface changes and stock returns, extrapolating well to unseen stocks.","featured":"2026-09-25","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"fanfare"},{"title":"Surface-Driven Stochastic Volatility for Commodity Options: Identification of Stochastic Vol-of-Vol and Leverage from Smile Dynamics","url":"/papers/arxiv/2609.27138/","summary":"Develops a surface-driven stochastic volatility framework for commodity options using daily volatility surface factors, recovering vol-of-vol and leverage parameters from smile dynamics.","featured":"2026-09-25","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"fanfare"},{"title":"Learning to Detect Symbolic Failure: Machine Learning and the Limits of Black-Scholes","url":"/papers/arxiv/2609.27764/","summary":"Tree-based machine learning outperforms neural networks at detecting systematic option-pricing deviations from Black-Scholes using 2.6 million real contracts, with domain-expert features crucial.","featured":"2026-09-25","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"fanfare"},{"title":"Prices or implied volatilities? Choosing the loss function in machine learning option pricing","url":"/papers/ssrn/7498639/","summary":"The paper compares machine learning option pricing trained on pricing errors versus implied-volatility errors using 8.67 million S&P 500 index-option observations from 1997 through 2025.","featured":"2026-09-25","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"fanfare"},{"title":"Hedge Fund Trading and Sovereign Bond Yield Sensitivity","url":"/papers/ssrn/7506360/","summary":"Leveraged hedge fund positions amplify sovereign bond yield sensitivity to monetary shocks by over a quarter through directional rebalancing, with effects scaling to position intensity.","featured":"2026-09-25","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"fanfare"},{"title":"Tail-Risk Forecasting with General Cubic Distributions","url":"/papers/ssrn/7504480/","summary":"A cubic quantile framework forecasts Value-at-Risk and Expected Shortfall more reliably than GARCH benchmarks across eight equity indices without requiring a parametric density.","featured":"2026-09-25","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"fanfare"},{"title":"MartingaleONet: Physics-Constrained Operator Learning for Real-Time Option Pricing and Volatility Calibration","url":"/papers/ssrn/7498326/","summary":"A deep operator network maps volatility surfaces to option prices under the Heston model 15,000 times faster than finite-difference methods while reducing dynamic hedging variance by over 59% under transaction costs.","featured":"2026-09-25","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"fanfare"},{"title":"Capturing Heterogeneity: Machine Learning Approaches to Implied Volatility Forecasting","url":"/papers/repec/fip-fedgfe-103519/","summary":"Tree-based models partition the option surface by moneyness and maturity to forecast volatility, reducing one-month-ahead errors by 13 percent versus benchmark models.","featured":"2026-09-25","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"fanfare"},{"title":"How Economic News Drives Implied Volatility in Agricultural Commodity Markets","url":"/papers/repec/ags-asea26-404810/","summary":"Financial and macroeconomic news topics systematically predict implied volatility in corn and soybean markets, with program trading and 2008 crisis topics most robust at short horizons.","featured":"2026-09-25","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"fanfare"},{"title":"Adaptive LASSO-MGARCH for Multivariate Volatility Forecasting","url":"/papers/repec/cdf-wpaper-2026-4/","summary":"Introducing coefficient-specific penalization into multivariate GARCH equations reduces complexity and improves out-of-sample covariance forecasts across bonds, equities, and commodities.","featured":"2026-09-25","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"fanfare"},{"title":"Valuation of variable annuities under the Volterra mortality and rough Heston models","url":"/papers/arxiv/2604.00472/","summary":"The paper discusses how to value variable annuity contracts that offer early surrender options. It uses advanced models and deep learning to find the best strategies for surrendering the contracts, while also providing protection against losses through minimum benefits.","featured":"2026-04-03","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":0,"scale":"shares"},{"title":"Numerical valuation of European options under two-asset infinite-activity exponential Lévy models","url":"/papers/arxiv/2511.02700/","summary":"The article introduces a better method for pricing European-style options using two-asset exponential Lévy models. It focuses on faster calculations by employing fast Fourier transforms and a semi-Lagrangian approach, surpassing older techniques.","featured":"2026-04-03","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":0,"scale":"shares"},{"title":"Realised Volatility Forecasting: Machine Learning via Financial Word Embedding","url":"/papers/arxiv/2108.00480/","summary":"A new NLP framework shows that adding news text can improve stock volatility forecasting, particularly during volatile times, when combined with standard models.","featured":"2026-01-16","label":"arXiv","topic":"Derivatives & Volatility","cites":17,"score":0,"scale":"shares"},{"title":"Analysis of Fundamental and Technical Financial Ford Motor Company with The Arrangements of Implication Black Volatility","url":"/papers/ssrn/4482880/","summary":"The study shows that Ford Motor Company had its smallest earnings per share payout gap in 2020 compared to previous years.","featured":"2025-12-28","label":"SSRN","topic":"Derivatives & Volatility","cites":1,"score":266,"scale":"shares"},{"title":"Global Liquidity and Volatility","url":"/papers/ssrn/4482265/","summary":"Global liquidity from banks impacts responses to crises and eases funding strains internationally.","featured":"2025-12-28","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":77,"scale":"shares"},{"title":"Robert C. Merton's Contributions","url":"/papers/ssrn/4480625/","summary":"Robert C. Merton is a significant finance scholar known for his work on derivatives pricing and finance theories.","featured":"2025-12-28","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":456,"scale":"shares"},{"title":"Low Volatility Asset Valuation in Brazilian Stock Market: Lower Risk with Higher Returns","url":"/papers/ssrn/4480285/","summary":"Lower volatility Brazilian stocks have consistently outperformed high-volatility stocks in annual returns from 2003 to 2021.","featured":"2025-12-28","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":610,"scale":"shares"},{"title":"Global Dollar Holdings Trends","url":"/papers/ssrn/4478513/","summary":"Foreign institutional investors significantly increased their USD security holdings, influenced by varying currency hedging demands.","featured":"2025-12-28","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":881,"scale":"shares"},{"title":"Asymptotic Expansions for High-Frequency Option Data","url":"/papers/ssrn/4440168/","summary":"A new method for analyzing financial data helps test for sudden volatility changes, with evidence from SP500 options indicating significant variation.","featured":"2025-12-19","label":"SSRN","topic":"Derivatives & Volatility","cites":2,"score":139,"scale":"shares"},{"title":"Deep Hedging with Reinforcement Learning: A Practical Framework for Option Risk Management","url":"/papers/arxiv/2512.12420/","summary":"The article describes a reinforcement-learning method for hedging equity index options that enhances risk-adjusted returns while managing turnover and costs.","featured":"2025-12-19","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"An Efficient Machine Learning Framework for Option Pricing via Fourier Transform","url":"/papers/arxiv/2512.16115/","summary":"A new algorithmic framework merges a smooth offset method with machine learning for quicker pricing of path-independent options, vastly speeding up evaluations compared to older techniques.","featured":"2025-12-19","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":1,"scale":"shares"},{"title":"Stochastic Volatility Modelling with LSTM Networks: A Hybrid Approach for S&P 500 Index Volatility Forecasting","url":"/papers/arxiv/2512.12250/","summary":"A combined model of Stochastic Volatility and Long Short Term Memory networks offers better volatility predictions for the S&P 500, outperforming traditional models for improved risk assessment.","featured":"2025-12-19","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":1,"scale":"shares"},{"title":"Option-Implied Zero-Coupon Yields: Unifying Bond and Equity Markets","url":"/papers/arxiv/2512.10823/","summary":"The paper presents a new approach to pricing zero-coupon bonds that aligns them with equity options for more accurate interest rate modeling.","featured":"2025-12-14","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":1,"scale":"shares"},{"title":"DeepSVM: Learning Stochastic Volatility Models with Physics-Informed Deep Operator Networks","url":"/papers/arxiv/2512.07162/","summary":"Physics-Informed Volatility: DeepSVM is a machine learning model that accurately calibrates stochastic volatility without labels, but needs better regularization for derivatives.","featured":"2025-12-14","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":1,"scale":"shares"},{"title":"CREDIT DERIVATIVE -An Alternative Tool for Indian Commercial Banks to Transfer Credit Risk","url":"/papers/ssrn/4973692/","summary":"Poor credit risk management in Indian banks has led to rising Non-Performing Assets, highlighting the need for modern risk tools, such as credit derivatives, to improve future performance.","featured":"2025-12-01","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":76,"scale":"shares"},{"title":"European Real Estate Volatility","url":"/papers/ssrn/4964818/","summary":"This study shows that different European real estate markets have varying volatility and suggests using tactical asset allocation to improve investment performance.","featured":"2025-12-01","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":190,"scale":"shares"},{"title":"Constrained deep learning for pricing and hedging european options in incomplete markets","url":"/papers/arxiv/2511.20837/","summary":"This article discusses a method using deep learning to price and hedge European options in incomplete markets, optimizing risk distribution while handling tricky payoffs.","featured":"2025-12-01","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":3,"scale":"shares"},{"title":"Signature approach for pricing and hedging path-dependent options with frictions","url":"/papers/arxiv/2511.23295/","summary":"This innovative approach simplifies the pricing and hedging of path-dependent options, improving strategies in markets with friction through numerical analysis.","featured":"2025-12-01","label":"arXiv","topic":"Derivatives & Volatility","cites":8,"score":0,"scale":"shares"},{"title":"Beta-Dependent Gamma Feedback and Endogenous Volatility Amplification in Option Markets","url":"/papers/arxiv/2511.22766/","summary":"The study connects individual option hedging to broader market volatility, revealing how market-maker actions during volatility spikes can increase fluctuations, especially in low-beta stocks.","featured":"2025-12-01","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":0,"scale":"shares"},{"title":"Empirical examination of the stability of expectations -Augmented Phillips Curve for developing and developed countries","url":"/papers/arxiv/2511.22786/","summary":"The research on the Phillips Curve from 1980 to 2016 reveals strong forward-looking inflation expectations in developed countries, while others face challenges in its application due to past volatility.","featured":"2025-12-01","label":"arXiv","topic":"Derivatives & Volatility","cites":5,"score":0,"scale":"shares"},{"title":"Hedge Funds in German Bonds","url":"/papers/ssrn/5057388/","summary":"Daily data (2005–2024) show hedge funds became key liquidity providers in German government bonds after 2015 as banks cut back due to higher balance‑sheet costs.","featured":"2025-10-27","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":191,"scale":"shares"},{"title":"Semi-Analytical Pricing of American Options with Hybrid Dividends via Integral Equations and the GIT Method","url":"/papers/arxiv/2510.18159/","summary":"Fast math method that computes prices and exercise rules for American options with discrete dividends.","featured":"2025-10-27","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":13,"scale":"shares"},{"title":"An Efficient Calibration Framework for Volatility Derivatives under Rough Volatility with Jumps","url":"/papers/arxiv/2510.19126/","summary":"Fast GPU-enabled calibration that precomputes integrals and uses a small neural net to quickly fit VIX models.","featured":"2025-10-27","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":6,"scale":"shares"},{"title":"Pricing Variance Swap for Multi-Asset Stochastic Volatility Models","url":"/papers/arxiv/2510.20047/","summary":"Models multi‑asset variance swaps via generalized variance (determinant of the covariance), derives closed‑form formulas under Heston and BNS volatility models, and validates them by simulation.","featured":"2025-10-27","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":4,"scale":"shares"},{"title":"Reinforcement Learning for Hedging","url":"/papers/ssrn/3355706/","summary":"The article introduces a novel application of reinforcement learning for efficiently managing a portfolio of over-the-counter derivatives, independent of any model.","featured":"2025-10-24","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":91,"scale":"shares"},{"title":"Short-rate models with stochastic discontinuities: A PDE approach","url":"/papers/arxiv/2510.04289/","summary":"The paper explores the transition from interbank offered rates to risk-free rates, introducing a new method for pricing interest rate derivatives.","featured":"2025-10-09","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":14,"scale":"shares"},{"title":"Robust Pricing and Hedging of American Options in Continuous Time","url":"/papers/arxiv/2510.05463/","summary":"The paper explores the pricing and hedging of American options in a continuous time setting, proving the pricing-hedging duality and equating American options with European options in an expanded space.","featured":"2025-10-09","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":6,"scale":"shares"},{"title":"Tail-Safe Hedging: Explainable Risk-Sensitive Reinforcement Learning with a White-Box CBF-QP Safety Layer in Arbitrage-Free Markets","url":"/papers/arxiv/2510.04555/","summary":"The research presents Tail-Safe, a derivative hedging framework that blends reinforcement learning with a safety layer designed for financial constraints, ensuring robust forward invariance of the safe set under limited model mismatch.","featured":"2025-10-09","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":6,"scale":"shares"},{"title":"DeltaHedge: A Multi-Agent Framework for Portfolio Options Optimization","url":"/papers/arxiv/2509.12753/","summary":"Options Optimization: DeltaHedge, an AI-based framework that combines portfolio management with options trading, outperforms traditional strategies and improves risk-adjusted returns in various market conditions.","featured":"2025-09-22","label":"arXiv","topic":"Derivatives & Volatility","cites":5,"score":19,"scale":"shares"},{"title":"Conditional Deep Levy Models for Exotic Derivatives: History-Aware Path Generation and P-Q Payoff Diagnostics","url":"/papers/arxiv/2509.13374/","summary":"The paper proposes a new model for pricing exotic options and structured products, which is more profitable than traditional models but underestimates extreme risks.","featured":"2025-09-22","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":8,"scale":"shares"},{"title":"Deep Learning Option Pricing with Market Implied Volatility Surfaces","url":"/papers/arxiv/2509.05911/","summary":"The study introduces a deep learning framework for pricing options based on market-implied volatility surfaces, providing an efficient and scalable method that improves with more data.","featured":"2025-09-13","label":"arXiv","topic":"Derivatives & Volatility","cites":3,"score":9,"scale":"shares"},{"title":"Hedging options on asset portfolios against just one underlying asset in the presence of transaction costs","url":"/papers/arxiv/2509.07718/","summary":"The research examines the viability of hedging options with a cheaper, related asset when the main asset is expensive to trade, concluding that trading the wrong asset can be a viable option under certain conditions.","featured":"2025-09-13","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":9,"scale":"shares"},{"title":"Joint calibration of the volatility surface and variance term structure","url":"/papers/arxiv/2509.08096/","summary":"The article suggests a calibration framework for complex option pricing models that simultaneously fits market option prices and variance term structure, enhancing the precision of model-implied variance term structures.","featured":"2025-09-13","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":6,"scale":"shares"},{"title":"Risk-neutral Pricing of Random-expiry Options using Trinomial Trees","url":"/papers/arxiv/2508.17014/","summary":"The study presents a new methodology for pricing random-expiry options, a type of nontraditional derivative contract, using an arbitrage-free trinomial tree approach.","featured":"2025-08-29","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":10,"scale":"shares"},{"title":"Asymmetric super-Heston-rough volatility model with Zumbach effect as scaling limit of quadratic Hawkes processes","url":"/papers/arxiv/2508.16566/","summary":"The article proposes a bivariate Quadratic Hawkes process to model Time-reversal asymmetry in asset prices, accounting for differences in buying and selling actions.","featured":"2025-08-29","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":13,"scale":"shares"},{"title":"Option pricing under non-Markovian stochastic volatility models: A deep signature approach","url":"/papers/arxiv/2508.15237/","summary":"The paper introduces a deep signature approach to asset pricing that simplifies rough stochastic differential equations into classical ones, addressing issues with non-Markovian stochastic volatility models.","featured":"2025-08-29","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":12,"scale":"shares"},{"title":"ARL-Based Multi-Action Market Making with Hawkes Processes and Variable Volatility","url":"/papers/doi/10-1145-3677052-3698695/","summary":"The study combines Adversarial Reinforcement Learning, Hawkes Processes, and variable volatility to enhance market-making strategies, showing improved adaptability in high-volatility conditions and better market simulations.","featured":"2025-08-29","label":"arXiv","topic":"Derivatives & Volatility","cites":3,"score":11,"scale":"shares"},{"title":"Dynamic Skewness in Stochastic Volatility Models: A Penalized Prior Approach","url":"/papers/arxiv/2508.10778/","summary":"The study suggests dynamic skewness stochastic volatility models for financial time series, providing a better fit to the data according to various information criteria.","featured":"2025-08-20","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":8,"scale":"shares"},{"title":"Valuation Measure of the Stock Market using Stochastic Volatility and Stock Earnings","url":"/papers/arxiv/2508.06010/","summary":"A new financial model has been developed for an online app that simulates wealth processes, using annual returns of three asset classes and an improved valuation measure.","featured":"2025-08-12","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":18,"scale":"shares"},{"title":"Federal Reserve Communication and the COVID-19 Pandemic","url":"/papers/doi/10-1111-manc-12520/","summary":"A study reveals that the Federal Reserve's response to the COVID-19 pandemic was more reactive, focusing on financial stability and market volatility.","featured":"2025-08-12","label":"arXiv","topic":"Derivatives & Volatility","cites":15,"score":12,"scale":"shares"},{"title":"Modeling Loss-Versus-Rebalancing in Automated Market Makers via Continuous-Installment Options","url":"/papers/arxiv/2508.02971/","summary":"The study introduces a mathematical model that views a CFAMM position as a portfolio of perpetual American CI options, aiding liquidity providers in estimating future costs and optimizing parameters.","featured":"2025-08-07","label":"arXiv","topic":"Derivatives & Volatility","cites":4,"score":19,"scale":"shares"},{"title":"Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions","url":"/papers/arxiv/2507.23392/","summary":"The research compares Malliavin calculus and rough path theory for calibrating implied volatility surfaces, finding the latter more accurate in situations with rough or non-Markovian volatility.","featured":"2025-08-07","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":5,"scale":"shares"},{"title":"Time Deep Gradient Flow Method for pricing American options","url":"/papers/arxiv/2507.17606/","summary":"The study uses neural network methods, Time Deep Gradient Flow and Deep Galerkin Method, to price multidimensional American put options, showing better accuracy and speed than traditional methods.","featured":"2025-07-25","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":27,"scale":"shares"},{"title":"Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility","url":"/papers/arxiv/2507.17162/","summary":"The research tackles dynamic portfolio optimization, considering predictable returns, transaction costs, price impact, and stochastic volatility, and suggests a multi-scale volatility expansion, improving portfolio strategy's Profit and Loss through simulations.","featured":"2025-07-25","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":19,"scale":"shares"},{"title":"Binary Tree Option Pricing Under Market Microstructure Effects: A Random Forest Approach","url":"/papers/arxiv/2507.16701/","summary":"The article introduces a machine learning extension of the binomial option pricing model, using Random Forest classifiers on high-frequency market data, proving its efficiency in predicting price movements and estimating fair value.","featured":"2025-07-25","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":8,"scale":"shares"},{"title":"Prediction of linear fractional stable motions using codifference, with application to non-Gaussian rough volatility","url":"/papers/arxiv/2507.15437/","summary":"A new method for predicting future changes in linear fractional stable motion (LFSM) has been proposed, which performs better than the fractional Brownian motion in predicting high-frequency FX rates and volatility time series.","featured":"2025-07-25","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":19,"scale":"shares"},{"title":"Tensor train representations of Greeks for Fourier-based pricing of multi-asset options","url":"/papers/arxiv/2507.08482/","summary":"A new method using tensor train learning and numerical differentiation has been proposed to speed up and maintain accuracy in calculating Greeks for multi-asset options.","featured":"2025-07-17","label":"arXiv","topic":"Derivatives & Volatility","cites":3,"score":30,"scale":"shares"},{"title":"Mapping Crisis-Driven Market Dynamics: A Transfer Entropy and Kramers-Moyal Approach to Financial Networks","url":"/papers/arxiv/2507.09554/","summary":"A framework combining Transfer Entropy and the N-dimensional Kramers-Moyal expansion has been introduced to map coupling among major indices, providing insights for adaptive hedging and macro-prudential policy.","featured":"2025-07-17","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":13,"scale":"shares"},{"title":"Pricing and Hedging Prepayment Option","url":"/papers/arxiv/2507.08641/","summary":"The prepayment risk in fixed-rate mortgages is modeled as an European-type interest rate receiver swaption with stochastic maturity, incorporating housing market activity as a non-tradable risk factor, enabling effective hedging of prepayment option exposure.","featured":"2025-07-17","label":"arXiv","topic":"Derivatives & Volatility","cites":null,"score":12,"scale":"shares"},{"title":"Perpetual American Standard and Lookback Options in Insider Models with Progressively Enlarged Filtrations","url":"/papers/arxiv/2507.03470/","summary":"The article proposes a solution for optimal stopping problems in pricing perpetual American standard and lookback put and call options, using the Black-Merton-Scholes model and Brownian filtrations.","featured":"2025-07-10","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":12,"scale":"shares"},{"title":"F&O Expiry vs. First-Day SIPs: A 22-Year Analysis of Timing Advantages in India's Nifty 50","url":"/papers/arxiv/2507.04859/","summary":"Research shows that Systematic Investment Plans in India's Nifty 50 index timed on Futures and Options expiry days perform better in the short to medium term than those on the first trading day of each month.","featured":"2025-07-10","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":5,"scale":"shares"},{"title":"Deep Hedging to Manage Tail Risk","url":"/papers/arxiv/2506.22611/","summary":"The study uses deep neural networks to enhance portfolio risk management, leading to significant risk reduction and practical market strategy insights.","featured":"2025-07-03","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":23,"scale":"shares"},{"title":"SABR-informed multitask Gaussian process: A synthetic-to-real framework for implied volatility surface construction","url":"/papers/arxiv/2506.22888/","summary":"The SABR-MTGP method, which views the creation of the Implied Volatility Surface as a multi-task learning issue, performs better than standard Gaussian process regression and SABR under different market conditions.","featured":"2025-07-03","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":4,"scale":"shares"},{"title":"Explicit local volatility formula for Cheyette-type interest rate models","url":"/papers/arxiv/2506.23876/","summary":"An analytical approximation for the local volatility function in the Cheyette interest rate model has been developed, expanding the Dupire framework to fixed-income markets and aiding model calibration.","featured":"2025-07-03","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":4,"scale":"shares"},{"title":"Pricing Fractal Derivatives under Sub-Mixed Fractional Brownian Motion with Jumps","url":"/papers/arxiv/2506.24111/","summary":"A study on derivative securities pricing in markets modeled by a sub-mixed fractional Brownian motion with jumps shows the model's precision and adaptability in capturing market phenomena like memory and heavy-tailed jumps, especially for barrier options.","featured":"2025-07-03","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Volatility Forecasting Models Comparison","url":"/papers/ssrn/5241995/","summary":"The paper finds that volatility models are most accurate when they match the data-generating process.","featured":"2025-06-25","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":42,"scale":"shares"},{"title":"Options on Drugs: Industry Exposure and Option Anomalies","url":"/papers/ssrn/5245162/","summary":"Pharmaceutical stocks offer higher returns when writing options due to their high growth potential and the unpredictability of drug trials and development.","featured":"2025-06-25","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":431,"scale":"shares"},{"title":"Tax Losses and Capped Call Spreads","url":"/papers/ssrn/5238942/","summary":"Capital-loss carryforwards can be assessed using an option-pricing perspective, providing a market consistent basis for determining when such strategies yield real economic benefits.","featured":"2025-06-25","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":67,"scale":"shares"},{"title":"Pricing under the Benchmark Approach","url":"/papers/arxiv/2506.16264/","summary":"The research applies benchmark-neutral pricing to the pricing of a long-term European put option on a diversified stock index, showing that the benchmark-neutral price is theoretically the lowest possible price.","featured":"2025-06-25","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":9,"scale":"shares"},{"title":"Empirical Models of the Time Evolution of SPX Option Prices","url":"/papers/arxiv/2506.17511/","summary":"The article presents a model for pricing SPX options using statistical methods such as neural networks, random forests, and linear regression, and compares its effectiveness with the Black-Scholes-Merton model for European options.","featured":"2025-06-25","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":7,"scale":"shares"},{"title":"Electricity Price Volatility & Financial Stress","url":"/papers/ssrn/5286268/","summary":"The research explores the link between electricity price changes and financial stress in Europe, suggesting market-based pricing and diverse energy supplies.","featured":"2025-06-18","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Robust Hedging of American Options via Aggregated Snell Envelopes","url":"/papers/arxiv/2506.14553/","summary":"The article discusses the creation of an aggregator for Snell envelopes in a non-dominated setting, used to establish a reliable hedging strategy for American-style options in a semi-martingale setting.","featured":"2025-06-18","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":11,"scale":"shares"},{"title":"Implied Probabilities and Volatility in Credit Risk: A Merton-Based Approach with Binomial Trees","url":"/papers/arxiv/2506.12694/","summary":"The paper outlines a two-stage method for pricing credit risk using the Merton model, introducing a new mapping between risk-neutral and physical parameters for stress testing and credit risk analysis.","featured":"2025-06-18","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":8,"scale":"shares"},{"title":"Small Volatility Approximation and Multi-Factor HJM Models","url":"/papers/arxiv/2506.12584/","summary":"The paper showcases the use of Small Volatility Approximation in calibrating the Multi-Factor HJM model, highlighting that the calibration quality is high and independent of the number of factors.","featured":"2025-06-18","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":5,"scale":"shares"},{"title":"Gamma Scalping American Option Valuation","url":"/papers/ssrn/5285239/","summary":"The paper reassesses the strategy and value of American-style options contracts, highlighting the importance of gamma scalping profitability in the decision to stop.","featured":"2025-06-11","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"Market Power Abuse Electricity Markets","url":"/papers/ssrn/5286366/","summary":"The study examines the relationship between hedging and potential market power abuse in wholesale electricity markets, calculating the hourly economic incentives for non-competitive behavior.","featured":"2025-06-11","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"SP 500 Index Option Returns Market Reversals","url":"/papers/ssrn/5284206/","summary":"The article presents new evidence supporting demand-based option pricing theory and the limits of arbitrage in option pricing, indicating that imperfect hedging or weekly rebalancing yield higher risk-adjusted returns for option writers.","featured":"2025-06-11","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Neural Jumps for Option Pricing","url":"/papers/arxiv/2506.05137/","summary":"A neural jump stochastic differential equation model is proposed for option pricing, combining neural networks with the traditional jump diffusion model, enhancing pricing accuracy.","featured":"2025-06-11","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":7,"scale":"shares"},{"title":"Optimal hedging of an informed broker facing many traders","url":"/papers/arxiv/2506.08992/","summary":"A theoretical framework is developed for optimal hedging strategies for an informed broker dealing with multiple traders, using a mean-field game approach to establish equilibrium strategies.","featured":"2025-06-11","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":6,"scale":"shares"},{"title":"Predicting Realized Variance Out of Sample: Can Anything Beat The Benchmark?","url":"/papers/arxiv/2506.07928/","summary":"The article investigates the predictability of individual equity options based on the volatility discrepancy, indicating that enhanced forecast error measurements can significantly improve portfolio performance.","featured":"2025-06-11","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":6,"scale":"shares"},{"title":"The subtle interplay between square-root impact, order imbalance & volatility: a unifying framework","url":"/papers/arxiv/2506.07711/","summary":"The study proposes a new theory to explain conflicting observations in market microstructure, attributing price formation to the average impact of metaorders and supporting the Order-Driven theory of excess volatility.","featured":"2025-06-11","label":"arXiv","topic":"Derivatives & Volatility","cites":5,"score":5,"scale":"shares"},{"title":"Smile asymptotics for Bachelier implied volatility","url":"/papers/arxiv/2506.08067/","summary":"The study explores the asymptotic behaviour of Implied Volatility in the Bachelier setting, providing explicit expressions for the Bachelier Implied Volatility and linking these to the tail behaviour of the underlying's returns' distribution.","featured":"2025-06-11","label":"arXiv","topic":"Derivatives & Volatility","cites":4,"score":4,"scale":"shares"},{"title":"FlowOE: Imitation Learning with Flow Policy from Ensemble RL Experts for Optimal Execution under Heston Volatility and Concave Market Impacts","url":"/papers/arxiv/2506.05755/","summary":"The article introduces flowOE, a new imitation learning framework that improves traditional financial market strategies, resulting in increased profits and lower risk.","featured":"2025-06-11","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":13,"scale":"shares"},{"title":"Applying Informer for Option Pricing: A Transformer-Based Approach","url":"/papers/doi/10-5220-0013320900003890/","summary":"The research uses the Informer neural network for option pricing in financial markets, showing its improved performance over traditional models and improving financial forecasting.","featured":"2025-06-11","label":"arXiv","topic":"Derivatives & Volatility","cites":8,"score":9,"scale":"shares"},{"title":"Reinforcement Learning for Life Insurance Hedging","url":"/papers/ssrn/5279418/","summary":"A new framework using deep reinforcement learning is suggested to improve the hedging of specific risk factors in financial instruments, using Shapley value decompositions to assign profit and loss to different risk categories.","featured":"2025-06-04","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":5,"scale":"shares"},{"title":"Kelly Betting with Constraints","url":"/papers/ssrn/5281529/","summary":"A revised Kelly optimization is proposed that includes a probabilistic recovery constraint, balancing long-term growth with short-term recovery risk, especially beneficial for strategies with skewed returns like short volatility or insurance underwriting.","featured":"2025-06-04","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":6,"scale":"shares"},{"title":"Commodities Returns and Alternatives","url":"/papers/ssrn/5276594/","summary":"Hilary Till spoke at the Women Investment Professionals organization in Chicago, discussing commodity indices, futures contracts, and hedge funds.","featured":"2025-06-04","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Path-dependent option pricing with two-dimensional PDE using MPDATA","url":"/papers/arxiv/2505.24435/","summary":"A method for evaluating path-dependent Asian-style options using a non-oscillatory forward-in-time second-order MPDATA finite-difference scheme is discussed, emphasizing the importance of the MPDATA corrective steps.","featured":"2025-06-04","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":12,"scale":"shares"},{"title":"Hedge Fund Strategies with AI","url":"/papers/ssrn/5267626/","summary":"A study compares the role of AI and Machine Learning in hedge fund trading strategies, evaluating an AI-driven trading model against human-recommended trades.","featured":"2025-05-30","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Modeling Volatility Spillovers Between Petroleum and Stocks","url":"/papers/ssrn/5273787/","summary":"The study analyzes the relationship between petroleum prices and stock sector indices in Canada, Saudi Arabia, the US, and China, revealing diverse volatility interdependencies and fluctuating optimal portfolio weights and hedge ratios.","featured":"2025-05-30","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"Quantum Estimation of Volatility Models","url":"/papers/ssrn/5274549/","summary":"The paper introduces two new methods for estimating stochastic volatility diffusions using Quantum-Inspired Classical Hidden Markov Models and Quantum Hidden Markov Models.","featured":"2025-05-30","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Farah Financial Model","url":"/papers/ssrn/5265196/","summary":"The Farah Model is a new method for predicting price changes in financial markets, linking them to volatility and volume dynamics.","featured":"2025-05-30","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":5,"scale":"shares"},{"title":"Minimizing Payout Volatility in Longevity Risk-Sharing","url":"/papers/ssrn/5266306/","summary":"The paper discusses the use of longevity risk-sharing pools in retirement plans, emphasizing the need for methods to reduce payout volatility.","featured":"2025-05-30","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Case Studies and Risk Management in Commodity Derivatives Trading: A Presentation","url":"/papers/ssrn/5267622/","summary":"Hilary Till discussed various risk management aspects at a meeting of the Professional Risk Managers International Association in Chicago.","featured":"2025-05-30","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Model-Free Deep Hedging with Transaction Costs and Light Data Requirements","url":"/papers/arxiv/2505.22836/","summary":"The research shows that a neural network trained with just 256 trajectories can outperform the Black & Scholes formula and the Leland model in the Geometric Brownian Motion framework, indicating potential for real-time financial series application.","featured":"2025-05-30","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":19,"scale":"shares"},{"title":"Fast Derivative Valuation from Volatility Surfaces using Machine Learning","url":"/papers/arxiv/2505.22957/","summary":"The paper presents a Machine Learning framework for pricing derivative products based on volatility surfaces, offering accurate results and faster processing than traditional methods, thus facilitating real-time risk analytics and large-scale scenario analysis.","featured":"2025-05-30","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":15,"scale":"shares"},{"title":"Academic Research Output Derivatives: Structuring Futures and Options on Research Output Index","url":"/papers/arxiv/2505.20492/","summary":"The paper proposes Academic Research Output Futures and Options, financial tools linked to a Research Output Index, as a potential new funding model for universities and research institutions.","featured":"2025-05-30","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":12,"scale":"shares"},{"title":"Farm size matters: A spatially explicit ecological-economic framework for biodiversity and pest management.","url":"/papers/arxiv/2505.17687/","summary":"Research shows that the success of eco-restoration strategies in European agriculture depends on farm size, with smaller farms benefiting economically from less pesticide use and hedgerow restoration, while larger farms face challenges.","featured":"2025-05-30","label":"arXiv","topic":"Derivatives & Volatility","cites":3,"score":27,"scale":"shares"},{"title":"Global Economic Uncertainty & Oil Market","url":"/papers/ssrn/5258748/","summary":"The research shows a predictable two-way relationship between the Global Economic Policy Uncertainty index and global crude oil prices, mainly seen in volatility correlation.","featured":"2025-05-21","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"πDelocalization in Hydrazines","url":"/papers/ssrn/5263039/","summary":"The research examines and compares four substituted carbazoles with NN bonds, offering insights into the differences between the four main NN bonds in hydrazine derivatives.","featured":"2025-05-21","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Biomass Futures for Aquaculture","url":"/papers/ssrn/5263189/","summary":"The article introduces a model using machine learning to help fish farmers hedge against production risks through biomass futures contracts.","featured":"2025-05-21","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"Foundation Time-Series AI Model for Realized Volatility Forecasting","url":"/papers/arxiv/2505.11163/","summary":"The study finds that the TimesFM model, with incremental fine-tuning, is effective for volatility forecasting in financial risk management, outperforming traditional models.","featured":"2025-05-21","label":"arXiv","topic":"Derivatives & Volatility","cites":6,"score":23,"scale":"shares"},{"title":"Multivariate Affine GARCH with Heavy Tails: A Unified Framework for Portfolio Optimization and Option Valuation","url":"/papers/arxiv/2505.12198/","summary":"The paper introduces a model that tracks changing volatility and dynamic correlation in asset returns, underlining the significant losses from overlooking changing correlation and tail risk.","featured":"2025-05-21","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":14,"scale":"shares"},{"title":"ERM and Forex Derivatives","url":"/papers/ssrn/5251713/","summary":"The research shows that firms with advanced enterprise risk management are more likely to use currency derivatives for foreign exchange rate hedging.","featured":"2025-05-14","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"ESIPT Mechanisms in TFAQ","url":"/papers/ssrn/5248870/","summary":"A study on ESIPT regulation in trifluoroanthraquinone derivatives provides insights for designing new WOLED materials, revealing dual fluorescence and ambipolar properties in some derivatives.","featured":"2025-05-14","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"The use of Derivatives on CO2-Emission Allowances in Italy","url":"/papers/ssrn/5247995/","summary":"A study on the Italian CO2-emission allowances derivatives market details its characteristics, risk hedging and investment uses, market development, and price dynamics.","featured":"2025-05-14","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Error Analysis of Deep PDE Solvers for Option Pricing","url":"/papers/arxiv/2505.05121/","summary":"The study compares the effectiveness of two deep learning algorithms, the Deep Galerkin Method and the Time Deep Gradient Flow method, in solving PDEs for option pricing.","featured":"2025-05-14","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":16,"scale":"shares"},{"title":"Revisiting the excess volatility puzzle through the lens of the Chiarella model","url":"/papers/arxiv/2505.07820/","summary":"The Chiarella model is expanded to handle long-term value drifts, revealing excess volatility and bimodal mispricings in various assets.","featured":"2025-05-14","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":15,"scale":"shares"},{"title":"Rough Bergomi turns grey","url":"/papers/arxiv/2505.08623/","summary":"The rough Bergomi model is extended by replacing the fractional Brownian motion with a generalised grey Brownian motion, improving SPX/VIX options calibration.","featured":"2025-05-14","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":14,"scale":"shares"},{"title":"SSR under Quadratic Rough Heston","url":"/papers/ssrn/5239929/","summary":"The research uses the finite difference method to calculate the skew-stickiness ratio under quadratic rough Heston, demonstrating its effectiveness.","featured":"2025-05-07","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"No Smiles -Volatility Patterns when Trading is Continuous","url":"/papers/ssrn/5243102/","summary":"Cryptocurrencies show a flat volatility pattern, unlike the U-shaped curve seen in stock markets with limited trading hours.","featured":"2025-05-07","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Option Liquidity Measurement with EAS","url":"/papers/ssrn/5239635/","summary":"The Elasticity-Adjusted Spread (EAS) is a new measure of option liquidity, correlating with underlying liquidity, market capitalization, and VIX.","featured":"2025-05-07","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Machine Learning for Option Exercise Prediction","url":"/papers/ssrn/5241260/","summary":"Machine learning methods have been found to be more effective than traditional assumptions in predicting whether an American call option will be exercised.","featured":"2025-05-07","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":61,"scale":"shares"},{"title":"A nested factor model for equity markets: reconciling multifractal stock returns and rough index volatilities","url":"/papers/arxiv/2505.02678/","summary":"The Nested factor model is used to represent stock correlations, showing that it can account for the large Hurst exponents of stock indexes.","featured":"2025-05-07","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":11,"scale":"shares"},{"title":"Approximation and regularity results for the Heston model and related processes","url":"/papers/arxiv/2504.21658/","summary":"A Ph.D. thesis investigates approximations and regularity for the Heston stochastic volatility model, including high-order weak approximations for the Cox-Ingersoll-Ross process and the partial differential equation of the log-Heston model.","featured":"2025-05-07","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":20,"scale":"shares"},{"title":"Joint Dynamics for Asset Volatility","url":"/papers/ssrn/5234202/","summary":"A joint model of implied volatility surface and its underlying asset is developed, offering a useful risk management tool and accurate VIX distribution forecasts.","featured":"2025-04-30","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"Forecasting Realized Volatility","url":"/papers/ssrn/5233349/","summary":"The paper highlights the improved forecast performance of a HAR model that uses the QLIKE loss for both out-of-sample forecast evaluation and in-sample parameter estimation.","featured":"2025-04-30","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Quantitative Techniques for Financial Economics","url":"/papers/ssrn/5229400/","summary":"The study reveals lower stock volatility in Mainland China's market due to price limits, and the superior performance of the ARMA10-EGARCH11 model in calculation accuracy.","featured":"2025-04-30","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Assessing Volatility in Green Markets","url":"/papers/ssrn/5231841/","summary":"The article studies the EU Emissions Trading System and China's New Energy Vehicle credit market, offering insights into green trading markets and price volatility.","featured":"2025-04-30","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Market Return and Volatility Connections","url":"/papers/ssrn/5234445/","summary":"The study explores the connection between return and volatility among major Latin American markets and the US, showing moderate integration at the median with higher interconnectedness at both ends.","featured":"2025-04-30","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Local vs. Stochastic Volatility Testing","url":"/papers/ssrn/5231307/","summary":"The study finds that the local volatility model's restriction is not applicable to continuous-time models in stock price, interest rate, currency, and volatility data.","featured":"2025-04-30","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Modeling Regime Structure and Informational Drivers of Stock Market Volatility via the Financial Chaos Index","url":"/papers/arxiv/2504.18958/","summary":"The research uses the Financial Chaos Index to study stock market volatility, identifying three market types and using sentiment predictors for volatility forecasting.","featured":"2025-04-30","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":13,"scale":"shares"},{"title":"Compounding Effects in Leveraged ETFs: Beyond the Volatility Drag Paradigm","url":"/papers/arxiv/2504.20116/","summary":"The performance of leveraged ETFs is shown to depend on return autocorrelation and dynamics, with daily-rebalanced LETFs boosting returns in momentum-driven markets.","featured":"2025-04-30","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":12,"scale":"shares"},{"title":"Deep Learning vs. Black-Scholes: Option Pricing Performance on Brazilian Petrobras Stocks","url":"/papers/arxiv/2504.20088/","summary":"A deep learning model outperforms the Black-Scholes model in pricing European options on Petrobras, reducing mean absolute error by 64.3%.","featured":"2025-04-30","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":12,"scale":"shares"},{"title":"Some PDE results in Heston model with applications","url":"/papers/arxiv/2504.19859/","summary":"The article reveals results for the PDE related to the logHeston model, proving a verification theorem and a convergence theorem for approximating the solution using a combined method.","featured":"2025-04-30","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":11,"scale":"shares"},{"title":"International Reserves and Output Volatility","url":"/papers/ssrn/5220819/","summary":"The study questions the traditional methods of managing international reserves, revealing that countercyclical management can significantly decrease output volatility.","featured":"2025-04-23","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"Tastes, Productivities, and Macroeconomic Volatility","url":"/papers/ssrn/5220954/","summary":"The paper uses a general equilibrium model to examine how differences in product tastes and firm technologies impact macroeconomic fluctuations.","featured":"2025-04-23","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Liquidity Adjustment in Volatility","url":"/papers/ssrn/5221441/","summary":"A new liquidity-sensitive multivariate volatility framework enhances the estimation of time-varying covariance structures, especially for cryptocurrency portfolios.","featured":"2025-04-23","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Intraday Jumps and Options","url":"/papers/ssrn/5223127/","summary":"The study investigates the effect of intraday jumps on ultra-short-term options pricing and hedging strategies, revealing significant jump risk premia.","featured":"2025-04-23","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"OptionMC Monte Carlo Pricing","url":"/papers/ssrn/5224853/","summary":"The article introduces OptionMC, a Python package for European option pricing using Monte Carlo methods, and validates its use against Black-Scholes solutions.","featured":"2025-04-23","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"Export Proceeds Repatriation","url":"/papers/ssrn/5219853/","summary":"The research examines the effect of repatriated export proceeds on exchange rate volatility in Indonesia, finding no evidence of its ability to mitigate short-term capital flow impacts.","featured":"2025-04-23","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"The realized local volatility surface","url":"/papers/doi/10-21314-jois-2023-003/","summary":"The article introduces the realized local volatility surface, a new concept that uses high-frequency trading data to predict market volatility, using Tesla's data as a successful example.","featured":"2025-04-23","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":27,"scale":"shares"},{"title":"Numerical analysis of a particle system for the calibrated Heston-type local stochastic volatility model","url":"/papers/arxiv/2504.14343/","summary":"The article presents a Monte Carlo method for simulating the Heston-type local stochastic volatility model, addressing drift and diffusion coefficient challenges and proving a strong chaos propagation under certain conditions.","featured":"2025-04-23","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":14,"scale":"shares"},{"title":"Multiscale Price Discovery in Indian Markets","url":"/papers/ssrn/5214406/","summary":"The study shows that about 90% of information exchange between the Nifty index spot and futures markets occurs within two weeks, with volatility being more crucial than liquidity for improving the informational efficiency of the index futures market.","featured":"2025-04-16","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"USChina Tensions Impact on Gold and Oil","url":"/papers/ssrn/5213775/","summary":"The study analyzes the effect of US-China tensions on the volatility and hedging of gold and crude oil prices, showing a significant impact on long-term crude oil price volatility.","featured":"2025-04-16","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Global FOMO in Financial Markets","url":"/papers/ssrn/5214893/","summary":"The Global Fear of Missing Out (FOMO) Index, using Google Trends data, forecasts lower stock returns, decreased volatility, and weaker Sharpe ratios, especially in democratic countries, showing the role of psychology and politics in finance.","featured":"2025-04-16","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Ultra Short-Dated Spreads","url":"/papers/ssrn/5215849/","summary":"The research shows that ultra short-dated option spreads, specifically zero-day-to-expiration SP 500 Index iron condors, provide a reliable advantage that can be scaled for fund deployment, especially when entered just before market close.","featured":"2025-04-16","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Investigating the VIX Index Relationship with High Yield & Investment Grade Bond Spreads: Exploring Structural Breaks & Threshold Effects (Forthcoming JBES)","url":"/papers/ssrn/5213881/","summary":"The study analyzes the link between implied equity volatility and corporate bond spreads during financial crises using statistical methods.","featured":"2025-04-16","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Intraday Volatility Forecasting","url":"/papers/ssrn/5216864/","summary":"The paper presents a new model for predicting high-frequency intraday conditional discrete return densities and volatility using deep learning, which surpasses empirical nonparametric forecasting rules and Space State Models.","featured":"2025-04-16","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Stock Investment: p-index Approach","url":"/papers/ssrn/5216067/","summary":"P-index Approach: A study using European put options to measure asset risk found that materials sector stocks in China's SSE 50 index had the highest annual return rates.","featured":"2025-04-16","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Rationally Turbulent Expectations Chapter 6: Heterogeneity","url":"/papers/ssrn/5202482/","summary":"The book introduces a new paradigm that views the capital market as a rational learning machine, with expectations being more volatile due to risk instability.","featured":"2025-04-16","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":4,"scale":"shares"},{"title":"On the Rate of Convergence of Estimating the Hurst Parameter of Rough Stochastic Volatility Models","url":"/papers/arxiv/2504.09276/","summary":"The research extends the convergence result of a scale-invariant estimator, proving its consistent estimation of the Hurst parameter in rough stochastic volatility models.","featured":"2025-04-16","label":"arXiv","topic":"Derivatives & Volatility","cites":4,"score":14,"scale":"shares"},{"title":"Unified GARCH-Recurrent Neural Network in Financial Volatility Forecasting","url":"/papers/arxiv/2504.09380/","summary":"The paper proposes a new GARCH-GRU model for financial volatility forecasting, showing better computational efficiency and forecasting accuracy than other models.","featured":"2025-04-16","label":"arXiv","topic":"Derivatives & Volatility","cites":3,"score":13,"scale":"shares"},{"title":"Deep Hedging with Options Using the Implied Volatility Surface","url":"/papers/arxiv/2504.06208/","summary":"A new deep hedging framework for index option portfolios, which includes surface-informed decisions and transaction costs, has been proposed and outperforms traditional methods in both simulated and historical data from 1996 to 2020.","featured":"2025-04-09","label":"arXiv","topic":"Derivatives & Volatility","cites":9,"score":20,"scale":"shares"},{"title":"Deep Reinforcement Learning Algorithms for Option Hedging","url":"/papers/arxiv/2504.05521/","summary":"A comparison of eight Deep Reinforcement Learning algorithms for dynamic hedging found that Monte Carlo Policy Gradient and Proximal Policy Optimization performed best, with the former outperforming the Black-Scholes delta hedge baseline.","featured":"2025-04-09","label":"arXiv","topic":"Derivatives & Volatility","cites":7,"score":17,"scale":"shares"},{"title":"A Stochastic Volatility Approximation for a Tick-by-Tick Price Model with Mean-Field Interaction","url":"/papers/arxiv/2504.03445/","summary":"A tick-by-tick model of price formation, which models buy and sell orders as self-exciting point processes, shows that the aggregation of these processes introduces positive correlations between order volumes from different agents, reflecting market features like herd behavior and contagion.","featured":"2025-04-09","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":15,"scale":"shares"},{"title":"Mathematical Modeling of Option Pricing with an Extended Black-Scholes Framework","url":"/papers/arxiv/2504.03175/","summary":"The research compares an extended Black-Scholes model with a machine learning model for option pricing, finding the former more efficient despite the latter's higher accuracy.","featured":"2025-04-09","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":17,"scale":"shares"},{"title":"Modeling WTI Crude Oil Volatility","url":"/papers/ssrn/5201931/","summary":"A new version of the heterogeneous autoregressive model is proposed, using a common leverage factor to improve commodity market forecasts, with robustness tests confirming its effectiveness.","featured":"2025-04-02","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"General Counsel and Investment Distortion","url":"/papers/ssrn/5201347/","summary":"The inclusion of a General Counsel in top management significantly reduces investment mispricing and potential lawsuits, leading to less return volatility and increased future stock returns.","featured":"2025-04-02","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Arithmetic Average RFR Cap and Floor Valuation With the SABR Model","url":"/papers/ssrn/5198570/","summary":"A model-independent formula for the valuation of a discrete arithmetic average RFR cap and floor is derived, confirming that call-put parity is satisfied for the valuation formula.","featured":"2025-04-02","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Benign Granularity in Asset Markets","url":"/papers/ssrn/5200216/","summary":"The model reveals that higher asset concentration among a few large investors leads to increased volatility and returns, and surprisingly, improves liquidity.","featured":"2025-04-02","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Options Trading Impact","url":"/papers/ssrn/5200152/","summary":"The 1936 US ban on commodity options trading caused a temporary rise in volatility and a decrease in futures markets' hedging effectiveness, emphasizing the role of options trading in market stability.","featured":"2025-04-02","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":5,"scale":"shares"},{"title":"Extreme Risk in Markets","url":"/papers/ssrn/5199540/","summary":"The research distinguishes between two types of extreme financial market risk - sudden price jumps and volatility bursts - using ultra-high-frequency data and a specific thresholding technique.","featured":"2025-04-02","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Natural Gas Pricing","url":"/papers/ssrn/5198298/","summary":"The study suggests a no-arbitrage model that combines a seasonal stochastic convenience yield and a local volatility factor to accurately predict natural gas spot futures and options prices.","featured":"2025-04-02","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Does Speculation Increase Volatility in Grain Futures Markets? Evidence from the Interwar Chicago Board of Trade","url":"/papers/ssrn/5200192/","summary":"The paper uses new data to investigate if speculators caused volatility in grain futures markets during the interwar period, concluding that speculators did not cause volatility but were attracted to volatile markets.","featured":"2025-04-02","label":"SSRN","topic":"Derivatives & Volatility","cites":4,"score":3,"scale":"shares"},{"title":"Stock Returns Hedged with ML","url":"/papers/ssrn/5194959/","summary":"The research uses absolute variations to create models with percentage returns limited to unity, employing machine learning for hedging strategies and showing enhancements via inverse logistic transformation.","featured":"2025-04-02","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Short-Time Behavior of the At-the-Money Implied Volatility for the Jump-Diffusion Stochastic Volatility Bachelier Model","url":"/papers/arxiv/2503.22282/","summary":"The research uses advanced calculus techniques to analyze short-time behavior of stock price volatility, supported by numerical examples.","featured":"2025-04-02","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":10,"scale":"shares"},{"title":"Tax Losses Options","url":"/papers/ssrn/5192149/","summary":"The paper presents a new framework that models carryforward tax losses as short call options on portfolio value, offering a new perspective to evaluate tax-motivated trading decisions.","featured":"2025-03-26","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Alaali-ICR Framework Debt","url":"/papers/ssrn/5193923/","summary":"The article introduces the Alaali Interest Coverage Ratio, a dynamic framework that detects hidden credit risks in cyclical industries, incorporating volatility adjustments, ESG penalties, and a stability buffer.","featured":"2025-03-26","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Asset Pricing in Options Markets","url":"/papers/ssrn/5192589/","summary":"The research demonstrates that the frequency of rebalancing deltahedged option returns impacts the magnitude of observed returns, proposing a new adjustment method using lagged hedge ratios.","featured":"2025-03-26","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Statistical Robustness of High-IQ Test","url":"/papers/ssrn/5182449/","summary":"The study analyzes the reliability of high percentile IQ tests, finding Mensa and Intertel tests reliable, but extreme percentiles volatile due to small sample sizes.","featured":"2025-03-26","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":5,"scale":"shares"},{"title":"Decoding Derivative Use in Exchange-traded Funds","url":"/papers/ssrn/5192922/","summary":"Around 60% of ETFs use derivatives, with different segments showing unique preferences for derivative use, impacting market competition significantly.","featured":"2025-03-26","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Martingale property and moment explosions in signature volatility models","url":"/papers/arxiv/2503.17103/","summary":"The research explores the properties of a signature volatility model, showing the price process is a true martingale under specific conditions.","featured":"2025-03-26","label":"arXiv","topic":"Derivatives & Volatility","cites":5,"score":14,"scale":"shares"},{"title":"Intra-industry Information Transfers","url":"/papers/ssrn/5178189/","summary":"The study finds that investor uncertainty overreaction is more pronounced in put options and during economic recessions in intraindustry information diffusion processes.","featured":"2025-03-20","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Financial Intermediary Risk and the Cross-section of Hedge-fund Returns","url":"/papers/ssrn/5182451/","summary":"Hedge fund returns are strongly influenced by the covariation between fund returns and equity capital ratio shocks of key financial intermediaries, with high-exposure portfolios outperforming low-exposure ones.","featured":"2025-03-20","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"AWACC for Capital-Intensive Industries","url":"/papers/ssrn/5179813/","summary":"The Alaali WACC model refines the traditional Weighted Average Cost of Capital by including firm-specific risk factors, industry leverage constraints, and macroeconomic volatility adjustments, offering a more accurate approach to corporate financial planning.","featured":"2025-03-20","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"European Knock-In Barrier Options Bid-Ask Prices","url":"/papers/ssrn/5156258/","summary":"The article introduces a new method to calculate bid-ask prices of European knock-in barrier options, taking into account market liquidity.","featured":"2025-03-20","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":17,"scale":"shares"},{"title":"Hedge Fund Risk Management","url":"/papers/ssrn/5151327/","summary":"Banks demand lower haircuts from hedge funds with more bargaining power in secured lending, potentially increasing the risk of insufficient haircuts based on standard value-at-risk models.","featured":"2025-03-20","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":17,"scale":"shares"},{"title":"Model-independent upper bounds for the prices of Bermudan options with convex payoffs","url":"/papers/arxiv/2503.13328/","summary":"The research simplifies the dual problem in the symmetric case under the dispersion assumption, aiming to find a reliable, no-arbitrage limit on the price of a Bermudan option with two potential exercise dates.","featured":"2025-03-20","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":19,"scale":"shares"},{"title":"Deep Hedging of Green PPAs in Electricity Markets","url":"/papers/arxiv/2503.13056/","summary":"The paper introduces a 'deep hedging' approach using machine learning to develop hedging strategies in power markets, specifically for Green Power Purchase Agreements, which are subject to price and weather risks.","featured":"2025-03-20","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":17,"scale":"shares"},{"title":"Capturing Smile Dynamics with the Quintic Volatility Model: SPX, Skew-Stickiness Ratio and VIX","url":"/papers/arxiv/2503.14158/","summary":"The study presents the two-factor Quintic Ornstein-Uhlenbeck model, showing its effectiveness in capturing the volatility surfaces of SPX and VIX and aligning with the skew-stickiness ratio across different maturities.","featured":"2025-03-20","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":15,"scale":"shares"},{"title":"Stochastic Volatility Model with Sticky Drawdown and Drawup Processes: A Deep Learning Approach","url":"/papers/arxiv/2503.14829/","summary":"The SVSDU, a new financial model, is introduced to track winning and losing streaks in financial markets, using a deep neural network to solve the related complex equation.","featured":"2025-03-20","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":13,"scale":"shares"},{"title":"The fundamental representation of pricing adjustments","url":"/papers/arxiv/2503.14997/","summary":"The article offers a detailed overview of derivative pricing adjustments, including XVA, within an Ito SDE/parabolic PDE framework, and explores certain meta-adjustments beyond XVA.","featured":"2025-03-20","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":12,"scale":"shares"},{"title":"Realized Volatility Forecasting for New Issues and Spin-Offs using Multi-Source Transfer Learning","url":"/papers/arxiv/2503.12648/","summary":"The article presents a new method for predicting financial asset volatility using multiple sources of data, which performs better than models using only target data or combined source and target data.","featured":"2025-03-20","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":16,"scale":"shares"},{"title":"Why do financial prices exhibit Brownian motion despite predictable order flow?","url":"/papers/arxiv/2502.17906/","summary":"A new econophysics model unifies several empirical laws, including the square-root law of price impact, and shows that price dynamics remain diffusive under this law, with volatility having a long memory.","featured":"2025-03-20","label":"arXiv","topic":"Derivatives & Volatility","cites":3,"score":248,"scale":"shares"},{"title":"Assessing Uncertainty in Stock Returns: A Gaussian Mixture Distribution-Based Method","url":"/papers/arxiv/2503.06929/","summary":"A new deep learning model using a Gaussian mixture distribution is developed to understand the complex, changing nature of asset return distributions in the Chinese stock market, offering more precise volatility forecasts and unique risk insights.","featured":"2025-03-12","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":13,"scale":"shares"},{"title":"Option Pricing with Time-Varying Volatility Risk Aversion","url":"/papers/arxiv/2204.06943/","summary":"The paper presents a pricing kernel with fluctuating volatility risk aversion to account for changes in the pricing kernel's shape, showing reduced pricing errors in an empirical application to the S&P 500 index, the CBOE VIX, and option prices.","featured":"2025-03-12","label":"arXiv","topic":"Derivatives & Volatility","cites":4,"score":51,"scale":"shares"},{"title":"Gaming Bonds and Hedge Funds","url":"/papers/ssrn/5139515/","summary":"The article discusses gaming bonds and specialized hedge funds as a new high-risk financial instrument with potential for significant profits.","featured":"2025-03-05","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":18,"scale":"shares"},{"title":"Asset Price Volatility and Recessions","url":"/papers/ssrn/5146210/","summary":"The paper introduces a method for analyzing the relationship between stock market volatility and output growth, using a bivariate Markov switching model on a selection of developed countries.","featured":"2025-03-05","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":28,"scale":"shares"},{"title":"Manager Networks & Hedge Fund Performance","url":"/papers/ssrn/5145281/","summary":"Hedge funds perform better when their managers have a wider network of executive connections.","featured":"2025-03-05","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":23,"scale":"shares"},{"title":"Currency Hedging Impact on Exchange Rates","url":"/papers/ssrn/5143899/","summary":"Nonbank financial institutions tend to sell domestic currency when portfolio returns are low, causing G10 currencies to depreciate against the USD.","featured":"2025-03-05","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":48,"scale":"shares"},{"title":"Short Selling Impact in Korea","url":"/papers/ssrn/5138432/","summary":"Aggressive short selling by market makers in Korea's single-stock futures market has improved liquidity, reduced volatility, and increased price efficiency.","featured":"2025-03-05","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":35,"scale":"shares"},{"title":"Hedging Turbulence Risk","url":"/papers/ssrn/5139437/","summary":"A Chinese Financial Turbulence Index (FTI) developed using textual analysis and AI of news articles can negatively predict market returns, and a hedging framework incorporating firm characteristics related to financial resilience can effectively hedge against financial turbulence risk.","featured":"2025-03-05","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":17,"scale":"shares"},{"title":"Forecasting realized volatility in the stock market: a path-dependent perspective","url":"/papers/arxiv/2503.00851/","summary":"A new volatility forecasting model, combining the heterogeneous autoregressive model with path-dependent volatility models, shows improved forecasting accuracy in the Chinese stock market.","featured":"2025-03-05","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":16,"scale":"shares"},{"title":"Short-Rate Derivatives in a Higher-for-Longer Environment","url":"/papers/arxiv/2502.21252/","summary":"A new class of short-rate models exhibiting a higher for longer phenomenon provides explicit pricing for zero-coupon bonds and interest rate derivatives, and outlines conditions for various endpoints.","featured":"2025-03-05","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":14,"scale":"shares"},{"title":"To Hedge or Not to Hedge: Optimal Strategies for Stochastic Trade Flow Management","url":"/papers/arxiv/2503.02496/","summary":"The paper proposes using reinforcement learning methods to manage stochastic trade flows, offering an alternative to traditional grid-based numerical PDE techniques.","featured":"2025-03-05","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":11,"scale":"shares"},{"title":"Hedging Counterparty Credit Risk","url":"/papers/ssrn/5142912/","summary":"The article explores how to price and hedge counterparty credit risk and funding when there's no option to hedge the default risk of the bank or the counterparty. It uses local risk minimization to determine the best strategy.","featured":"2025-02-26","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":107,"scale":"shares"},{"title":"Volatility Predictions in Credit Markets","url":"/papers/ssrn/5130271/","summary":"The research presents a predictive causality network among corporate bond issuers to aid proactive portfolio management and diversification analysis.","featured":"2025-02-19","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":229,"scale":"shares"},{"title":"Options Trading Impact on Stock Market","url":"/papers/ssrn/5124454/","summary":"The paper investigates the effect of equity options trading and investor sentiment on stock market returns and volatility, concluding that both call and put option trading increase stock price volatility.","featured":"2025-02-19","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":22,"scale":"shares"},{"title":"FX Forecast Volatility in Risk Management","url":"/papers/ssrn/5114727/","summary":"A dynamic Bayesian model using skewed distributions improves currency risk management and hedging strategies by better capturing financial data asymmetry.","featured":"2025-02-19","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":10,"scale":"shares"},{"title":"Corporate Hedging Debt Costs Emerging Market","url":"/papers/ssrn/5126331/","summary":"Corporate hedging has varied effects on Brazilian firms' debt costs, increasing primary market costs but reducing risk in the secondary market, with subsidized credit not significantly affecting this relationship.","featured":"2025-02-19","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":10,"scale":"shares"},{"title":"Volatility Connectedness in Global Forex Markets","url":"/papers/ssrn/5130870/","summary":"The study examines volatility links among top traded currencies, identifying the Swiss franc and Japanese yen as ideal for managing currency risk.","featured":"2025-02-19","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":25,"scale":"shares"},{"title":"A Deep BSDE Approach for the Simultaneous Pricing and Delta-Gamma Hedging of Large Portfolios Consisting of High-Dimensional Multi-asset Bermudan Options","url":"/papers/arxiv/2502.11706/","summary":"A new method for pricing and hedging high-dimensional Bermudan options using a deep BSDE approach has been demonstrated, showing accuracy and robustness with up to 100 risk factors.","featured":"2025-02-19","label":"arXiv","topic":"Derivatives & Volatility","cites":4,"score":6,"scale":"shares"},{"title":"Robust Pricing of Equity-Indexed Annuities under Uncertain Volatility and Stochastic Interest Rate","url":"/papers/arxiv/2502.10300/","summary":"A new method for pricing equity-indexed annuities with cliquet-style payoffs and early surrender risk has been proposed, using a tree-based framework and local volatility optimization.","featured":"2025-02-19","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":6,"scale":"shares"},{"title":"When defaults cannot be hedged: an actuarial approach to xVA calculations via local risk-minimization","url":"/papers/arxiv/2502.12774/","summary":"The pricing and hedging of counterparty credit risk and funding when there's no chance to hedge the jump to default is considered, using local risk-minimization and a BSDE.","featured":"2025-02-19","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":5,"scale":"shares"},{"title":"Volatile KSE-30 Equities Allocation","url":"/papers/repec/spr-snopef-v-6-y-2025-i-1-d-10-1007-s43069-025-00421-4/","summary":"Machine learning has been used to identify assets contributing to downward trends in the Pakistan Stock Exchange, suggesting a portfolio optimization strategy for effective asset allocation.","featured":"2025-02-19","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":25,"scale":"shares"},{"title":"Mellin Transform Approach for American Options","url":"/papers/repec/gam-jmathe-v-13-y-2025-i-3-p-479-d-1581067/","summary":"A new method for calculating option Greeks using the Mellin transform is introduced, offering a fresh approach to risk mitigation in option trading.","featured":"2025-02-19","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":11,"scale":"shares"},{"title":"Market Competition and Zero-Leverage Policies","url":"/papers/repec/gam-jjrfmx-v-18-y-2025-i-2-p-73-d-1582023/","summary":"Research indicates that increased product market competition leads firms, particularly those with high earnings volatility, to adopt zero-leverage policies, emphasizing the impact of earnings volatility on capital structure decisions.","featured":"2025-02-19","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":18,"scale":"shares"},{"title":"Bond Market Volatility Forecasting for Chinese Stocks","url":"/papers/repec/wly-jforec-v-44-y-2025-i-2-p-547-555/","summary":"The study shows that the fluctuation of 10-year treasury bond contracts can predict China's stock market volatility, with machine learning methods proving more accurate than traditional models.","featured":"2025-02-19","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":24,"scale":"shares"},{"title":"Predicting VIX Trends","url":"/papers/repec/taf-quantf-v-24-y-2024-i-12-p-1857-1873/","summary":"The study uses machine learning to predict the CBOE Volatility Index, finding that weekly jobless claim data significantly impacts market volatility and improves trading strategies' resilience.","featured":"2025-02-19","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":23,"scale":"shares"},{"title":"Hedge Funds & Monetary Policy","url":"/papers/ssrn/5115891/","summary":"Hedge funds that react more to monetary policy changes tend to have higher returns, likely because they use government announcements to forecast market futures.","featured":"2025-02-05","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":53,"scale":"shares"},{"title":"Power Exchange Options Pricing","url":"/papers/ssrn/5104729/","summary":"The article introduces a pricing model for power exchange options that takes into account liquidity risk and counterparty default risk, demonstrating the influence of market liquidity on options prices.","featured":"2025-02-05","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":14,"scale":"shares"},{"title":"VIX Forecasting","url":"/papers/ssrn/5106657/","summary":"An ARIMA-GARCH model is developed to forecast changes in the VIX, achieving a direction prediction accuracy of 56.01% but struggles to replicate extreme VIX spikes.","featured":"2025-02-05","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":31,"scale":"shares"},{"title":"Network Linear Covariance Models","url":"/papers/ssrn/5113698/","summary":"The study uses GNAR models to forecast the realized covariance matrix of a subset of S&P 500 stocks, reducing forecasting errors during volatile trading days.","featured":"2025-02-05","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":21,"scale":"shares"},{"title":"US Sector Stock Volatility and Geopolitical Risk","url":"/papers/ssrn/5104488/","summary":"US sectoral stock market volatility is significantly affected by different geopolitical risk categories, with sectors reacting more to terror threats than actual terror acts or war escalations.","featured":"2025-02-05","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":11,"scale":"shares"},{"title":"Floating exercise boundaries for American options in time-inhomogeneous models","url":"/papers/arxiv/2502.00740/","summary":"The paper discusses a semi-analytical method for pricing American options in models with negative interest rates or convenience yields, indicating that exercise boundaries may have a floating structure in such scenarios.","featured":"2025-02-05","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":4,"scale":"shares"},{"title":"On non-uniqueness in the option valuation problem","url":"/papers/arxiv/2501.18721/","summary":"The research discusses the inconsistency in the value of a call option in constant elasticity processes, attributing it to initial data not fitting the Tacklind class and lack of boundary conditions for some indicators.","featured":"2025-02-05","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":11,"scale":"shares"},{"title":"Bullion as Hedge for Oil","url":"/papers/repec/rfb-journl-v-16-y-2024-i-1-p-33-41/","summary":"Gold and silver served as a medium-term investment hedge for crude oil during the Russia-Ukraine war, but only a weak safe haven during periods of conflict.","featured":"2025-02-05","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":8,"scale":"shares"},{"title":"A Study on Volatility in Stock Market(NSE) based on Select Sectoral Indices during Union Budget Period of India.","url":"/papers/ssrn/5103605/","summary":"The paper studies the volatility performance between the Nifty index and Sector index, emphasizing the role of the stock market in economic growth and the potential harm of market instability.","featured":"2025-01-23","label":"SSRN","topic":"Derivatives & Volatility","cites":2,"score":10,"scale":"shares"},{"title":"Variational Inequality Problems in Finance","url":"/papers/ssrn/5104185/","summary":"The paper discusses various variational inequality models in finance, which outline optimal strategies in derivatives pricing, portfolio selection, and corporate finance.","featured":"2025-01-23","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":11,"scale":"shares"},{"title":"Granular Option Info & Stock Returns","url":"/papers/ssrn/5103969/","summary":"The research indicates that granular option variables can predict individual stock returns, with machine learning techniques improving this prediction.","featured":"2025-01-23","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"Quadratic Model for Oil Options Market","url":"/papers/ssrn/5098853/","summary":"The study uses the quadratic normal model to improve oil options pricing and hedging, incorporating fat-tailed distributions and testing its efficiency over 25 years.","featured":"2025-01-23","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":13,"scale":"shares"},{"title":"Energy Market Calibration","url":"/papers/ssrn/5094585/","summary":"The article proposes a model to align historical correlations of futures contracts with implied volatility smiles using two specific mathematical models.","featured":"2025-01-23","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":233,"scale":"shares"},{"title":"Financial Development Volatility","url":"/papers/ssrn/5098277/","summary":"The article reveals a potential negative impact of excessive finance on growth volatility.","featured":"2025-01-23","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":11,"scale":"shares"},{"title":"Defaultable Bond Liquidity Spread Estimation: an Option-Based Approach","url":"/papers/arxiv/2501.11427/","summary":"The article introduces a model that uses option theory to calculate liquidity spreads for corporate bonds, focusing on Italy's debt, and offers a method for pricing illiquid bonds.","featured":"2025-01-23","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":7,"scale":"shares"},{"title":"An Optimal Transport approach to arbitrage correction: application to Volatility Stress-Tests","url":"/papers/arxiv/2501.12195/","summary":"The article presents a method that eliminates arbitrage opportunities in option prices, designed for regulatory stress-tests, and proves to be more effective than existing methods.","featured":"2025-01-23","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":6,"scale":"shares"},{"title":"A statistical technique for cleaning option price data","url":"/papers/arxiv/2501.11164/","summary":"The article addresses three common issues in recorded option price datasets and suggests solutions to ensure the reliability of analyses based on these datasets.","featured":"2025-01-23","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":2,"scale":"shares"},{"title":"Model Specification for Volatility Forecasting","url":"/papers/repec/eee-finana-v-97-y-2025-i-c-s1057521924007828/","summary":"The best model for forecasting asset price volatility should use the natural logarithmic form of the original volatility measure for efficient regression estimators.","featured":"2025-01-23","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":16,"scale":"shares"},{"title":"BRICS Stock Volatility","url":"/papers/repec/gam-jijfss-v-13-y-2025-i-1-p-8-d-1564897/","summary":"The study identifies factors affecting stock price volatility in BRICS countries during crises using data analysis, with the Random Tree method proving most effective.","featured":"2025-01-23","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":14,"scale":"shares"},{"title":"Volatility Indexes and Investments","url":"/papers/repec/eee-finana-v-97-y-2025-i-c-s1057521924007944/","summary":"The research reveals that the COVID-19 pandemic significantly impacted the dynamic connectedness between volatility indexes and worldwide ESG leaders’ equity markets.","featured":"2025-01-23","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":13,"scale":"shares"},{"title":"Volatility Spillover in Financial Systems","url":"/papers/repec/eee-riibaf-v-74-y-2025-i-c-s0275531924004938/","summary":"The research reveals that volatility spillovers in dual financial systems form as intersectoral clusters affected by their own volatility.","featured":"2025-01-23","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":11,"scale":"shares"},{"title":"Model-Free Price Movements","url":"/papers/repec/gam-jjrfmx-v-18-y-2025-i-1-p-30-d-1565621/","summary":"The paper introduces a model-free lattice model that can describe the complete price evolution of an asset and re-price all of its European options simultaneously.","featured":"2025-01-23","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":10,"scale":"shares"},{"title":"Volatility Forecast Combination","url":"/papers/ssrn/5090177/","summary":"The authors introduce a forecast combination scheme with fluctuating weights based on financial decisions, showing better economic performance than existing methods.","featured":"2025-01-15","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":12,"scale":"shares"},{"title":"Heath–Jarrow–Morton meet lifted Heston in energy markets for joint historical and implied calibration","url":"/papers/arxiv/2501.05975/","summary":"A multiplicative multi-factor model is suggested to align historical correlations of futures contracts with implied volatility smiles in energy markets.","featured":"2025-01-15","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":7,"scale":"shares"},{"title":"VIX options in the SABR model","url":"/papers/arxiv/2501.06398/","summary":"The pricing of VIX options in the SABR model is examined, revealing infinite VIX futures and call prices, and suggesting a capped volatility process as a solution.","featured":"2025-01-15","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":6,"scale":"shares"},{"title":"NonMarkovian Formula","url":"/papers/ssrn/5080431/","summary":"The article extends the FeynmanKac formula to nonMarkovian settings, providing a mathematical framework for complex memory effects in stochastic processes and financial derivatives pricing.","featured":"2025-01-08","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":24,"scale":"shares"},{"title":"Quantile Volatility in China","url":"/papers/ssrn/5071830/","summary":"Understanding volatility connectedness among theme factors and sector indices in the Chinese stock market is key for effective investment strategies and risk management.","featured":"2025-01-08","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Volatility Prediction in Chinese Futures","url":"/papers/ssrn/5077241/","summary":"A new deep learning method is introduced for predicting Chinese futures market movements, demonstrating superior predictability compared to existing benchmarks.","featured":"2025-01-01","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"Inflation Volatility Model","url":"/papers/ssrn/5075049/","summary":"A new semiparametric volatility model is introduced for estimating inflation volatility, outperforming standard models and offering a new measure to explain the fluctuating asymmetric inflation level-volatility relationship.","featured":"2025-01-01","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"LeftTail Risk Predicts Stock Volatility","url":"/papers/ssrn/5078170/","summary":"The paper shows that stock crash risk can significantly predict future volatility of the SP 500 index, providing unique predictive insights separate from macroeconomic variables.","featured":"2025-01-01","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"A Reinforcement Learning Algorithm For Option Hedging","url":"/papers/ssrn/5061664/","summary":"The study introduces a Reinforcement Learning-based algorithm for hedging European call option payoffs, proving its effectiveness against the standard delta hedging strategy.","featured":"2025-01-01","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":9,"scale":"shares"},{"title":"Tax Effects of Financial Transactions in Spain","url":"/papers/ssrn/5062009/","summary":"The article analyzes the effect of the Robin Hood tax on the Spanish stock market, suggesting it lowered volatility without impacting trading or liquidity.","featured":"2025-01-01","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":11,"scale":"shares"},{"title":"Hedge Fund Leverage and Stock Price Risk","url":"/papers/ssrn/5067345/","summary":"The article shows a positive correlation between hedge fund leverage and prime brokers' stock price crash risk, based on data from 2001-2021.","featured":"2025-01-01","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":11,"scale":"shares"},{"title":"Multivariate Rough Volatility","url":"/papers/ssrn/5065415/","summary":"The article introduces a multivariate version of the Rough Fractional Stochastic Volatility model for analyzing logvolatilities, providing an estimator and confirming its theory through simulation.","featured":"2025-01-01","label":"SSRN","topic":"Derivatives & Volatility","cites":4,"score":12,"scale":"shares"},{"title":"Monetary Policy and Hedging Costs","url":"/papers/ssrn/5068016/","summary":"The cost of hedging can be greatly affected by monetary policy decisions, as seen during the height of the pandemic crisis in March 2020.","featured":"2025-01-01","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Rough differential equations for volatility","url":"/papers/arxiv/2412.21192/","summary":"The paper presents a method for jointly lifting a Brownian motion and a low-regularity adapted stochastic rough path, useful for modeling rough volatility.","featured":"2025-01-01","label":"arXiv","topic":"Derivatives & 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factors like trend and interest rate differential, can improve returns and manage risk better than static ones.","featured":"2024-12-18","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":41,"scale":"shares"},{"title":"Analyzing Fundamental and Non-Fundamental Volatility in GCC Stock Markets: A Decomposition Approach","url":"/papers/ssrn/5029371/","summary":"The study analyzes the factors influencing stock price fluctuations in Gulf countries, focusing on the role of oil prices.","featured":"2024-12-18","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"PolyModel for Hedge Funds' Portfolio Construction Using Machine Learning","url":"/papers/arxiv/2412.11019/","summary":"The use of machine learning and PolyModel feature selection in hedge fund investments improves returns and portfolio optimization, but also increases volatility, questioning the reliability of larger funds.","featured":"2024-12-18","label":"arXiv","topic":"Derivatives & Volatility","cites":3,"score":6,"scale":"shares"},{"title":"Hybrid Machine Learning for Stock Volatility Prediction","url":"/papers/repec/eee-finana-v-96-y-2024-i-pb-s1057521924006434/","summary":"A study uses machine learning to analyze stock market volatility, finding the RF-LASSO model to be the most effective predictor.","featured":"2024-12-18","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":24,"scale":"shares"},{"title":"Retail Investor Response","url":"/papers/ssrn/5053211/","summary":"The study shows that monetary policy shocks in open economies lead to a shift in assets, with wealthier clients showing a stronger shift from fixed income securities to riskier options.","featured":"2024-12-12","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":5,"scale":"shares"},{"title":"Event-Driven Connectedness","url":"/papers/ssrn/5050777/","summary":"The research identifies 21 significant historical events that increased volatility in oil-based commodity prices, with geopolitical events having a more consistent impact than economic or natural events.","featured":"2024-12-12","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":7,"scale":"shares"},{"title":"Minimum Holding Period Analysis","url":"/papers/ssrn/5050385/","summary":"The study warns that relying on short-term metrics or a single simulation method can lead to misleading conclusions about a portfolio strategy's ability to outperform a benchmark due to market volatility and structural shifts.","featured":"2024-12-12","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":7,"scale":"shares"},{"title":"Volatility Demand in Market Turmoil","url":"/papers/ssrn/5052438/","summary":"The study resolves the paradox of end users reducing their VIX call options during market downturns by examining the demand curves for market makers and end users, emphasizing the market makers' role in market equilibrium.","featured":"2024-12-12","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"A Consolidated Volatility Prediction with Back Propagation Neural Network and Genetic Algorithm","url":"/papers/arxiv/2412.07223/","summary":"The article presents a unique AI model for predicting future volatility in emerging stock markets, showing high accuracy and low error rates.","featured":"2024-12-12","label":"arXiv","topic":"Derivatives & Volatility","cites":25,"score":5,"scale":"shares"},{"title":"Optimal Portfolio Analysis with Stochastic Volatility","url":"/papers/repec/wsi-ijtafx-v-27-y-2024-i-05n06-n-s0219024924500237/","summary":"The article presents a method for optimizing portfolios in a volatile financial market, using an approximation method to control error and create an optimal portfolio.","featured":"2024-12-12","label":"RePEc","topic":"Derivatives & 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viability","url":"/papers/arxiv/2411.19206/","summary":"The article presents a novel approach to pricing and hedging derivatives in a seamless market, even without a local martingale measure, and introduces a new superhedging duality for American options.","featured":"2024-12-04","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Spanning Multi‐Asset Payoffs With ReLUs","url":"/papers/arxiv/2403.14231/","summary":"The article suggests a novel solution to the multi-asset payoff spanning issue using one-hidden-layer feedforward neural networks, improving hedging results with vanilla basket options.","featured":"2024-12-04","label":"arXiv","topic":"Derivatives & Volatility","cites":4,"score":17,"scale":"shares"},{"title":"Financial Derivatives Usage and Stock Price Risk in China","url":"/papers/ssrn/5031452/","summary":"The use of financial derivatives has been found to lower stock price crash risk in the Chinese market by controlling self-interested managerial behaviors and improving information disclosure.","featured":"2024-11-27","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Forecasting Volatility: An S&P 500 Case Study","url":"/papers/ssrn/5013407/","summary":"An S&P 500 Case Study: The paper suggests that simple forecasts can effectively stabilize volatility in the SP 500 and Treasury bills, similar to complex models.","featured":"2024-11-27","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":6,"scale":"shares"},{"title":"Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates","url":"/papers/arxiv/2411.16617/","summary":"The study explores quanto options involving multiple assets in different currencies, concluding that a mix of GARCH-Jump SV, Weibull SC, and Ornstein Uhlenbeck (OU) SER is most effective for Monte Carlo simulation pricing.","featured":"2024-11-27","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":4,"scale":"shares"},{"title":"Markov-Functional Models with Local Drift","url":"/papers/arxiv/2411.15053/","summary":"The paper presents a Markov-functional method to build local volatility models calibrated to a set of marginal distributions, expanding on the volatility interpolation of Bass, Conze, and Henry-Labordère.","featured":"2024-11-27","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Deep Hedging Bermudan Swaptions","url":"/papers/arxiv/2411.10079/","summary":"The article introduces a new method for Bermudan swaption hedging using the deep hedging framework, improving profit and loss management.","featured":"2024-11-20","label":"arXiv","topic":"Derivatives & Volatility","cites":5,"score":6,"scale":"shares"},{"title":"A Risk Sensitive Contract-unified Reinforcement Learning Approach for Option Hedging","url":"/papers/arxiv/2411.09659/","summary":"The paper proposes a risk-sensitive reinforcement learning approach for dynamic hedging of options, reducing tail risk using historical market data.","featured":"2024-11-20","label":"arXiv","topic":"Derivatives & Volatility","cites":3,"score":5,"scale":"shares"},{"title":"Gold in Decision-Making","url":"/papers/ssrn/5012566/","summary":"The article presents an educational framework to understand the role of gold in economic theory, focusing on its function as a safe-haven asset, a store of value, and its relationship with inflation and market volatility.","featured":"2024-11-13","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Filling in Missing FX Implied Volatilities with Uncertainties: Improving VAE-Based Volatility Imputation","url":"/papers/arxiv/2411.05998/","summary":"The study explores enhancing the prediction of missing implied volatilities in FX options using modified variational autoencoders (VAEs), which better manage data uncertainty.","featured":"2024-11-13","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":3,"scale":"shares"},{"title":"Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces","url":"/papers/arxiv/2411.04041/","summary":"The article suggests an arbitrage-free framework for randomizing parameters from the parametric implied volatility formula, improving existing parametrizations and expanding the range of acceptable implied volatilities shapes, proving especially effective in modeling the implied volatility curves of short expiry options before an earnings announcement.","featured":"2024-11-13","label":"arXiv","topic":"Derivatives & Volatility","cites":4,"score":5,"scale":"shares"},{"title":"Robust and Fast Bass Local Volatility","url":"/papers/arxiv/2411.04321/","summary":"The paper introduces a new method for the Bass Local Volatility Model that merges local quadratic estimation and lognormal mixture tails for creating state price densities, showing that trapezoidal rule based schemes for numerical convolutions perform better than commonly used Gauss-Hermite quadrature.","featured":"2024-11-13","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":3,"scale":"shares"},{"title":"Volatility Forecasting: Linear vs. Nonlinear","url":"/papers/repec/eee-empfin-v-78-y-2024-i-c-s0927539824000598/","summary":"Linear vs. Nonlinear: Machine learning models were found to be effective in forecasting global stock market volatility, with simpler models performing better for volatility-timing portfolios.","featured":"2024-11-13","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":22,"scale":"shares"},{"title":"Investors' Risk Perception","url":"/papers/repec/taf-eurjfi-v-30-y-2024-i-17-p-2032-2058/","summary":"An unsupervised machine learning algorithm analyzed corporate disclosures, finding that most risk factors decrease return volatility when disclosed.","featured":"2024-11-13","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":19,"scale":"shares"},{"title":"DeepVol: Volatility Forecasting with Dilated Causal Convolutions","url":"/papers/repec/taf-quantf-v-24-y-2024-i-8-p-1105-1127/","summary":"Volatility Forecasting with Dilated Causal Convolutions: The study introduces DeepVol, a model using Dilated Causal Convolutions, which effectively uses high-frequency data to predict next-day market volatility.","featured":"2024-11-13","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":27,"scale":"shares"},{"title":"Short-maturity options on realized variance in local-stochastic volatility models","url":"/papers/arxiv/2411.02520/","summary":"The first article explores the calculation of short-term predictions for the prices of options on realized variance in local-stochastic volatility models, offering solutions for both out-of-the-money and in-the-money options.","featured":"2024-11-06","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":7,"scale":"shares"},{"title":"Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets","url":"/papers/arxiv/2411.02804/","summary":"The article presents a new method for detecting uncertainty shocks in financial markets by modifying the Volatility Index (VIX), resulting in a more precise volatility measure.","featured":"2024-11-06","label":"arXiv","topic":"Derivatives & Volatility","cites":3,"score":9,"scale":"shares"},{"title":"Role of Foreign Exchange Reserves in Dollarization","url":"/papers/ssrn/4993137/","summary":"The research indicates that active intervention in foreign exchange can stabilize economic volatility in economies heavily reliant on the US dollar.","featured":"2024-10-23","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":7,"scale":"shares"},{"title":"FX Volatility","url":"/papers/ssrn/4993938/","summary":"High foreign exchange volatility results in higher currency carry returns during high ambiguity, as investors avoid trading, a study shows.","featured":"2024-10-23","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":7,"scale":"shares"},{"title":"Hedging Strategy with Transaction Costs","url":"/papers/ssrn/4990913/","summary":"The traditional binomial model for derivative security pricing is enhanced to include transaction costs, portfolio constraints, and dividend-paying assets, aiming to identify the best hedging strategy.","featured":"2024-10-23","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Solving The Dynamic Volatility Fitting Problem: A Deep Reinforcement Learning Approach","url":"/papers/arxiv/2410.11789/","summary":"The article discusses the use of Deep Reinforcement Learning in solving volatility issues in equity derivatives, showing its effectiveness and adaptability in handling complex functions and online learning.","featured":"2024-10-23","label":"arXiv","topic":"Derivatives & Volatility","cites":4,"score":5,"scale":"shares"},{"title":"First order Martingale model risk and semi-static hedging","url":"/papers/arxiv/2410.06906/","summary":"The study expands on previous research on model risk distributionally robust sensitivities, introducing the minimization of the distributionally robust problem in relation to semi-static hedging strategies and outlining the optimal strategies.","featured":"2024-10-23","label":"arXiv","topic":"Derivatives & Volatility","cites":16,"score":3,"scale":"shares"},{"title":"Volatility Dynamics in Regime-Switching Models","url":"/papers/ssrn/4987141/","summary":"The study contrasts the forecasting performances of OSBetatEGARCH and MSBetatEGARCH in the US stock market, proving OSBetatEGARCH's superiority.","featured":"2024-10-17","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Foreign Exchange Exposure and Hedging Strategies: A Case-Based Analysis of MNCs","url":"/papers/ssrn/4986846/","summary":"The article discusses how multinational companies like CocaCola and IBM manage currency exposure using a mix of financial derivatives and natural hedges.","featured":"2024-10-17","label":"SSRN","topic":"Derivatives & Volatility","cites":2,"score":2,"scale":"shares"},{"title":"Quality Signals and Market Performance","url":"/papers/ssrn/4984658/","summary":"The article explores factors influencing post-Initial Coin Offerings (ICOs) market stability, suggesting that high-quality signals like venture capital backing can reduce market volatility and increase investor trust.","featured":"2024-10-17","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":7,"scale":"shares"},{"title":"Optimal Hedge Fund Allocation","url":"/papers/ssrn/4987003/","summary":"The research indicates that substantial investments in hedge funds can be justified by their diversification benefits, even without alpha, but these investments are greatly influenced by alpha assumptions.","featured":"2024-10-17","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":7,"scale":"shares"},{"title":"A Study On Impact Of Credit Derivatives On The Indian Financial Sector","url":"/papers/ssrn/4983417/","summary":"The paper explores the impact of credit derivatives on risk management, banking stability, and financial growth in India's financial sector.","featured":"2024-10-17","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"DataDriven Inventory Management with Financial Hedging","url":"/papers/ssrn/4976702/","summary":"The study presents a data-driven approach for inventory and financial hedging for new products, using return factors to predict demand and future returns, leading to a new decision-making framework.","featured":"2024-10-09","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"Option Pricing Formula","url":"/papers/ssrn/4975834/","summary":"The article presents a pricing formula for a ComEx option, which allows the exchange of two options, and compares its price evolution to the Margrabe option, which permits the exchange of two underlying assets.","featured":"2024-10-09","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"GIS Analysis","url":"/papers/ssrn/4979418/","summary":"The study reveals that France's history with growth-contingent bonds shows the equity premium isn't just compensation for GDP risk, as it persists even when hedged against GDP changes.","featured":"2024-10-09","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Neural Term Structure of Additive Process for Option Pricing","url":"/papers/arxiv/2408.01642/","summary":"The research introduces the neural term structure model for option pricing, providing benefits in creating the risk-neutral measure, pricing formula, and fitting the implied volatility surface.","featured":"2024-10-09","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":6,"scale":"shares"},{"title":"Political Instability and FDI","url":"/papers/ssrn/4973360/","summary":"The Gambia has seen a decrease in foreign direct investment due to political instability, corruption, and exchange rate volatility since the 1994 coup, with political stability post-2017 positively affecting investment inflows.","featured":"2024-10-03","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Hedge Fund Liquidity Reform","url":"/papers/ssrn/4974171/","summary":"Post-2014 regulations have caused hedge funds to reduce market liquidity exposure and focus on liquid stocks, except those linked to large US-based prime brokers.","featured":"2024-10-03","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Risk Pricing in Credit Options","url":"/papers/ssrn/4973596/","summary":"Research shows that delta-hedged credit index options have large negative Sharpe ratios, largely explained by a single credit-specific factor related to credit option order flow.","featured":"2024-10-03","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":254,"scale":"shares"},{"title":"Tighter 'uniform bounds for Black-Scholes implied volatility' and the applications to root-finding","url":"/papers/arxiv/2302.08758/","summary":"A new algorithm has been introduced that uses option delta to improve the accuracy of the Black-Scholes implied volatility, offering a better solution than the commonly used Newton-Raphson algorithm.","featured":"2024-10-03","label":"arXiv","topic":"Derivatives & Volatility","cites":3,"score":15,"scale":"shares"},{"title":"Deep Gamma Hedging","url":"/papers/arxiv/2409.13567/","summary":"The study uses neural networks to determine optimal replication strategies for an option, indicating that gamma hedging is used to manage model uncertainty rather than to lessen transaction costs.","featured":"2024-09-25","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":7,"scale":"shares"},{"title":"Interest rate derivatives in a CTMC setting: Pricing, replication and Ross recovery","url":"/papers/arxiv/2409.14193/","summary":"The research prices financial derivatives based on a continuous time Markov chain's state at maturity, demonstrating how to replicate such claims by trading only a money market account and zero-coupon bonds.","featured":"2024-09-25","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":6,"scale":"shares"},{"title":"Theoretical and Empirical Validation of Heston Model","url":"/papers/arxiv/2409.12453/","summary":"The study applies the Heston model to option pricing, using Monte Carlo simulations and machine learning methods to estimate parameters and evaluate the model's robustness and relevance in today's financial markets.","featured":"2024-09-25","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":5,"scale":"shares"},{"title":"Crude Oil Volatility Forecasting","url":"/papers/repec/wly-jforec-v-43-y-2024-i-5-p-1422-1446/","summary":"The study shows that machine learning forecasts offer superior predictions for the volatility of WTI futures prices, resulting in economic benefits.","featured":"2024-09-25","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":14,"scale":"shares"},{"title":"EPUs Impact","url":"/papers/ssrn/4959148/","summary":"The Tree-based GARCH-MIDAS model reveals that high economic policy uncertainty weakens the response of asset volatility to macroeconomic variables, improving volatility predictions over longer periods.","featured":"2024-09-18","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"AI Deep Learning for Volatility Prediction","url":"/papers/ssrn/4956075/","summary":"The use of deep learning for predicting conditional volatility can enhance the performance of long-short portfolios, with a negative risk-return relation accounting for the improved performance.","featured":"2024-09-18","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Tick Size in Futures-Options Markets","url":"/papers/ssrn/4959139/","summary":"A study reveals that the tick size in the Chicago Mercantile Exchange corn and soybean markets can affect pricing efficiency, with options being as informative as futures.","featured":"2024-09-18","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Market Impacts of Short Selling Bans","url":"/papers/ssrn/4955275/","summary":"Short selling bans in six European countries during the COVID-19 market stress in March 2020 resulted in decreased liquidity and trading volumes, reduced volatility, and had a lasting negative impact.","featured":"2024-09-18","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":90,"scale":"shares"},{"title":"Pricing American Options using Machine Learning Algorithms","url":"/papers/arxiv/2409.03204/","summary":"The study discusses the use of machine learning in pricing American options using Monte Carlo simulations, improving pricing accuracy and predictions.","featured":"2024-09-18","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":10,"scale":"shares"},{"title":"Derivatives Usage and Stock Price Crash Risk in China","url":"/papers/ssrn/4951454/","summary":"Research indicates that the use of financial derivatives in China's emerging market reduces stock price crash risk by curbing managers' self-interest and improving firms' information disclosure.","featured":"2024-09-10","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Finance Volatility","url":"/papers/ssrn/4947710/","summary":"The study introduces a new dictionary for analyzing volatility in finance, which can help explain changes in implied volatility dynamics and levels.","featured":"2024-09-10","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":5,"scale":"shares"},{"title":"Uncertainty and Volatility-Managed Strategies","url":"/papers/ssrn/4951893/","summary":"Volatility-managed investment strategies work better for stocks with low uncertainty and during times of low overall uncertainty, a study found.","featured":"2024-09-10","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Hedge Fund Strategies","url":"/papers/repec/eee-ecofin-v-74-y-2024-i-c-s1062940824001657/","summary":"The study reveals that hedge funds with higher fees and minimum investments are better at hedging geopolitical risks, while global macro hedge funds excel at timing.","featured":"2024-09-10","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":16,"scale":"shares"},{"title":"Dynamic Currency Risk Hedging","url":"/papers/repec/eee-phsmap-v-649-y-2024-i-c-s0378437124004576/","summary":"The study suggests a machine learning method for hedging foreign exchange risk in international equity portfolios, improving currency risk hedging.","featured":"2024-09-10","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":30,"scale":"shares"},{"title":"Black-Scholes-Merton Model","url":"/papers/ssrn/4946621/","summary":"The expected return rate of an asset does impact the option pricing model, contrary to continuous-time finance literature, necessitating a linear function between risk-free interest rate and the asset's expected return rate and return variance.","featured":"2024-09-05","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"The Zero-Beta Rate Revisited","url":"/papers/ssrn/4942202/","summary":"The article proposes a new approach to estimating the zerobeta rate in asset pricing, arguing that current methods are flawed and result in high, volatile rates.","featured":"2024-09-05","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Customer Valuation with Option Pricing Framework","url":"/papers/ssrn/4942246/","summary":"The article introduces a new method for evaluating customer value using a continuous-time option pricing framework, suggesting marketing costs are irreversible investments dependent on uncertain profit margins, a departure from the traditional discounted cash flow approach.","featured":"2024-09-05","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"Failure of Fourier pricing techniques to approximate the Greeks","url":"/papers/arxiv/2306.08421/","summary":"The Greeks Delta and Gamma in plain vanilla options are inaccurately approximated by three Fourier methods, indicating finite differences may provide a better approximation.","featured":"2024-09-05","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":12,"scale":"shares"},{"title":"Volatility Shocks in Small Economies","url":"/papers/ssrn/4935779/","summary":"The study employs a Bayesian-estimated New Keynesian Open Economy Model to study the effect of different shocks on the business cycle fluctuations of a small open economy, using Canada as a case study.","featured":"2024-08-28","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Geopolitical Risk and Oil Price Volatility","url":"/papers/ssrn/4937728/","summary":"The paper investigates the influence of geopolitical risks on oil price volatility over the last 30 years, demonstrating that oil price changes are significantly affected by geopolitical risks and that the proposed model is superior to linear specifications in predicting oil price volatility.","featured":"2024-08-28","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Option Market Makers' Hedging Model","url":"/papers/ssrn/4936978/","summary":"The model suggests that the way Option Market Makers manage their option inventory can cause unpredictable changes in stock prices, with their net option position being a key predictor of SPX futures' end-of-day return.","featured":"2024-08-28","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"Currency Exchange Rate Volatility and Prices in Indonesia","url":"/papers/ssrn/4935428/","summary":"Research shows significant interactions between gold and coal prices, exchange rates, and interest rates on Indonesian stock mutual funds from 2019-2022.","featured":"2024-08-28","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Corporate Hedging and Board Cultural Diversity","url":"/papers/ssrn/4934677/","summary":"A study reveals that board cultural diversity in Swedish firms positively influences risk hedging decisions and derivative instrument use, enhancing firm performance.","featured":"2024-08-28","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Unfunded Capital Commitments Impact","url":"/papers/ssrn/4937390/","summary":"Private capital funds commitments have resulted in a $4 trillion liability for global asset owners, affecting university operations due to fluctuating performance of hedged endowments.","featured":"2024-08-28","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Narrow Framing in Risk Aversion","url":"/papers/ssrn/4935163/","summary":"In experimental settings, individuals often assess risky options without considering their personal wealth, a consistent observation across various experiments and stake sizes.","featured":"2024-08-28","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"EX-DRL: Hedging Against Heavy Losses with EXtreme Distributional Reinforcement Learning","url":"/papers/arxiv/2408.12446/","summary":"The article introduces EXtreme DRL (EX-DRL), a new method to improve the accuracy of extreme quantile predictions in Distributional Reinforcement Learning, improving financial risk management.","featured":"2024-08-28","label":"arXiv","topic":"Derivatives & Volatility","cites":6,"score":7,"scale":"shares"},{"title":"Robust asset pricing and superhedging duality under model uncertainty with and without short-sale constraints","url":"/papers/arxiv/2408.13048/","summary":"The study investigates no-arbitrage asset pricing under model uncertainty and short sales prohibitions, extending the single-period securities model to a multi-period one.","featured":"2024-08-28","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":4,"scale":"shares"},{"title":"A case study on different one-factor Cheyette models for short maturity caplet calibration","url":"/papers/arxiv/2408.11257/","summary":"Research suggests that using alternative volatility terms and models can improve the calibration of the 1Y caplet smile across different strike ranges, particularly a model with linear local volatility and uncorrelated variance.","featured":"2024-08-28","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":4,"scale":"shares"},{"title":"Passive Investing","url":"/papers/ssrn/4928631/","summary":"The research indicates that the growth of passive investing increases stock correlations and market volatility, reducing the advantages of diversification and increasing market risk during crises.","featured":"2024-08-21","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Stock Market Volatility Analysis","url":"/papers/ssrn/4927296/","summary":"The paper highlights the importance of understanding stock market volatility clusters for informed investment decisions and risk management.","featured":"2024-08-21","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Hedging in Jump Diffusion Model with Transaction Costs","url":"/papers/arxiv/2408.10785/","summary":"The study applies a jump-diffusion risky asset model to calculate the hedging strategy for a European call option, using a decision tree, table of values, and figures.","featured":"2024-08-21","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":6,"scale":"shares"},{"title":"Modeling Volatility","url":"/papers/repec/bla-socsci-v-105-y-2024-i-4-p-965-979/","summary":"The research shows the effectiveness of modeling compositional volatility, using German political party support and US income shares data as examples.","featured":"2024-08-21","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":22,"scale":"shares"},{"title":"Political Instability and Stock Markets in BRICS & Türkiye","url":"/papers/repec/eme-csefzz-s1569-375920240000114016/","summary":"The research shows that political instability notably increases stock return volatility in BRICS countries and Turkey, with Turkey being particularly affected.","featured":"2024-08-21","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":13,"scale":"shares"},{"title":"Ownership and Volatility in Stock Markets","url":"/papers/repec/eme-ijoemp-ijoem-04-2022-0710/","summary":"The research compares risk tolerance of institutional investors in China and the US, finding that US investors are more risk-averse.","featured":"2024-08-21","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":15,"scale":"shares"},{"title":"Postgraduate EFL Academic Writing Hedging","url":"/papers/ssrn/4924657/","summary":"The research finds that Vietnamese postgraduate students frequently use modal verbs as a way to hedge in academic writing.","featured":"2024-08-15","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Target Volatility Strategy","url":"/papers/ssrn/4922608/","summary":"A novel investment strategy that adapts to interest rate fluctuations could enhance the sustainability of retirement funds, ensuring more dependable post-retirement support.","featured":"2024-08-15","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Identifying Stock Option Mispricing","url":"/papers/ssrn/4924736/","summary":"The study presents a method for identifying mispricing in implied volatility, which is a strong predictor for option returns and is unaffected by changes in liquidity and transaction costs.","featured":"2024-08-15","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Influence of Prospect Variables on the Trading Decisions of Equity Derivative Traders in Kerala","url":"/papers/ssrn/4922477/","summary":"Research indicates that equity derivative traders in Kerala are significantly influenced by regret aversion, loss aversion, and mental accounting in their trading decisions, with variations seen among different age and education groups.","featured":"2024-08-15","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Stochastic Calculus for Option Pricing with Convex Duality, Logistic Model, and Numerical Examination","url":"/papers/arxiv/2408.05672/","summary":"The thesis explores the use of Stochastic Calculus in financial models, using techniques like Monte-Carlo Simulation and machine learning, and suggests future research directions.","featured":"2024-08-15","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Exploiting VIX Distortions","url":"/papers/repec/taf-ufajxx-v-78-y-2022-i-2-p-79-95/","summary":"Long-term exposure to high market volatility can lead to underestimation of volatility, creating predictable stock returns; a strategy capitalizing on this can beat a standard index portfolio.","featured":"2024-08-15","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":13,"scale":"shares"},{"title":"Score-Driven Model for Stock Indices","url":"/papers/ssrn/4916799/","summary":"The BetatQVAR model, a volatility model for the t distribution, outperforms other models in statistical and density forecasting when used on 15 international stock indices.","featured":"2024-08-07","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Management Guidance","url":"/papers/ssrn/4916490/","summary":"The research investigates the impact of management earnings guidance on market responses to earnings announcements in China, revealing that guidance increases trading volume but also raises bid-ask spreads and return volatility, especially for smaller, less visible firms.","featured":"2024-08-07","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"Hedge Accounting","url":"/papers/ssrn/4914982/","summary":"The research shows that only derivatives designated for hedge accounting assist firms in overcoming underinvestment issues, implying that the Financial Accounting Standards Board has developed an effective signaling tool about the success of firms' hedging programs, but firms using complex strategies often cannot designate some of their successful derivatives due to strict criteria.","featured":"2024-08-07","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Evaluating Risk Knowledge","url":"/papers/ssrn/4918830/","summary":"The article proposes an adjustment to volatility forecasts to address potential risks, highlighting the economic value of risk knowledge in trading strategies.","featured":"2024-08-07","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Hedge Fund Portfolio Construction Using PolyModel Theory and iTransformer","url":"/papers/arxiv/2408.03320/","summary":"The article explores the use of PolyModel theory and deep learning in creating hedge fund portfolios for high returns and low risks.","featured":"2024-08-07","label":"arXiv","topic":"Derivatives & Volatility","cites":12,"score":28,"scale":"shares"},{"title":"PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM)","url":"/papers/doi/10-1016-j-camwa-2024-06-010/","summary":"The paper discusses the use of partial differential equations in pricing interest rate derivatives under the generalized Forward Market Model.","featured":"2024-08-07","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":7,"scale":"shares"},{"title":"Existence, uniqueness and positivity of solutions to the Guyon-Lekeufack path-dependent volatility model with general kernels","url":"/papers/arxiv/2408.02477/","summary":"The study confirms the existence and uniqueness of a solution to a path-dependent volatility model used to predict the price of an equity index and its spot volatility.","featured":"2024-08-07","label":"arXiv","topic":"Derivatives & Volatility","cites":3,"score":5,"scale":"shares"},{"title":"CLVR Ordering of Transactions on AMMs","url":"/papers/arxiv/2408.02634/","summary":"The study introduces the CLVR algorithm, which organizes transactions to reduce price volatility in Automated Market Maker trading, balancing price stability and inequality reduction.","featured":"2024-08-07","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":7,"scale":"shares"},{"title":"Enhancing Deep Hedging of Options with Implied Volatility Surface Feedback Information","url":"/papers/arxiv/2407.21138/","summary":"A new hedging strategy for S&P 500 options is introduced, using a unique reinforcement learning algorithm and hybrid neural network, which performs better than traditional benchmarks in tests and simulations.","featured":"2024-08-07","label":"arXiv","topic":"Derivatives & Volatility","cites":7,"score":7,"scale":"shares"},{"title":"Deep Learning for Options Trading: An End-To-End Approach","url":"/papers/arxiv/2407.21791/","summary":"A new machine learning algorithm for options trading strategies is presented, which uses market data to create optimal trading signals, showing notable performance improvements over current strategies, particularly when using turnover regularization.","featured":"2024-08-07","label":"arXiv","topic":"Derivatives & Volatility","cites":4,"score":6,"scale":"shares"},{"title":"Carbon Risk Hedging with Beta Hedge Ratio","url":"/papers/repec/wsi-ijtafx-v-27-y-2024-i-01-n-s0219024924500067/","summary":"A new hedge strategy has been created to reduce carbon risk in diverse portfolios, which lowers carbon beta without major losses in risk-adjusted returns, making it a suitable strategy for investors and fund managers.","featured":"2024-08-07","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":21,"scale":"shares"},{"title":"Google Search Volume Index and Investor Attention","url":"/papers/repec/spr-fininn-v-10-y-2024-i-1-d-10-1186-s40854-023-00606-y/","summary":"The study finds that Google Search Volume Index can be used to predict stock market movements and volatility, improving forecasting models.","featured":"2024-08-07","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":12,"scale":"shares"},{"title":"Deep Hedging of Options with Implied Volatility","url":"/papers/ssrn/4910867/","summary":"The research presents a dynamic hedging strategy for SP 500 options, improved by a reinforcement learning algorithm and a hybrid neural network, which surpasses traditional benchmarks in both simulation and backtesting experiments.","featured":"2024-07-31","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":5,"scale":"shares"},{"title":"Dynamic Hedging with Commodities","url":"/papers/ssrn/4909458/","summary":"The paper investigates the shifting relationship between stocks and bonds, the effect of inflation on asset correlations, and the potential of commodities as a dynamic hedge to enhance portfolio performance.","featured":"2024-07-31","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"Smile Dynamics","url":"/papers/ssrn/4911186/","summary":"The research compares the SkewStickiness Ratio (SSR) of different stochastic and rough volatility models with the empirical market SSR for the SPX Index.","featured":"2024-07-31","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"Intraday Volatility in Energy Markets","url":"/papers/ssrn/4908775/","summary":"A model for volatility transmission in international energy markets is presented, showing that volatility is influenced by regional and preceding volatility, with non-Gaussian innovations enhancing the model's accuracy.","featured":"2024-07-31","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Fed Shock on Stock Prices","url":"/papers/ssrn/4905178/","summary":"A Fed nonyield shock, identified from excess volatility in the SP 500 and dollar exchange rates, significantly affects stock prices and exchange rates, indicating a dominant risk premium channel.","featured":"2024-07-31","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Institutional Ownership and Stock Return Volatility During the COVID-19 Crisis: An International Evidence","url":"/papers/ssrn/4910419/","summary":"During non-crisis periods, institutional holdings stabilize stock prices, but during the COVID-19 crisis, they cause prices to deviate from fundamentals, with foreign and domestic institutions having different impacts and investor protection reducing volatility.","featured":"2024-07-31","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Buyback Dynamics and Risk","url":"/papers/ssrn/4905774/","summary":"The ratio of net buyback to dividend reflects a company's cash flow sensitivity to business cycles, with assets dominated by buybacks having a positive premium due to their higher risk in hedging against consumption and wealth changes.","featured":"2024-07-31","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"US Election and Financial Markets","url":"/papers/ssrn/4910415/","summary":"The study reveals that the likelihood of Trump's election increases volatility in US bond and equity markets and decreases oil prices.","featured":"2024-07-31","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Climate Policy and Market Volatility","url":"/papers/ssrn/4910163/","summary":"The research shows that transition climate policies are negatively priced in clean returns and positively priced in carbon-intensive returns.","featured":"2024-07-31","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Second Republic Hedges","url":"/papers/ssrn/4907670/","summary":"The study finds that political uncertainty during the 1930s regime change in Spain predicted a decline in future investment opportunities, but firms with political connections were less affected.","featured":"2024-07-31","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Enhancing Black-Scholes Delta Hedging via Deep Learning","url":"/papers/arxiv/2407.19367/","summary":"The article introduces a deep learning framework for options hedging that enhances performance by learning the differences between the hedging function and the Black-Scholes delta, using less data for effective results.","featured":"2024-07-31","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":8,"scale":"shares"},{"title":"CVA Sensitivities, Hedging and Risk","url":"/papers/arxiv/2407.18583/","summary":"The study offers a unified framework for calculating CVA sensitivities, hedging the CVA, and evaluating CVA risk using probabilistic machine learning, while also identifying the best practical trade-offs.","featured":"2024-07-31","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":5,"scale":"shares"},{"title":"Short-maturity asymptotics for VIX and European options in local-stochastic volatility models","url":"/papers/arxiv/2407.16813/","summary":"The article explores the derivation of short-term predictions for European and VIX option prices in local-stochastic volatility models, and tests these predictions against numerical simulations.","featured":"2024-07-31","label":"arXiv","topic":"Derivatives & Volatility","cites":6,"score":8,"scale":"shares"},{"title":"High order approximations and simulation schemes for the log-Heston process","url":"/papers/arxiv/2407.17151/","summary":"The paper presents a method for improving the approximation schemes of the Heston model, using different random grids to increase convergence, and validates this method with financial examples.","featured":"2024-07-31","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":4,"scale":"shares"},{"title":"Statistical Arbitrage vs. Delta Hedging","url":"/papers/ssrn/4899809/","summary":"Horikawa and Nakagawa's 2024 study suggests that deep hedging can have a speculative aspect, which can be mitigated by choosing the right risk measure.","featured":"2024-07-24","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":5,"scale":"shares"},{"title":"Dynamic Agency Hedging","url":"/papers/ssrn/4903495/","summary":"The research suggests a dynamic financial hedging strategy to spread a firm’s risk, demonstrating that reduced hedging costs result in increased investor value and firm investment.","featured":"2024-07-24","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"SP 500 Volatility Forecasting","url":"/papers/ssrn/4903194/","summary":"The research investigates four techniques to enhance the precision of volatility forecasts for the SP 500, including the GARCH model, an LSTM network, a hybrid LSTM-GARCH model, and an advanced hybrid model incorporating the VIX index.","featured":"2024-07-24","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Employee Stock Option Diversification","url":"/papers/ssrn/4902018/","summary":"The study reveals that employees use stock options for consumption rather than diversification, with changes in home prices and new restricted stock grants affecting their choices.","featured":"2024-07-24","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Derivative Models for Commodity Indices","url":"/papers/ssrn/4898611/","summary":"The article contrasts two models for pricing derivative contracts on a commodity index, emphasizing the difficulties of the microscopic approach and doubting the accuracy of the macroscopic approach.","featured":"2024-07-24","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Valuation of FX Variance Derivatives","url":"/papers/ssrn/4899104/","summary":"The article introduces a faster, more accurate method for pricing variance derivatives using one-dimensional PDE.","featured":"2024-07-24","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":12,"scale":"shares"},{"title":"Real Time Implied Volatility Calibrations","url":"/papers/ssrn/4899357/","summary":"The paper presents a robust method for calibrating the SVI model to volatility surfaces in cryptocurrency markets using advanced optimization techniques.","featured":"2024-07-24","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Numerical PDE Approach for Options Pricing","url":"/papers/ssrn/4898573/","summary":"The study recommends using the implicit scheme for pricing and hedging options due to its stability, despite slower convergence.","featured":"2024-07-24","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Construction and Hedging of Equity Index Options Portfolios","url":"/papers/arxiv/2407.13908/","summary":"The study shows that using S&P500 index options in systematic index option-writing strategies can yield higher returns than traditional methods, with the Black-Scholes-Merton model proving more effective than the Variance-Gamma model.","featured":"2024-07-24","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":9,"scale":"shares"},{"title":"Is the difference between deep hedging and delta hedging a statistical arbitrage?","url":"/papers/arxiv/2407.14736/","summary":"The research compares deep hedging and delta hedging in a GARCH-based market model, suggesting that the difference between the two can be a statistical arbitrage if the risk measure doesn't adequately consider negative outcomes.","featured":"2024-07-24","label":"arXiv","topic":"Derivatives & Volatility","cites":7,"score":8,"scale":"shares"},{"title":"Calibrating the Heston model with deep differential networks","url":"/papers/arxiv/2407.15536/","summary":"A deep learning framework is proposed for calibrating the Heston option pricing model, showing superior performance in calibration accuracy and computational time compared to non-differential neural networks.","featured":"2024-07-24","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"FX Options Returns Risk Factors","url":"/papers/repec/oup-revfin-v-28-y-2024-i-3-p-897-944/","summary":"Long-term straddle momentum, implied volatility, and illiquidity are identified as key predictors of cross-sectional foreign exchange options returns.","featured":"2024-07-24","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":19,"scale":"shares"},{"title":"Semivolatility portfolios","url":"/papers/ssrn/4891824/","summary":"The article proposes the use of semi-volatility-managed portfolios to enhance the performance of momentum portfolios by controlling skewness and downside volatility.","featured":"2024-07-17","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Debt and Trade: Global View","url":"/papers/ssrn/4893835/","summary":"Global View: The study reveals that multinational corporations often raise debt capital outside their home country to hedge against exchange rate fluctuations and align with their supply chain markets, in addition to accessing deeper financial markets.","featured":"2024-07-17","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"The Self-Organized Criticality Paradigm in Economics&Finance","url":"/papers/arxiv/2407.10284/","summary":"The article proposes Self-Organised Criticality as a reason for extreme volatility in financial markets and large business cycle fluctuations, calling for specific policy considerations.","featured":"2024-07-17","label":"arXiv","topic":"Derivatives & Volatility","cites":17,"score":3,"scale":"shares"},{"title":"Derivatives in Portfolio Optimization with Affine GARCH Models","url":"/papers/repec/spr-decfin-v-47-y-2024-i-1-d-10-1007-s10203-024-00433-5/","summary":"The article indicates that investors who include a derivative in their portfolio perform better than those who only invest in stocks and bank accounts, potentially avoiding up to 7% annual losses.","featured":"2024-07-17","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":11,"scale":"shares"},{"title":"Option Valuation with Truncation Models","url":"/papers/repec/kap-compec-v-63-y-2024-i-6-d-10-1007-s10614-023-10480-6/","summary":"The research uses the hidden truncation normal distribution and the NGARCH model to price options, incorporating economic dynamics and capturing implied volatility smirk.","featured":"2024-07-17","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":11,"scale":"shares"},{"title":"Deep Learning for Delta Hedging","url":"/papers/ssrn/4886055/","summary":"The paper presents a deep delta hedging framework for options, using neural networks to improve hedging performance by learning the residuals between the hedging function and the implied Black-Scholes delta.","featured":"2024-07-10","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Reddit Users and Meme Stocks","url":"/papers/ssrn/4886074/","summary":"A study indicates that user behavior changes on the Reddit forum Wallstreetbets can predict market volatility, with less influential users having a greater impact.","featured":"2024-07-10","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":13,"scale":"shares"},{"title":"Hedging IL in LP","url":"/papers/ssrn/4887298/","summary":"The article explores methods for hedging against the loss of liquidity in Decentralised Exchanges, using Uniswap V2 and V3 protocols, and proposes a new risk management claim.","featured":"2024-07-10","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Epistemic Adverbs in COL Spanish","url":"/papers/ssrn/4883521/","summary":"The study examines the use and acceptance of three epistemic adverbs in Colombian Spanish, finding that their acceptability varies based on the type of hedging and the adverb used.","featured":"2024-07-10","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Investment Horizons & Prices","url":"/papers/ssrn/4889137/","summary":"The author presents an asset pricing model that shows long-term investors hedge against reinvestment risk, leading to significant positive returns for portfolios exposed to this risk.","featured":"2024-07-10","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Subleading Correction to the Asian Options Volatility in the Black-Scholes Model","url":"/papers/doi/10-1142-s021902492350005x/","summary":"The study improves the pricing accuracy of Asian options by deriving the subleading correction to the implied volatility in the Black-Scholes model, which is determined by the large deviations property for the time-average of the geometric Brownian motion.","featured":"2024-07-10","label":"arXiv","topic":"Derivatives & Volatility","cites":3,"score":6,"scale":"shares"},{"title":"Volatility modeling in a Markovian environment: Two Ornstein-Uhlenbeck-related approaches","url":"/papers/arxiv/2407.05866/","summary":"The COGARCH and Barndorff-Nielsen and Shephard models are adapted to a Markov-switching environment, allowing for sudden volatility jumps at regime switch times and capturing key characteristics of financial time-series.","featured":"2024-07-10","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":5,"scale":"shares"},{"title":"Kullback-Leibler Barycentre of Stochastic Processes","url":"/papers/arxiv/2407.04860/","summary":"The article presents a method that merges expert models using diffusion processes and deep learning, specifically for combining implied volatility smiles models from various datasets.","featured":"2024-07-10","label":"arXiv","topic":"Derivatives & Volatility","cites":4,"score":4,"scale":"shares"},{"title":"MODELLING UNCERTAIN VOLATILITY USING QUANTUM STOCHASTIC CALCULUS: UNITARY VS NON-UNITARY TIME EVOLUTION","url":"/papers/arxiv/2407.04520/","summary":"The paper investigates a quantum method for tracking the progression of traded market prices with uncertain volatility, utilizing projective measurements and Monte-Carlo simulations.","featured":"2024-07-10","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Unified approach for hedging impermanent loss of liquidity provision","url":"/papers/arxiv/2407.05146/","summary":"The article discusses strategies for managing the risk of impermanent loss in Decentralised Exchanges. It introduces a concept called IL protection claim and provides methods for valuing and managing this claim using arbitrage-based techniques and valuation formulas.","featured":"2024-07-10","label":"arXiv","topic":"Derivatives & Volatility","cites":14,"score":7,"scale":"shares"},{"title":"Optimal hedging with variational preferences under convex risk measures","url":"/papers/arxiv/2407.03431/","summary":"The article explores the optimization of hedging with variational preferences under convex risk measures, discussing dual representation, optimality, and indifference pricing conditions.","featured":"2024-07-10","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":6,"scale":"shares"},{"title":"Basket options with volatility skew: Calibrating a local volatility model by sample rearrangement","url":"/papers/arxiv/2407.02901/","summary":"The study suggests an efficient method for pricing derivatives tied to asset baskets, using a copula model to capture the dependency structure among assets and a local volatility model for pricing.","featured":"2024-07-10","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":5,"scale":"shares"},{"title":"Economic Policy Uncertainty and Hedge Fund Returns","url":"/papers/ssrn/4882292/","summary":"Hedge funds perform worse when there is economic policy uncertainty, especially those with high EPU beta funds due to their inability to predict EPU fluctuations.","featured":"2024-07-03","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":5,"scale":"shares"},{"title":"Accuracy of Implied Volatility in Forecasting VaR","url":"/papers/ssrn/4880278/","summary":"A comparison study reveals that option-implied volatility underestimates risk during market turbulence when estimating risk factor’s volatility in Value-at-Risk (VaR) computation.","featured":"2024-07-03","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Gibson-Schwartz Commodity Models","url":"/papers/ssrn/4881648/","summary":"The article extends the Gibson and Schwartz 1990 and Schwartz and Smith 2000 twofactor models for commodity spot price to include stochastic volatility and correlation, improving match with volatility smiles and studying timevarying correlation in commodity markets.","featured":"2024-07-03","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Market Impact of 0DTE Options","url":"/papers/ssrn/4881008/","summary":"The increased trading of SP 500 index options that expire on the same day reduces stock market volatility due to market makers' intraday rebalancing of the index.","featured":"2024-07-03","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":6,"scale":"shares"},{"title":"Asian Stock Exchange Volatility Analysis","url":"/papers/repec/eme-jcefts-jcefts-01-2024-0009/","summary":"The research shows volatility clustering in the return series of crude oil, Bitcoin, and selected Asian stock exchanges, with varying degrees of short and long-term volatility spillover.","featured":"2024-07-03","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":24,"scale":"shares"},{"title":"Investor Attention and Volatility in China's Stock Market","url":"/papers/repec/eme-ijoemp-ijoem-02-2021-0289/","summary":"The study examines the volatility puzzle in China's stock market, concluding that individual investor attention increases volatility and securities analysts can lessen market information asymmetry.","featured":"2024-07-03","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":16,"scale":"shares"},{"title":"Asymmetric Effects in China's Stock Market","url":"/papers/ssrn/4869653/","summary":"In China's stock market, intraday returns influence overnight returns, and there's a mutual positive impact between overnight and intraday volatility, which intensifies as the quantile increases.","featured":"2024-06-20","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":6,"scale":"shares"},{"title":"Pricing of American Timer Options","url":"/papers/ssrn/4865854/","summary":"The study provides analytic formulas for American timer option prices under stochastic volatility, using a finite stochastic variance clock as a time-to-maturity measure.","featured":"2024-06-20","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"Volatility Dynamics in Vietnam Stock Market","url":"/papers/ssrn/4867203/","summary":"The study finds that single-regime models are more effective than multiple-regime models in forecasting short-term volatility in the Vietnam Ho Chi Minh Stock Index.","featured":"2024-06-20","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Option Returns with DL","url":"/papers/ssrn/4869272/","summary":"A study uses deep learning to predict equity options returns, showing significant profits using a Convolutional Neural Network to identify patterns in volatility.","featured":"2024-06-20","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Equity Option Approximation","url":"/papers/ssrn/4864501/","summary":"The article introduces an approximation for the equity BlackScholes model with fixed dividends, applicable to vanilla options and reverts to the classic model when dividends are null.","featured":"2024-06-20","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Idiosyncratic Entropy and Stock Returns","url":"/papers/ssrn/4868859/","summary":"The research introduces a risk factor for idiosyncratic entropy and reveals a negative correlation between expected idiosyncratic entropy and returns, providing insight into the idiosyncratic volatility puzzle.","featured":"2024-06-20","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Operator Deep Smoothing for Implied Volatility","url":"/papers/arxiv/2406.11520/","summary":"A novel method for smoothing implied volatility using neural operators is presented, which maps data to smoothed surfaces, respects no-arbitrage rules, and is robust to input subsampling.","featured":"2024-06-20","label":"arXiv","topic":"Derivatives & Volatility","cites":17,"score":7,"scale":"shares"},{"title":"Computation of Robust Option Prices via Structured Multimarginal Martingale Optimal Transport","url":"/papers/arxiv/2406.09959/","summary":"The article introduces an efficient computational framework for solving complex multi-marginal martingale optimal transport problems quickly and optimally.","featured":"2024-06-20","label":"arXiv","topic":"Derivatives & Volatility","cites":3,"score":6,"scale":"shares"},{"title":"Implied Roughness in Oil Volatility","url":"/papers/repec/taf-quantf-v-24-y-2024-i-3-4-p-347-363/","summary":"The article examines the roughness of oil market volatility using unspanned stochastic volatility models, demonstrating that adding an extra parameter indicating the volatility's roughness improves the calibration nearly tenfold.","featured":"2024-06-20","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":19,"scale":"shares"},{"title":"Intraday Volatility Forecasting for Indian Stocks","url":"/papers/repec/ids-ijecbr-v-27-y-2024-i-4-p-633-650/","summary":"The paper evaluates the effectiveness of range-based volatility estimations against standard models using Indian stock market data, concluding that range-based models are superior and the GKYZ volatility estimator is the most accurate.","featured":"2024-06-20","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":18,"scale":"shares"},{"title":"Financialisation on Commodity Markets","url":"/papers/ssrn/4855902/","summary":"Financialisation has increased the volatility transmission from equity markets to commodity futures markets, according to a study.","featured":"2024-06-12","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Regulating Clearing","url":"/papers/ssrn/4857183/","summary":"Clearing and settlement infrastructures are crucial in securities and derivatives markets, with US and EU regulations focusing on cross-border coordination and market linkages.","featured":"2024-06-12","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":5,"scale":"shares"},{"title":"Volatility Functionals","url":"/papers/ssrn/4857801/","summary":"A study on the effects of price staleness on volatility functionals estimation in financial markets proposes a consistent global estimator that corrects bias.","featured":"2024-06-12","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"QuantPedia Seasonality in Options Trading","url":"/papers/ssrn/4861464/","summary":"The research examines the use of Quantpedia's Composite Seasonal Calendar Strategy in options trading to balance risk and returns through the Volatility Risk Premium.","featured":"2024-06-12","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"COVID-19 Impact on Stock Market Volatility","url":"/papers/ssrn/4861078/","summary":"The article studies the volatility of stock markets in China, Brazil, India, Hong Kong, and Japan during the COVID-19 pandemic, indirectly considering the Black Swan theory's implications.","featured":"2024-06-12","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Convex Ordering for Stochastic Control: The (Path Dependent) Swing Contracts Case","url":"/papers/arxiv/2406.07464/","summary":"The article discusses the use of an ARCH model to understand the pricing of a financial derivative product, the Take-or-Pay swing option, and introduces a method to understand the value function's monotonicity.","featured":"2024-06-12","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Hedge Funds and Low Beta","url":"/papers/repec/eee-reveco-v-93-y-2024-i-pa-p-1507-1525/","summary":"Low beta anomaly yields higher returns for hedge funds than mutual funds, particularly for less skilled managers.","featured":"2024-06-12","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":22,"scale":"shares"},{"title":"Predicting US Stock Market Direction","url":"/papers/repec/eee-intfor-v-40-y-2024-i-3-p-869-880/","summary":"Machine learning models, specifically random forests and bagging, are superior in predicting S&P 500 returns using volatility indices.","featured":"2024-06-12","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":26,"scale":"shares"},{"title":"Duration Volatility Estimation","url":"/papers/ssrn/4850075/","summary":"The paper introduces a new method for estimating volatility using intraday price durations, which is more accurate than previous methods.","featured":"2024-06-05","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"Financial Integration","url":"/papers/ssrn/4853650/","summary":"Despite global financial integration, consumption volatility in emerging markets has risen due to sensitivity to world real interest rates.","featured":"2024-06-05","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Pricing and Calibration in Volatility Model","url":"/papers/ssrn/4853419/","summary":"The article presents the pathdependent volatility model that uses historical returns to calculate volatility, and introduces a neural network approximation of the VIX to address computational issues in pricing and calibrating SP 500 and VIX options.","featured":"2024-06-05","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":73,"scale":"shares"},{"title":"Creative Destruction, Stock Return Volatility, and the Number of Listed Firms","url":"/papers/ssrn/4854349/","summary":"The article reveals that idiosyncratic volatility rises with the number of listed firms due to creative destruction, but no similar effect is found from nonlisted firms, suggesting a unique economic dynamism role for listed firms.","featured":"2024-06-05","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Tax Reserves Volatility and Firm Risk","url":"/papers/ssrn/4850560/","summary":"The article studies how the volatility of unrecognized tax benefits can indicate changes in tax-related risk, including audit, compliance, and credit risks.","featured":"2024-06-05","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"A Novel Approach to Queue-Reactive Models: The Importance of Order Sizes","url":"/papers/arxiv/2405.18594/","summary":"The queue-reactive model has been expanded to include order sizes, types, and arrival rates, creating simulated markets that closely mirror real markets and exhibit similar volatility.","featured":"2024-06-05","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":3,"scale":"shares"},{"title":"Forecasting Volatility in Taiwan Futures Market","url":"/papers/repec/kap-apfinm-v-31-y-2024-i-2-d-10-1007-s10690-023-09415-w/","summary":"A study reveals a new model, considering non-trading and trading periods, has enhanced the prediction of stock market volatility in the Taiwan Futures Exchange.","featured":"2024-06-05","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":27,"scale":"shares"},{"title":"ECB QE Impact on Stock Market","url":"/papers/repec/eme-sefpps-sef-02-2022-0108/","summary":"The European Central Bank's unconventional monetary policies, like quantitative easing, boost stock prices and reduce market volatility.","featured":"2024-06-05","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":14,"scale":"shares"},{"title":"MAR Regulation Impact on Polish Stock Market","url":"/papers/repec/spr-eurase-v-14-y-2024-i-2-d-10-1007-s40822-024-00270-2/","summary":"Despite increasing public information, the European Insider Trading and Market Manipulation Regulation has led to greater stock price volatility due to lower quality information.","featured":"2024-06-05","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":12,"scale":"shares"},{"title":"Institutional Investors in Indian Stock Markets","url":"/papers/repec/mfa-journl-v-32-y-2024-i-1-p-75-99/","summary":"During the COVID-19 pandemic, Foreign Institutional Investors drove market returns in India, while Domestic Institutional Investors contributed to market volatility.","featured":"2024-06-05","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":12,"scale":"shares"},{"title":"Realised Volatility Moments Implied by Options with Applications to the Pricing of Realised Volatility Options","url":"/papers/ssrn/4840162/","summary":"The article proposes a method to separate instantaneous volatility from price process in stochastic volatility models, resulting in a transformed implied volatility skew into a smile.","featured":"2024-05-28","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":9,"scale":"shares"},{"title":"Market Volatility Trends","url":"/papers/ssrn/4840859/","summary":"The paper uses a dynamic model to study China's stock index futures market, finding that the futures market's pricing discovery ability is weaker than the spot market's.","featured":"2024-05-28","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"Modeling and Forecasting Intraday Spot Volatility","url":"/papers/ssrn/4837207/","summary":"A novel regression method for predicting intraday spot volatility outperforms other regression and machine learning techniques in predictive accuracy.","featured":"2024-05-28","label":"SSRN","topic":"Derivatives & Volatility","cites":1,"score":3,"scale":"shares"},{"title":"Exploiting Overestimated Volatility Risk Premium: A Contrarian ETF Trading Strategy","url":"/papers/ssrn/4841308/","summary":"The study proposes a unique trading strategy using the Volatility Risk Premium (VRP) for ETFs, resulting in an average annual return of 20.79%.","featured":"2024-05-28","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":5,"scale":"shares"},{"title":"U.S. and European Listed Real Estate as an Inflation Hedge","url":"/papers/ssrn/4843563/","summary":"The paper reveals that listed real estate (LRE) can effectively hedge against inflation in the long term, regardless of economic conditions.","featured":"2024-05-28","label":"SSRN","topic":"Derivatives & Volatility","cites":1,"score":4,"scale":"shares"},{"title":"Long-Term Capital Market Assumptions Fixed Income","url":"/papers/ssrn/4839975/","summary":"The Capital Market Assumptions document provides expected returns, volatility, and correlation estimates for various fixed income assets, taking into account inflation and foreign exchange rate changes.","featured":"2024-05-28","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"VIX Portfolios","url":"/papers/ssrn/4840555/","summary":"The article proposes a portfolio management strategy that uses the VIX volatility index to determine leverage, leading to more stable weights, less rebalancing, and higher returns considering transaction costs.","featured":"2024-05-28","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":935,"scale":"shares"},{"title":"Hull and White Model Simulation","url":"/papers/ssrn/4838118/","summary":"The piece presents a method for simulating asset price and variance under the Hull and White stochastic volatility model, useful for generating unbiased estimates for derivatives instruments pricing.","featured":"2024-05-28","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":45,"scale":"shares"},{"title":"DTE Options Trading Impact","url":"/papers/ssrn/4844455/","summary":"The article examines the effect of Zero-Day-to-Expiration (0DTE) options trading on stock market volatility, revealing that increased 0DTE options trading significantly boosts volatility.","featured":"2024-05-28","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Asian Option Pricing","url":"/papers/ssrn/4838123/","summary":"The article proposes a model incorporating mean reversion, stochastic volatility, convenience yield, and jump clustering features of commodity markets, offering a method to price geometric and arithmetic Asian options.","featured":"2024-05-28","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":52,"scale":"shares"},{"title":"Trading Activity of Commodity Futures and Options Around USDA Announcements","url":"/papers/ssrn/4841490/","summary":"The article investigates the impact of USDA announcements on commodity options, noting significant trading volume changes around the release of monthly agricultural reports and evidence of informed trading.","featured":"2024-05-28","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Gaussian Recombining Split Tree","url":"/papers/arxiv/2405.16333/","summary":"The article introduces a new Gaussian Recombining Split Tree (GRST) for valuing securities, improving on traditional binomial trees and aligning with market option prices.","featured":"2024-05-28","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":4,"scale":"shares"},{"title":"Options Trading Impact on Leveraged ETFs","url":"/papers/repec/wly-jfutmk-v-44-y-2024-i-6-p-986-1002/","summary":"The research shows that option signals from leveraged ETFs can predict the performance of the underlying ETFs, especially during economic downturns, and can be utilized to create a profitable trading strategy.","featured":"2024-05-28","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":15,"scale":"shares"},{"title":"A Simple Approach to Pricing Hybrid Asset-Volatility Derivatives","url":"/papers/ssrn/4830937/","summary":"The article explains how the cost of hybrid asset-volatility derivatives can be estimated using the asset's implied volatility skew, assuming it's generated by a stochastic volatility model.","featured":"2024-05-22","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":37,"scale":"shares"},{"title":"Building Arbitrage-Free Implied Volatility Surface","url":"/papers/ssrn/4832095/","summary":"The paper explores the creation of arbitrage-free implied volatility surfaces based on relative entropy minimization, addressing numerical issues and their solutions, and their importance for arbitrage-free models.","featured":"2024-05-22","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":16,"scale":"shares"},{"title":"Stock Market Volatility Forecasting Models: A Comparative Study","url":"/papers/ssrn/4832110/","summary":"The paper finds the simple regression model as the most accurate in predicting daily volatility of the NIFTY 50 index among eight forecasting models.","featured":"2024-05-22","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Common Ownership and Hedge Fund Activism: An Unholy Alliance?","url":"/papers/ssrn/4835079/","summary":"The study suggests that common ownership can lead to anticompetitive outcomes, such as reduced wages and wealth transfer to shareholders.","featured":"2024-05-22","label":"SSRN","topic":"Derivatives & Volatility","cites":1,"score":3,"scale":"shares"},{"title":"Convex Volatility Interpolation","url":"/papers/ssrn/4831218/","summary":"Convex Volatility Interpolation (CVI), a new method for calibrating implied volatility surfaces using quadratic programming, has been introduced, eliminating the need for hyperparameter tuning.","featured":"2024-05-22","label":"SSRN","topic":"Derivatives & Volatility","cites":2,"score":6,"scale":"shares"},{"title":"Airline Stocks and Oil Price Volatility","url":"/papers/ssrn/4833663/","summary":"The study finds a negative correlation between oil price volatility and international airline stock prices, recommending diversification and technology implementation to reduce fossil fuel reliance.","featured":"2024-05-22","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Cheap Stock Options","url":"/papers/ssrn/4836176/","summary":"The research investigates cheap stock - equity-based compensation granted pre-IPO at a lower price, finding it leads to greater IPO underpricing, lower post-IPO investment, and higher CEO compensation.","featured":"2024-05-22","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":152,"scale":"shares"},{"title":"Hedge Fund Performance Decline","url":"/papers/ssrn/4831701/","summary":"The study shows that top-performing hedge funds continue to add value, but their persistence has weakened and can only be observed using a specific method.","featured":"2024-05-22","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":370,"scale":"shares"},{"title":"When Margin Call Burns Out Liquidity Buffer -- Hedge Fund Ratings and Securities Financing Haircuts","url":"/papers/ssrn/4825764/","summary":"The article explores the difficulties in determining the price and risk of hedge fund securities due to a disconnect between margin call defaults and default probability models.","featured":"2024-05-15","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":4,"scale":"shares"},{"title":"Derivatives Optimization","url":"/papers/ssrn/4827987/","summary":"The article presents a new type of portfolio optimization that considers parameter uncertainty in portfolios with derivatives, utilizing the Exposure Stacking method.","featured":"2024-05-15","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Decentralized and Centralized Options Trading: A Risk Premia Perspective","url":"/papers/ssrn/4822783/","summary":"The research looks at OnChain options traded on a decentralized Ethereum blockchain exchange, underlining the differences in implied volatilities compared to OffChain options traded on centralized exchanges.","featured":"2024-05-15","label":"SSRN","topic":"Derivatives & Volatility","cites":4,"score":3,"scale":"shares"},{"title":"Race Discrimination in Hedge Funds","url":"/papers/ssrn/4822351/","summary":"Despite delivering higher returns, minority-operated hedge funds attract less capital, indicating racial discrimination in asset management.","featured":"2024-05-15","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":373,"scale":"shares"},{"title":"Risk Revisited","url":"/papers/ssrn/4825844/","summary":"The study identifies recency, cluster, and sign as three factors shaping investors' risk perceptions of a stock, influencing trading volume and future volatility.","featured":"2024-05-15","label":"SSRN","topic":"Derivatives & Volatility","cites":88,"score":3,"scale":"shares"},{"title":"Mutual Fund Managers and Volatility","url":"/papers/ssrn/4828007/","summary":"Research shows that mutual fund managers reduce market exposure during times of high market volatility, indicating a sensitivity to market volatility changes.","featured":"2024-05-15","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Hedging American Put Options with Deep Reinforcement Learning","url":"/papers/arxiv/2405.06774/","summary":"The article discusses a study that shows deep reinforcement learning (DRL) is more effective than traditional methods for hedging American put options, especially in real-world situations.","featured":"2024-05-15","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":7,"scale":"shares"},{"title":"Coherent Risk Measure on L0: NA Condition, Pricing and Dual Representation","url":"/papers/doi/10-1142-s0219024921500370/","summary":"The article presents a revised version of the fundamental theorem of asset pricing in financial market models, demonstrating that all risk-hedging prices are consistent under the NA condition.","featured":"2024-05-15","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Ensemble Boosting Trees for Volatility Forecasting","url":"/papers/repec/eee-reveco-v-92-y-2024-i-c-p-1595-1615/","summary":"The study finds ensemble boosting tree models, particularly CatBoost and LightGBM, more effective than traditional models in predicting China's crude oil futures volatility, with macroeconomic and HAR-type variables impacting forecasts differently.","featured":"2024-05-15","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":20,"scale":"shares"},{"title":"APC Framework for Profit Modeling","url":"/papers/repec/gam-jmathe-v-12-y-2024-i-10-p-1427-d-1389720/","summary":"Age–period–cohort models can enhance credit risk modeling across a company, improving underwriting and enabling profit and volatility predictions at the account level.","featured":"2024-05-15","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":20,"scale":"shares"},{"title":"Fourier-Laplace Transforms in Polynomial Ornstein-Uhlenbeck Volatility Models","url":"/papers/ssrn/4816314/","summary":"The article investigates the Fourier-Laplace transforms of various polynomial Ornstein-Uhlenbeck volatility models, linking it with the solution of an infinite dimensional Riccati equation.","featured":"2024-05-08","label":"SSRN","topic":"Derivatives & Volatility","cites":8,"score":11,"scale":"shares"},{"title":"How Does Climate Change Risks Affect the Connectedness Between the Stocks of Clean Energy, Electric Vehicles, and Rare Earths? Analysis for Bear, Bull, and Normal Market Conditions","url":"/papers/ssrn/4818000/","summary":"Economic policy uncertainty and stock market volatility negatively affect the interconnectedness of clean energy, electric vehicles, and rare earths stock markets, according to a study.","featured":"2024-05-08","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Gold Hedging","url":"/papers/ssrn/4815577/","summary":"Gold is a valuable asset for hedging, with its prices predicting stock returns positively, contradicting common academic views, once the bias from expected dividend growth rate is considered.","featured":"2024-05-08","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":45,"scale":"shares"},{"title":"Fourier-Laplace Transforms in Polynomial Ornstein-Uhlenbeck Volatility Models","url":"/papers/arxiv/2405.02170/","summary":"The research investigates the Fourier-Laplace transforms of different volatility models, links them to the solution of a specific equation, and creates a numerical method for solving these equations for pricing options and volatility swaps.","featured":"2024-05-08","label":"arXiv","topic":"Derivatives & Volatility","cites":8,"score":4,"scale":"shares"},{"title":"On variable annuities with surrender charges","url":"/papers/arxiv/2405.02115/","summary":"Surrender Option Analysis: The paper analyzes Variable Annuities, particularly the holder's right to early termination, and introduces a new method for non-monotone stopping boundaries.","featured":"2024-05-08","label":"arXiv","topic":"Derivatives & Volatility","cites":4,"score":2,"scale":"shares"},{"title":"Information Asymmetry in Indian Market","url":"/papers/repec/ids-afasfa-v-14-y-2024-i-3-p-412-431/","summary":"The paper examines the link between the Indian stock market and the top four global economies pre and post-COVID-19, discovering significant volatility spillover from these markets to India, which investors and policymakers should take into account.","featured":"2024-05-08","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":18,"scale":"shares"},{"title":"Corporate Hedging Impact on Default Probability in Chinese Firms","url":"/papers/ssrn/4807936/","summary":"Research on 501 Chinese firms listed on the Hong Kong Stock Exchange reveals that hedging, particularly with interest rate derivatives, significantly reduces a firm's default risk, with state-owned enterprises less likely to default.","featured":"2024-05-01","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"Measuring the Time-varying Systemic Risks of Hedge Funds","url":"/papers/ssrn/4807133/","summary":"A study defines hedge funds' systemic risk based on a banking index's sensitivity to extreme losses, finding that larger funds, use of leverage, and uncertain market conditions indicate higher systemic risk levels.","featured":"2024-05-01","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":5,"scale":"shares"},{"title":"Finite Difference Methods for Options Pricing","url":"/papers/ssrn/4810000/","summary":"A new numerical method using the mimetic finite difference method is introduced for pricing American and European options, addressing the degeneracy of the Black-Scholes differential operator.","featured":"2024-05-01","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Conditional Correlation via Generalized Random Forests; Application to Hedge Funds","url":"/papers/ssrn/4813257/","summary":"A novel method using decision trees offers a reliable estimator of the conditional correlation between financial assets, aiding in financial market analysis and understanding asset behavior in various market conditions.","featured":"2024-05-01","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":5,"scale":"shares"},{"title":"The Disposition Effect, Political Uncertainty and Rollover Behavior","url":"/papers/ssrn/4809305/","summary":"Institutional investors tend to rollover index options and futures contracts when facing higher unrealized losses as expiration dates near, particularly during political uncertainty, but this strategy is unprofitable.","featured":"2024-05-01","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Alpha in Volatility-Managed Strategies","url":"/papers/ssrn/4811459/","summary":"Volatility targeting strategies often outperform simple investment methods, especially in equity, due to their trend-following nature.","featured":"2024-05-01","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":150,"scale":"shares"},{"title":"Riding Wavelets: A Method to Discover New Classes of Price Jumps","url":"/papers/arxiv/2404.16467/","summary":"A new method using wavelet coefficients to study stock price jumps reveals features of volatility and suggests that many simultaneous price jumps in different stocks are due to an internal contagion mechanism.","featured":"2024-05-01","label":"arXiv","topic":"Derivatives & Volatility","cites":3,"score":6,"scale":"shares"},{"title":"Joint Pricing in SPX and VIX Derivative Markets with Composite Change of Time Models","url":"/papers/arxiv/2404.16295/","summary":"A proposed model for log price effectively captures features of implied SPX volatility, providing a solution to the consistent modeling problem and demonstrating competence in joint calibration of the SPX/VIX Markets.","featured":"2024-05-01","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":5,"scale":"shares"},{"title":"Investigation to discover a Robust Standardized Template for Option Straddle Strategy in Indian Markets","url":"/papers/ssrn/4801612/","summary":"The research uses statistical methods and machine learning to predict market volatility and test investment strategies, revealing significant profit potential.","featured":"2024-04-24","label":"SSRN","topic":"Derivatives & Volatility","cites":1,"score":2,"scale":"shares"},{"title":"Calibration of Local Volatility Models under the Implied Volatility Criterion","url":"/papers/ssrn/4801520/","summary":"A study introduces a new calibration criterion for local volatility models that minimizes the gap between theoretical and market implied volatilities, balancing calibration error reduction and overfitting prevention.","featured":"2024-04-24","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Gaussian Processes for Implied Volatility Estimation","url":"/papers/ssrn/4803161/","summary":"The study enhances the modeling of the implied volatility surface in option pricing by incorporating temporal dynamics into a Gaussian Process, which performs better than traditional models.","featured":"2024-04-24","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":4,"scale":"shares"},{"title":"Option-Implied Physical Distributions","url":"/papers/ssrn/4801530/","summary":"The study uses an initial density forecast and monthly index options' bid-ask prices to predict one-month equity index returns, finding that the implied physical significantly improves the initial and implied risk neutral.","featured":"2024-04-24","label":"SSRN","topic":"Derivatives & Volatility","cites":1,"score":3,"scale":"shares"},{"title":"Volatility Disagreement","url":"/papers/ssrn/4802261/","summary":"The study uses a model to demonstrate how differing investor opinions on future market volatility can influence the trading of volatility derivatives and impact the stock market, particularly during periods of market instability.","featured":"2024-04-24","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"How Do ETFs Affect Stock Volatility?","url":"/papers/ssrn/4804048/","summary":"The research shows that ETF ownership and trading have different effects on stock volatility, and that these two mechanisms work together, resolving the debate on the role of ETFs in spreading shocks or providing liquidity to stocks.","featured":"2024-04-24","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Double-Exponential Jumps in Returns and GARCH Diffusion in Volatilities: Evidence from the Chinese SSE 50ETF Option Market","url":"/papers/ssrn/4802448/","summary":"The paper introduces a volatility model that combines double-exponential jumps and GARCH volatility diffusion, effectively capturing major market changes, particularly during the COVID-19 crisis, and suggests its potential use in improving option market fitness and hedging.","featured":"2024-04-24","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Stochastic volatility in mean: Efficient analysis by a generalized mixture sampler","url":"/papers/arxiv/2404.13986/","summary":"The article discusses a Bayesian analysis of stochastic volatility models, using a new approximation method and applying it to study excess holding yields.","featured":"2024-04-24","label":"arXiv","topic":"Derivatives & Volatility","cites":3,"score":7,"scale":"shares"},{"title":"Natural Capital as a Stock Option","url":"/papers/arxiv/2404.14041/","summary":"The article proposes treating Earth's natural capital as a stock option to maintain and restore ecosystems, in response to the climate crisis caused by excessive fossil fuel use.","featured":"2024-04-24","label":"arXiv","topic":"Derivatives & Volatility","cites":4,"score":2,"scale":"shares"},{"title":"Deep joint learning valuation of Bermudan swaptions","url":"/papers/arxiv/2404.11257/","summary":"The article introduces a new method for pricing financial derivatives using advanced deep learning techniques, enhancing efficiency and precision in computational finance.","featured":"2024-04-24","label":"arXiv","topic":"Derivatives & Volatility","cites":3,"score":6,"scale":"shares"},{"title":"Markowitz-Based Model for Market Shock Hedging","url":"/papers/repec/wly-revfec-v-40-y-2022-i-4-p-335-347/","summary":"A paper suggests a new investment method for endowments and foundations, involving long only positions in two optimized long/short funds to outperform the typical stock/bond split.","featured":"2024-04-24","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":7,"scale":"shares"},{"title":"Exposure Hedging Strategy","url":"/papers/ssrn/4796356/","summary":"The paper presents a model for optimizing a dealer's hedging strategy in foreign exchange fixings, suggesting smaller exposures are fully hedged in the short term, while larger ones are hedged over a longer period.","featured":"2024-04-17","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":73,"scale":"shares"},{"title":"Business Time Modeling for Commodity Markets","url":"/papers/ssrn/4794748/","summary":"The piece presents a model that accurately represents commodity forward curves, useful for pricing exotic derivatives and managing commodity portfolios.","featured":"2024-04-17","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Experimental Analysis of Deep Hedging Using Artificial Market Simulations for Underlying Asset Simulators","url":"/papers/arxiv/2404.09462/","summary":"The study suggests a new method for deep hedging in finance using artificial market simulations, which performs similarly to traditional models but has certain limitations.","featured":"2024-04-17","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":6,"scale":"shares"},{"title":"Derivatives of Risk Measures","url":"/papers/arxiv/2404.09646/","summary":"The paper provides the derivatives of any risk measures, including VaR and ES for portfolio loss variables, and presents asymptotic results for heavy-tailed portfolio loss variables.","featured":"2024-04-17","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Option-Implied Kurtosis","url":"/papers/repec/eee-pacfin-v-84-y-2024-i-c-s0927538x24000374/","summary":"The research concludes that including risk-neutral volatility skewness and kurtosis in forecasting models does not improve their predictive power and may even lead to less accurate predictions.","featured":"2024-04-17","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":11,"scale":"shares"},{"title":"Options Strategies for ETFs","url":"/papers/ssrn/4787107/","summary":"The research examines various option strategies for ETFs, finding their effectiveness varies based on the risk profile of the underlying asset, with some strategies potentially improving risk-adjusted returns.","featured":"2024-04-10","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Negative Premium in A-Share Market","url":"/papers/ssrn/4783616/","summary":"The research reveals that stocks with higher volatility have significantly lower returns, an anomaly that can't be explained by market volatility or ambiguity aversion.","featured":"2024-04-10","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Can Interval Data Improve Volatility Forecasts? Evidence from Foreign Exchange Markets","url":"/papers/ssrn/4785170/","summary":"The research explores the use of interval-valued data in foreign exchange markets to enhance volatility forecasts, utilizing threshold autoregressive interval models for four major exchange rates.","featured":"2024-04-10","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Volatility Risk Pricing","url":"/papers/ssrn/4785760/","summary":"The paper recommends using variance-dependent pricing kernels for option valuation, as they resolve anomalies, fit options well, and provide accurate estimates of equity and variance risk premiums.","featured":"2024-04-10","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Improved model-free bounds for multi-asset options using option-implied information and deep learning","url":"/papers/arxiv/2404.02343/","summary":"The first article explores the calculation of model-free bounds for multi-asset options, emphasizing the importance of prioritizing relevant information for accuracy and efficiency.","featured":"2024-04-10","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":4,"scale":"shares"},{"title":"Generalized measure Black–Scholes equation: towards option self-similar pricing","url":"/papers/arxiv/2404.05214/","summary":"The research presents a generalized version of the Black-Scholes model, considering option price dynamics to depend on a measure representing investors' uncertainty.","featured":"2024-04-10","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":2,"scale":"shares"},{"title":"Sectoral Volatility Contagion","url":"/papers/repec/eee-ememar-v-59-y-2024-i-c-s1566014124000050/","summary":"The study examines the structure of risk contagion across sectors, emphasizing the need for accurate identification of this structure for effective regulation.","featured":"2024-04-10","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":14,"scale":"shares"},{"title":"PL Attribution Options","url":"/papers/ssrn/4775326/","summary":"The paper disputes the belief that the gap between implied and realized volatility is the main factor in profit and loss for delta-hedged options, proposing a new formula for understanding this difference.","featured":"2024-04-03","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":169,"scale":"shares"},{"title":"Forecasting TSEC Volatility","url":"/papers/ssrn/4779552/","summary":"The study compares GARCH family models and EWMA models to identify the best algorithm for predicting volatility in Taiwan's stock market, using data from 1997 to 2023.","featured":"2024-04-03","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Issues with Implied Volatilities","url":"/papers/ssrn/4780085/","summary":"OptionMetrics records stock options prices at 359 p.m., not 400 p.m., causing changes in implied volatility spreads and affecting stock comovement, especially during the COVID-19 pandemic.","featured":"2024-04-03","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Internet Appendix for “Improving Volatility-Managed Portfolios in Real Time”","url":"/papers/ssrn/4778941/","summary":"An enhanced strategy for volatility-managed portfolios, based on Moreira and Muir 2017's formation, results in significant real-time performance improvement, including 148 Sharpe ratio increases and 165 positive abnormal returns.","featured":"2024-04-03","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Static Minimum-variance Hedging of Volatility Swaps","url":"/papers/ssrn/4773470/","summary":"Derman et. al.'s concept is improved to create a static minimum variance hedge for volatility swaps using variance swaps, with numerical examples showing the hedge's effectiveness.","featured":"2024-03-27","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":85,"scale":"shares"},{"title":"Housing Price Volatility in China","url":"/papers/ssrn/4768062/","summary":"The paper investigates house price volatility and its causes in 70 Chinese cities from 2005 to 2019, finding significant geographical differences in volatility patterns and the influence of education and healthcare amenities.","featured":"2024-03-27","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Volatility Targeting Is Trendy: Documenting the Trend Exposure Embedded in Volatility-Managed Strategies","url":"/papers/ssrn/4773781/","summary":"The article examines the theory that the superior performance of volatility targeting strategies over basic buy-and-hold positions is due to trend following, and explores the link between volatility targeting and trend following.","featured":"2024-03-27","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Contagious Uncertainty: Credit VIX Effects","url":"/papers/ssrn/4773515/","summary":"Credit VIX Effects: The study indicates that uncertainty in corporate credit risk, particularly for US investment-grade firms, significantly influences volatility in major asset classes and markets.","featured":"2024-03-27","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Social Networks in Investment","url":"/papers/ssrn/4770096/","summary":"The study finds that investors gather more public information about firms they are socially closer to, leading to predicted short-term earnings, stock returns, and increased volatility.","featured":"2024-03-27","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"On the Hull-White model with volatility smile for Valuation Adjustments","url":"/papers/arxiv/2403.14841/","summary":"The rHW model has been introduced to enhance Valuation Adjustments calculations by capturing market-implied skew and smile, significantly impacting interest rate derivatives' exposures and xVAs.","featured":"2024-03-27","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":6,"scale":"shares"},{"title":"Weather Derivative Pricing Rainfall Model","url":"/papers/ssrn/4764970/","summary":"The paper discusses the modeling and pricing of rainfall-based weather derivatives using the Markov Chain Analogue Year Mixed Exponential model and the Esscher transform.","featured":"2024-03-20","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"Volatility-Managed Volatility Trading","url":"/papers/ssrn/4761614/","summary":"The research shows that managing a portfolio based on volatility risk premium timing strategies can improve long-term performance, especially during periods of high volatility.","featured":"2024-03-20","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Decomposing Informed Trading in Equity Options","url":"/papers/ssrn/4765294/","summary":"The study uses a multi-asset model to show that components of informed trading can predict high-volatility events in equity options.","featured":"2024-03-20","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Improved Volatility Forecasting","url":"/papers/ssrn/4765262/","summary":"Enhancing the Heterogeneous Autoregressive Regression model with new methods for deriving volatility estimators from option price data improves daily stock volatility forecasts.","featured":"2024-03-20","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Short-Selling Hedge Funds","url":"/papers/ssrn/4764190/","summary":"Hedge funds involved in short-selling show superior performance and unique trading patterns, often trading against retail trading trends, contributing to their exceptional performance.","featured":"2024-03-20","label":"SSRN","topic":"Derivatives & Volatility","cites":1,"score":2,"scale":"shares"},{"title":"Volatility Forecasting Deep Estimation","url":"/papers/ssrn/4759285/","summary":"The article suggests using deep neural networks to estimate volatility models, aiming to improve volatility forecasting.","featured":"2024-03-20","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"VIX Forecasting Illusion","url":"/papers/ssrn/4764857/","summary":"The paper uses daily volatility measures to forecast stock market volatility, finding inconsistent results with different evaluation metrics.","featured":"2024-03-20","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Firm Characteristics and Equity Options","url":"/papers/ssrn/4760874/","summary":"A research found that firm characteristics greatly affect equity option prices, and machine learning can enhance option pricing by pooling similar stock information.","featured":"2024-03-20","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Risk premium and rough volatility","url":"/papers/arxiv/2403.11897/","summary":"The paper examines the effect of unpredictable risk on pricing in a rough volatility model, emphasizing the random nature of the market price of volatility risk.","featured":"2024-03-20","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":3,"scale":"shares"},{"title":"Composite likelihood estimation of stationary Gaussian processes with a view toward stochastic volatility","url":"/papers/arxiv/2403.12653/","summary":"The first article discusses a framework for understanding parametric continuous-time stationary Gaussian processes, applied successfully to models describing the random log-spot variance of financial asset returns, including cryptocurrency.","featured":"2024-03-20","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":3,"scale":"shares"},{"title":"A path-dependent PDE solver based on signature kernels","url":"/papers/arxiv/2403.11738/","summary":"The article introduces a new, verifiably effective kernel-based solver for path-dependent partial differential equations (PPDEs). This provides a practical alternative to Monte Carlo methods, especially for option pricing under rough volatility.","featured":"2024-03-20","label":"arXiv","topic":"Derivatives & Volatility","cites":18,"score":2,"scale":"shares"},{"title":"Mixed-Frequency Volatility Model","url":"/papers/repec/taf-reroxx-v-36-y-2023-i-1-p-2117228/","summary":"The MF-MoP model, based on predictability momentum, is more effective than GARCH and Realized GARCH models in predicting financial asset volatility.","featured":"2024-03-20","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":17,"scale":"shares"},{"title":"Bayesian Comparison of GARCH and Stochastic Volatility","url":"/papers/repec/taf-reroxx-v-36-y-2023-i-1-p-2112-2136/","summary":"Stochastic volatility models, particularly the SV-M model, are more effective than GARCH models in modelling inflation rates across 18 developed countries.","featured":"2024-03-20","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":17,"scale":"shares"},{"title":"Convergence of Two Point Flux for Options Pricing","url":"/papers/ssrn/4751533/","summary":"The paper explores numerical solutions for the Black-Scholes Partial Differential Equation in options pricing, using specific approximation methods.","featured":"2024-03-13","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Realised Volatility Forecasting with Word Embedding","url":"/papers/ssrn/4754276/","summary":"The study presents FinText, a tool that enhances volatility forecasts using business news archives and identifies key phrases impacting volatility.","featured":"2024-03-13","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Generalized Measures of Correlation in Chinese Markets","url":"/papers/ssrn/4755641/","summary":"The paper uncovers a V curve pattern in the Shanghai stock market, showing a stronger dependency of volatility on negative return.","featured":"2024-03-13","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Simply Better Market Betas around the Globe","url":"/papers/ssrn/4755442/","summary":"The research finds the Welch 2022 age-decayed slope-winsorized beta estimator to be the most effective among 11 market beta estimators in forecasting and hedging performance across international stock markets.","featured":"2024-03-13","label":"SSRN","topic":"Derivatives & Volatility","cites":1,"score":7,"scale":"shares"},{"title":"Hull and White Model Simulation","url":"/papers/ssrn/4756390/","summary":"The study introduces a method to simulate asset price and variance under the Hull and White stochastic volatility model, offering a way to generate unbiased estimates for the price of derivatives instruments.","featured":"2024-03-13","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Calibrated rank volatility stabilized models for large equity markets","url":"/papers/arxiv/2403.04674/","summary":"A new model for large equity markets over long periods of time has been introduced, using rank volatility stabilized models, which aligns well with empirical data and allows for relative arbitrage.","featured":"2024-03-13","label":"arXiv","topic":"Derivatives & Volatility","cites":4,"score":7,"scale":"shares"},{"title":"Local Volatility Global Impact","url":"/papers/repec/taf-eurjfi-v-30-y-2024-i-5-p-481-502/","summary":"A study of 21 equity indices in 17 developed economies found that global variables are the main determinants of local volatility persistence.","featured":"2024-03-13","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":24,"scale":"shares"},{"title":"Currency Hedging Strategy","url":"/papers/repec/taf-quantf-v-24-y-2024-i-2-p-305-327/","summary":"A non-Gaussian dynamic currency hedging strategy for globally diversified investors is stable, robust, and highly risk reductive, outperforming other hedging approaches.","featured":"2024-03-13","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":22,"scale":"shares"},{"title":"Crude Oil Futures Time-Frequency Correlation","url":"/papers/repec/eme-jrfpps-jrf-04-2023-0096/","summary":"Short-term trading increases price volatility in crude oil futures markets, with different futures markets susceptible to same fall but different rise scenarios, according to a study.","featured":"2024-03-13","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":19,"scale":"shares"},{"title":"Commodity Financialization","url":"/papers/repec/wly-jfutmk-v-44-y-2024-i-4-p-631-652/","summary":"The study reveals that volatility in financial markets and global macroeconomic variables impact soybeans' convenience yield, supporting the notion of commodity financialization.","featured":"2024-03-13","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":12,"scale":"shares"},{"title":"Evaluation of GARCH-MIDAS Volatility Models","url":"/papers/repec/taf-eurjfi-v-30-y-2024-i-6-p-575-596/","summary":"The study cautions that data-mining bias can skew forecasts and that the contribution of macro-variables in forecasting total variance by GARCH-MIDAS models is exaggerated.","featured":"2024-03-13","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":12,"scale":"shares"},{"title":"Optimal positioning in derivative securities in incomplete markets","url":"/papers/arxiv/2403.00139/","summary":"The study investigates the best way to hedge risk using derivatives in incomplete markets, focusing on an investor exposed to two assets and using vanilla options as hedging tools.","featured":"2024-03-06","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":8,"scale":"shares"},{"title":"Volatility-based strategy on Chinese equity index ETF options","url":"/papers/arxiv/2403.00474/","summary":"The research looks at the growth of derivative markets in China, focusing on a short-volatility strategy using ETF options data, and suggests model improvements based on volatility forecasts.","featured":"2024-03-06","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":7,"scale":"shares"},{"title":"A time-stepping deep gradient flow method for option pricing in (rough) diffusion models","url":"/papers/arxiv/2403.00746/","summary":"The study introduces a new deep learning method for pricing European options in diffusion models, transforming the option pricing equation into an energy minimization problem and using deep artificial neural networks.","featured":"2024-03-06","label":"arXiv","topic":"Derivatives & Volatility","cites":4,"score":6,"scale":"shares"},{"title":"Quasi-Monte Carlo with Domain Transformation for Efficient Fourier Pricing of Multi-Asset Options","url":"/papers/arxiv/2403.02832/","summary":"The RQMC quadrature enhances the scalability of Fourier methods in pricing multi-asset options, surpassing traditional methods and offering practical error estimates.","featured":"2024-03-06","label":"arXiv","topic":"Derivatives & Volatility","cites":3,"score":4,"scale":"shares"},{"title":"Semistatic robust utility indifference valuation and robust integral functionals","url":"/papers/arxiv/2402.18872/","summary":"The article presents a new method for maximizing utility with semistatic strategies for exotic options, introducing a robust form of convex integral functionals and establishing key results, which provide a solution for the robust utility maximization problem and a representation of associated indifference prices.","featured":"2024-03-06","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":9,"scale":"shares"},{"title":"HJM Local Volatility Model","url":"/papers/arxiv/2301.13595/","summary":"The article explains the implementation of Local Volatility in market modeling to replicate most swaption prices within a single model, but short-term swaption volatility cannot be accurately generated due to the use of a normal distribution.","featured":"2024-03-06","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":37,"scale":"shares"},{"title":"Intraday Volatility Prediction","url":"/papers/ssrn/4747889/","summary":"The paper proposes a new method for predicting intraday volatility in financial data using Ito semimartingale models and a Two-side Projected-PCA procedure.","featured":"2024-03-06","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Local Edgeworth Expansions","url":"/papers/ssrn/4747434/","summary":"The article introduces a mathematical model to estimate changes in level-volatility in a Brownian semimartingale, incorporating skewness and kurtosis through fluctuating correlations and volatility changes.","featured":"2024-03-06","label":"SSRN","topic":"Derivatives & Volatility","cites":1,"score":3,"scale":"shares"},{"title":"Volatility Risk Premiums in Swaption Market","url":"/papers/ssrn/4744144/","summary":"The study investigates how unconventional monetary policies and pandemics affect volatility risk premiums in the USD interest rate swaption market from 2007 to 2022.","featured":"2024-03-06","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":118,"scale":"shares"},{"title":"Robust Stochastic Volatility Models","url":"/papers/ssrn/4742141/","summary":"The paper suggests four principles to evaluate the suitability of a Stochastic Volatility model for valuing derivative securities across various asset classes.","featured":"2024-03-06","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Procyclicality of Risk-based Initial Margin Models","url":"/papers/ssrn/4747312/","summary":"The study presents a method to evaluate the responsiveness of initial margin calculation models during periods of high market volatility.","featured":"2024-03-06","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":64,"scale":"shares"},{"title":"Volatility, Leverage, and Skewness in Stock Returns","url":"/papers/ssrn/4742615/","summary":"The study finds that variance shocks strongly influence the conditional skewness of index returns, impacting asset pricing, portfolio selection, and risk management applications.","featured":"2024-03-06","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Volatility, Growth Options, and Returns","url":"/papers/repec/oup-rasset-v-13-y-2023-i-4-p-653-690/","summary":"The study reveals that growth firms and high idiosyncratic volatility firms outperform the CAPM during periods of high aggregate volatility, thus lowering their risk.","featured":"2024-03-06","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":21,"scale":"shares"},{"title":"Volatility, Growth, and Returns","url":"/papers/repec/oup-jfinec-v-21-y-2023-i-3-p-616-650/","summary":"The research suggests using the characteristic function to estimate linear models with errors in financial econometrics, with applications to the capital asset pricing model.","featured":"2024-03-06","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":8,"scale":"shares"},{"title":"Upper Bound for Options on Realised Volatility","url":"/papers/ssrn/4729916/","summary":"The study presents a new formula for calculating the price of volatility swaps in uncorrelated stochastic volatility models, providing an upper limit for options on realized volatility.","featured":"2024-02-21","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Harvesting the HAR-X Volatility Model","url":"/papers/ssrn/4733597/","summary":"The study finds that low-frequency HARX models using public data can accurately predict asset price volatility, matching the original HAR model's accuracy.","featured":"2024-02-21","label":"SSRN","topic":"Derivatives & Volatility","cites":1,"score":2,"scale":"shares"},{"title":"Optimal Option Market Making and Volatility Arbitrage","url":"/papers/ssrn/4729290/","summary":"A novel market making model for options trading has been introduced, considering trader's volatility views and incorporating features like trading position limit, risk control, and simultaneous market making of multiple options.","featured":"2024-02-21","label":"SSRN","topic":"Derivatives & Volatility","cites":1,"score":3,"scale":"shares"},{"title":"Hedge Fund Strategy","url":"/papers/ssrn/4730233/","summary":"The research uses machine learning to analyze hedge fund strategies, concluding that most do not align with their reported performance.","featured":"2024-02-21","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Interest Rates Stochastic Volatility Model","url":"/papers/ssrn/4733044/","summary":"The lognormal stochastic volatility model is introduced in the single-factor Cheyette model for interest rate dynamics, demonstrating robustness and accuracy in fitting market implied volatilities.","featured":"2024-02-21","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":1086,"scale":"shares"},{"title":"Commodity Hedging Futures Markets Speculation","url":"/papers/ssrn/4729185/","summary":"A comparison of traditional and selective hedging strategies in commodity futures markets shows that traditional hedging is more beneficial as selective hedging increases risk without additional returns.","featured":"2024-02-21","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Price Discovery for Derivatives","url":"/papers/ssrn/4728383/","summary":"The study investigates price discovery in a model where an agent has private information about state probabilities, extending the setting to Arrow-Debreu securities and analyzing the impact of informed demand price and information efficiency of prices.","featured":"2024-02-21","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":227,"scale":"shares"},{"title":"Option Characteristics and Stock Returns","url":"/papers/ssrn/4734014/","summary":"The research analyzes options-implied information for predicting stock returns, finding that only a few option characteristics significantly predict returns after controlling for firm characteristics, and these are linked to asset mispricing, future tail return realizations, and short-selling costs.","featured":"2024-02-21","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":1810,"scale":"shares"},{"title":"Mutual Fund Derivative Use Revealed","url":"/papers/ssrn/4732904/","summary":"The paper studies fund derivative use and its impact on performance using new SEC data, revealing that despite small portfolio weights, derivatives significantly contribute to fund returns, with most funds using derivatives to amplify rather than hedge equity returns.","featured":"2024-02-21","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Efficient Approximations for Utility-Based Pricing","url":"/papers/arxiv/2105.08804/","summary":"The article introduces a new method using the Lambert function to evaluate reservation price in illiquid markets, improving accuracy and aiding in hedging asset selection.","featured":"2024-02-21","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":31,"scale":"shares"},{"title":"On pricing of discrete Asian and Lookback options under the Heston model","url":"/papers/arxiv/2211.03638/","summary":"The authors suggest a data-driven method using artificial neural networks for efficient pricing of certain options, reducing computational time and increasing accuracy.","featured":"2024-02-21","label":"arXiv","topic":"Derivatives & Volatility","cites":3,"score":22,"scale":"shares"},{"title":"Bank System Volatility and Innovation Quality","url":"/papers/repec/mes-emfitr-v-60-y-2024-i-2-p-371-387/","summary":"Chinese non-financial firms' innovation quality positively correlates with banking sector volatility risk, but this effect is lessened for bank-related firms and during high economic policy uncertainty.","featured":"2024-02-21","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":17,"scale":"shares"},{"title":"Monetary Policy and Stock Volatility","url":"/papers/repec/ibn-ijbmjn-v-19-y-2024-i-1-p-46/","summary":"Research from 2009 to 2021 shows that the Federal Reserve's monetary policy actions led to market volatility in the USA, especially for value stocks.","featured":"2024-02-21","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":12,"scale":"shares"},{"title":"Risk Shocks and Business Cycles: Evidence from Credit Options","url":"/papers/ssrn/4721719/","summary":"Options on the CDX index can predict short-term economic downturns by indicating changes in credit risk premia and shifts in credit market conditions.","featured":"2024-02-14","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Inflation Volatility and the Directional Volatility Ratio","url":"/papers/ssrn/4724237/","summary":"The article presents a new method called the directional volatility ratio for predicting inflation trends, which is more effective than traditional methods.","featured":"2024-02-14","label":"SSRN","topic":"Derivatives & Volatility","cites":1,"score":2,"scale":"shares"},{"title":"HFT & Option Market Liquidity","url":"/papers/ssrn/4721689/","summary":"A study finds that increased aggressive high-frequency trading in equity markets results in wider bid-ask spreads in the options market due to sniping risk and informed trading.","featured":"2024-02-14","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"A monotone piecewise constant control integration approach for the two-factor uncertain volatility model","url":"/papers/arxiv/2402.06840/","summary":"The study introduces a new solution to the Hamilton-Jacobi-Bellman equation in option pricing, proving its stability, consistency, and effectiveness against traditional methods.","featured":"2024-02-14","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":2,"scale":"shares"},{"title":"Predicting the volatility of major energy commodity prices: The dynamic persistence model","url":"/papers/arxiv/2402.01354/","summary":"The article proposes a new method for forecasting oil-based volatility that models varying persistence shocks together, improving predictions and surpassing standard models.","featured":"2024-02-07","label":"arXiv","topic":"Derivatives & Volatility","cites":8,"score":7,"scale":"shares"},{"title":"Option pricing for Barndorff–Nielsen and Shephard model by supervised deep learning","url":"/papers/arxiv/2402.00445/","summary":"A supervised deep-learning scheme has been developed to accurately compute call option prices for the Barndorff-Nielsen and Shephard model, using an additional input variable from the Black-Scholes formula.","featured":"2024-02-07","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":3,"scale":"shares"},{"title":"Volatility Models: Pricing and Hedging with Fourier","url":"/papers/ssrn/4714535/","summary":"Pricing and Hedging with Fourier: The research investigates a volatility model incorporating famous models like SteinStein Bergomi and Heston, using Fourier inversion techniques for pricing and hedging certain options.","featured":"2024-02-07","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":171,"scale":"shares"},{"title":"TSMixer and Realized Volatility Prediction","url":"/papers/ssrn/4713756/","summary":"Stock Volatility Forecasting with Neural Networks: The TSMixer neural network model has proven to be more effective than traditional models in predicting stock market volatility, indicating a possible shift towards simpler models in the future.","featured":"2024-02-07","label":"SSRN","topic":"Derivatives & Volatility","cites":6,"score":2,"scale":"shares"},{"title":"Dynamic Currency Hedging with Non-Gaussianity","url":"/papers/ssrn/4716896/","summary":"A new currency hedging strategy for global investors, which takes into account investor ambiguity, has been introduced.","featured":"2024-02-07","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Volatility and Equity Returns in South Africa","url":"/papers/repec/ids-afasfa-v-14-y-2024-i-1-p-83-99/","summary":"The research explores the connection between the South African volatility index and Johannesburg Stock Exchange listed stock indices, concluding that the TGARCH model is best for modeling volatility and the SAVI has a significant positive relationship with all selected indices.","featured":"2024-02-07","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":26,"scale":"shares"},{"title":"VIX and SPX Futures Lead-Lag Relationship","url":"/papers/repec/eee-finmar-v-67-y-2024-i-c-s1386418123000496/","summary":"The study investigates the relationship between VIX futures and SPX futures, discovering a strong negative correlation when volatility is high, with VIX futures leading, and that market liquidity and hedging activities influence this relationship.","featured":"2024-02-07","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":20,"scale":"shares"},{"title":"Volatility Spillover and Forecasting in Stock Markets","url":"/papers/repec/eee-finana-v-91-y-2024-i-c-s1057521923004805/","summary":"Volatility spillover across Shanghai, Hong Kong, and U.S. stock markets varies over time and regime, suggesting traditional forecast models could be improved by considering these factors.","featured":"2024-02-07","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":10,"scale":"shares"},{"title":"Interest Rate Volatility in Developing Countries","url":"/papers/repec/dug-actaec-y-2023-i-4-p-176-192/","summary":"A study reveals that interest rate volatility negatively affects financial stability in African Union countries, while money growth variations stabilize the sector.","featured":"2024-02-07","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":24,"scale":"shares"},{"title":"Asset Diversification in Volatile Markets","url":"/papers/repec/rnp-smmscn-s23412/","summary":"The article suggests optimizing the risk-return ratio of an investment portfolio by selecting suitable investment proportions for each asset using G. Markowitz's theory and Excel.","featured":"2024-02-07","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":21,"scale":"shares"},{"title":"Macroeconomic Variables Impact on Exchange Rate Volatility in Turkey","url":"/papers/repec/ist-ekoist-v-0-y-2023-i-39-p-49-64/","summary":"A study found that in Turkey, exchange rate volatility has a more prolonged impact on inflation than on real GDP.","featured":"2024-02-07","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":16,"scale":"shares"},{"title":"Analytic Pricing of SOFR Futures Contracts with Smile and Skew","url":"/papers/arxiv/2401.15728/","summary":"The article presents a pricing formula for SOFR futures contracts, taking into account intrinsic convexity adjustments and skew and smile from options markets.","featured":"2024-01-30","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":6,"scale":"shares"},{"title":"Higher order approximation of option prices in Barndorff-Nielsen and Shephard models","url":"/papers/arxiv/2401.14390/","summary":"The paper introduces an approximation method for pricing European options in Barndorff-Nielsen and Shephard models, utilizing a recursive algorithm for closed form option price approximations.","featured":"2024-01-30","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":5,"scale":"shares"},{"title":"Fast and General Simulation of Lévy-driven Ornstein-Uhlenbeck processes for Energy Derivatives","url":"/papers/arxiv/2401.15483/","summary":"The article presents a new simulation technique for Lévy-driven Ornstein-Uhlenbeck processes, providing a quicker and more precise method for pricing energy derivatives.","featured":"2024-01-30","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":5,"scale":"shares"},{"title":"No-Arbitrage Deep Calibration for Volatility Smile and Skewness","url":"/papers/arxiv/2310.16703/","summary":"The introduction of a Derivative-Constrained Neural Network (DCNN) enhances the calibration of implied volatility surface in option prices, aiding in understanding market dynamics and risk management.","featured":"2024-01-30","label":"arXiv","topic":"Derivatives & Volatility","cites":8,"score":17,"scale":"shares"},{"title":"Hedging Beyond the Mean: A Distributional Reinforcement Learning Perspective for Hedging Portfolios with Structured Products","url":"/papers/ssrn/4709441/","summary":"A new method of distributional reinforcement learning is suggested for managing portfolios with complex products like Autocallable notes, which are difficult to handle with traditional reinforcement learning due to their complexity.","featured":"2024-01-30","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Observable vs Latent Markov Chains for Volatility","url":"/papers/ssrn/4706972/","summary":"The latent-regime Betat-EGARCH model outperforms the observable-regime Betat-EGARCH model in in-sample statistical performance, but their out-of-sample density forecasting performances are similar.","featured":"2024-01-30","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Anomalies as Hedge Fund Factors","url":"/papers/ssrn/4709472/","summary":"A nine-factor model, which includes five anomaly factors, is effective in explaining hedge fund returns, highlighting the need for regular factor updates in the hedge fund sector.","featured":"2024-01-30","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"ML Predicts Stock Volatility","url":"/papers/ssrn/4708642/","summary":"Machine learning algorithms, especially neural networks, can predict stock return volatility using accounting-based characteristics, with profitability-related traits being the most predictive.","featured":"2024-01-30","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Smoothing Volatility-Managed Portfolios","url":"/papers/ssrn/4708509/","summary":"Using a new variational Bayes inference method to smooth volatility forecasts can decrease excess leverage and turnover, thereby enhancing the performance of volatility-managed portfolios.","featured":"2024-01-30","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Modelling the Index Option Smirk in China: Do Non-Affine Two-Factor Stochastic Volatility Models Work?","url":"/papers/ssrn/4698894/","summary":"A new multifactor stochastic volatility model for the Chinese options market surpasses the double Heston model in option pricing performance and correlation structure.","featured":"2024-01-23","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":4,"scale":"shares"},{"title":"Volatility Indices for Market Tail Risk Hedging","url":"/papers/ssrn/4700223/","summary":"The Cboe Volatility Index (VIX) and its derivatives are examined as potential market risk indicators and hedging tools, but their correlation with the U.S. stock market has limitations.","featured":"2024-01-23","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Common Risk Factors in the Returns on Stocks, Bonds (and Options), Redux","url":"/papers/ssrn/4703281/","summary":"The research identifies a shared risk factor structure across all major corporate securities, which significantly influences individual asset returns.","featured":"2024-01-23","label":"SSRN","topic":"Derivatives & Volatility","cites":4,"score":2,"scale":"shares"},{"title":"Fourier Spot Volatility Estimator","url":"/papers/ssrn/4698084/","summary":"The paper demonstrates the reliability and efficiency of the Fourier spot volatility estimator in handling microstructure noise without data manipulation or bias correction.","featured":"2024-01-23","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Pricing & Hedging of Temperature Derivatives with Memory","url":"/papers/ssrn/4698000/","summary":"A new temperature model based on generalized Langevin equations can predict the risk-neutral price dynamics of temperature derivatives, making it useful for hedging against unfavorable weather conditions, a paper suggests.","featured":"2024-01-23","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Smile Consistent Basket Skew","url":"/papers/ssrn/4702005/","summary":"A paper introduces analytical approximations for the skew and convexity of an option on a basket of assets, which can be used to estimate the basket implied volatility at strikes around the ATM point and sufficiently small volatility or maturity.","featured":"2024-01-23","label":"SSRN","topic":"Derivatives & Volatility","cites":2,"score":2,"scale":"shares"},{"title":"Volatility Estimation and Leverage Effect","url":"/papers/ssrn/4703293/","summary":"The paper introduces nonparametric estimators for volatility and leverage effect, using high-frequency observations of short-dated options, with the rate of convergence depending on the latent volatility process and observation error.","featured":"2024-01-23","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Currency Hedging's Impact on Equity Fund Performance","url":"/papers/ssrn/4703528/","summary":"The study examines the effect of currency hedging on the alphas and fund flows of currency-hedged equity funds, introducing a currency hedging return factor to account for hedging activities in factor models.","featured":"2024-01-23","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Credit Rating Agencies & Options Market","url":"/papers/ssrn/4701505/","summary":"A study reveals that credit rating agencies' predictive abilities improve with increased options trading volume, leading to more accurate credit risk assessments.","featured":"2024-01-23","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Data-driven Option Pricing","url":"/papers/arxiv/2401.11158/","summary":"A new data-driven option pricing method is suggested, using historical asset prices and deep learning to solve optimization problems, proving effective in numerical tests.","featured":"2024-01-23","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":3,"scale":"shares"},{"title":"Consistent asset modelling with random coefficients and switches between regimes","url":"/papers/arxiv/2401.09955/","summary":"A stochastic model is examined that incorporates external influences and uncertainty in the parametrization of stochastic dynamics, using a Markov-modulated approach for regime switching, applied to option pricing in a numerical experiment.","featured":"2024-01-23","label":"arXiv","topic":"Derivatives & Volatility","cites":3,"score":3,"scale":"shares"},{"title":"Pseudo-Out-of-Sample Information for Forecasting Stock Volatility","url":"/papers/repec/eee-reveco-v-90-y-2024-i-c-p-123-135/","summary":"A new method using technical indicators for predicting volatility in the Chinese stock market outperforms existing models.","featured":"2024-01-23","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":14,"scale":"shares"},{"title":"Implied Volatility and Return Relationship","url":"/papers/repec/gam-jjrfmx-v-17-y-2024-i-1-p-39-d-1321582/","summary":"The research applies the VIX method to individual equity options data, discovering a negative correlation between equity return and volatility, indicating behavioral biases over leverage and volatility-feedback effects.","featured":"2024-01-23","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":29,"scale":"shares"},{"title":"Tech Indicators & Implied Volatility Index","url":"/papers/repec/wly-jfutmk-v-44-y-2024-i-1-p-57-74/","summary":"The article discusses how technical indicators based on underlying assets can enhance the accuracy of forecasting errors in implied volatility indexes, improving Value at Risks estimation.","featured":"2024-01-23","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":13,"scale":"shares"},{"title":"SpotV2Net: Intraday Spot Volatility Forecasting","url":"/papers/ssrn/4692194/","summary":"Intraday Spot Volatility Forecasting: SpotV2Net, a new forecasting model based on Graph Attention Network architecture, enhances the accuracy of intraday spot volatility predictions for financial assets.","featured":"2024-01-17","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"0DTEs: Trading, Gamma Risk and Volatility Propagation","url":"/papers/ssrn/4692190/","summary":"A study reveals that short-term options trading does not increase market volatility, but rather has an inverse relationship with intraday volatility.","featured":"2024-01-17","label":"SSRN","topic":"Derivatives & Volatility","cites":6,"score":27,"scale":"shares"},{"title":"Market Instability from Option Flows","url":"/papers/ssrn/4695776/","summary":"The speculative use of call options can cause price instability in the underlying asset's market, even with advanced volatility estimators, as per a study using the MinMaSS stability measure.","featured":"2024-01-17","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":8,"scale":"shares"},{"title":"Liquidity Premium, Liquidity-Adjusted Return and Volatility, and Extreme Liquidity","url":"/papers/ssrn/4694674/","summary":"A study using crypto assets indicates that jumps in asset prices are signs of extreme liquidity and can be effectively modeled using autoregressive models adjusted with liquidity.","featured":"2024-01-17","label":"SSRN","topic":"Derivatives & Volatility","cites":2,"score":2,"scale":"shares"},{"title":"Effectiveness of Forex Intervention: Role of Domestic Fundamentals","url":"/papers/ssrn/4692676/","summary":"Role of Domestic Fundamentals: Foreign exchange intervention can stabilize currencies in emerging markets under conditions like low volatility and high inflation, as per a study of 20 emerging economies.","featured":"2024-01-17","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Financial Market Developments and Employee Welfare","url":"/papers/ssrn/4690550/","summary":"Equity options and credit default swaps trading benefits company employees by reducing short-term managerial focus and improving information efficiency.","featured":"2024-01-17","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Global Volatility and Capital Flows","url":"/papers/ssrn/4691941/","summary":"During high volatility periods, institutional investors globally reduce their equity allocations, while retail investors shift from small-cap to large-cap stocks.","featured":"2024-01-17","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Deep Calibration for Stochastic Volatility","url":"/papers/ssrn/4692741/","summary":"A new method using neural networks to calibrate stochastic volatility models has proven to be robust and efficient, as confirmed by empirical and Monte Carlo experiments.","featured":"2024-01-17","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Super-hedging-pricing formulas and immediate-profit arbitrage for market models under random horizon","url":"/papers/arxiv/2401.05713/","summary":"The study explores the super-hedging pricing valuation issue in different financial contexts, emphasizing the effect of changes in prior information and the growth of super-hedging prices under uncertainty.","featured":"2024-01-17","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":5,"scale":"shares"},{"title":"SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks","url":"/papers/arxiv/2401.06249/","summary":"Intraday Volatility Forecasting: The article introduces SpotV2Net, a new model for predicting intraday spot volatility using a Graph Attention Network, which has shown better accuracy in predicting Dow Jones Industrial Average index prices.","featured":"2024-01-17","label":"arXiv","topic":"Derivatives & Volatility","cites":5,"score":4,"scale":"shares"},{"title":"A Two-Step Longstaff Schwartz Monte Carlo Approach to Game Option Pricing","url":"/papers/arxiv/2401.08093/","summary":"The article suggests a two-step Longstaff Schwartz Monte Carlo method for pricing game options, which provides more reliable results than the original method.","featured":"2024-01-17","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":2,"scale":"shares"},{"title":"A deep implicit-explicit minimizing movement method for option pricing in jump-diffusion models","url":"/papers/arxiv/2401.06740/","summary":"The paper introduces a deep learning method for pricing European basket options using Artificial Neural Networks and two methods for discretizing the integral operator, focusing on assets with jump-diffusion dynamics.","featured":"2024-01-17","label":"arXiv","topic":"Derivatives & Volatility","cites":9,"score":2,"scale":"shares"},{"title":"Deep Signature Algorithm for Multidimensional Path-Dependent Options","url":"/papers/arxiv/2211.11691/","summary":"The research expands the backward scheme for state-dependent FBSDEs with reflections to path-dependent FBSDEs, demonstrating the convergence of the numerical algorithm and providing examples of its use.","featured":"2024-01-17","label":"arXiv","topic":"Derivatives & Volatility","cites":15,"score":14,"scale":"shares"},{"title":"A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean–Vlasov models","url":"/papers/arxiv/2203.01160/","summary":"The paper presents a new regularization approach for solving the singular McKean-Vlasov equation, commonly used in financial models, using the reproducing kernel Hilbert space technique.","featured":"2024-01-17","label":"arXiv","topic":"Derivatives & Volatility","cites":7,"score":17,"scale":"shares"},{"title":"SPX Implied Volatility Inconsistencies","url":"/papers/ssrn/4684016/","summary":"Research using SPX options data from 2011 to 2022 found that Volterra Bergomi models do not accurately capture implied volatility due to the roughness component's structural limitations.","featured":"2024-01-09","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":89,"scale":"shares"},{"title":"Harvesting the FX Skew Premium","url":"/papers/ssrn/4687408/","summary":"Incorporating Risk premia strategies in multi-asset portfolios can lessen left-tail exposure, but diversification within options needs maximizing the number of volatility parameters for a direct trading strategy.","featured":"2024-01-09","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Risk-taking incentives and risk-talking outcomes -> Incentives and outcomes of risk-taking","url":"/papers/ssrn/4685572/","summary":"The research reveals a positive link between CEOs' option-based compensation and discussions about political risk in earnings conference calls, indicating a risk-taking strategy.","featured":"2024-01-09","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Harnessing Volatility Cascades with Ensemble Learning","url":"/papers/ssrn/4682793/","summary":"A modification to the base learner in bootstrap aggregation and boosting can significantly improve predictive accuracy in volatility forecasting, addressing substantial errors from parameter estimation.","featured":"2024-01-09","label":"SSRN","topic":"Derivatives & Volatility","cites":2,"score":2,"scale":"shares"},{"title":"Equity Vol. & Spreads in Market Volatility","url":"/papers/ssrn/4684471/","summary":"Research on the Russell 3000 Index from 2008-2022 shows a positive link between stock trading volume and volatility, indicating US stocks' resilience during volatile periods.","featured":"2024-01-09","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Notes on the SWIFT method based on Shannon Wavelets for Option Pricing - Revisited","url":"/papers/arxiv/2401.01758/","summary":"The note reexamines the SWIFT method for pricing European options under models with a known characteristic function in 2023, discussing potential enhancements and pointing out some limitations of the method.","featured":"2024-01-09","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":4,"scale":"shares"},{"title":"Portfolios generated by contingent claim functions, with applications to option pricing","url":"/papers/arxiv/2308.13717/","summary":"The article discusses portfolio generating functions and rational option pricing, showing that a portfolio's value can replicate a function's value if the function satisfies a certain equation.","featured":"2024-01-09","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":13,"scale":"shares"},{"title":"Pricing and hedging for a sticky diffusion","url":"/papers/arxiv/2311.17011/","summary":"The research investigates a financial market model, proving it's free of arbitrage only if the interest rate is zero, and assesses the hedging error from misrepresenting price stickiness.","featured":"2024-01-09","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":13,"scale":"shares"},{"title":"A Hamiltonian Approach to Barrier Option Pricing Under Vasicek Model","url":"/papers/arxiv/2307.07103/","summary":"The paper uses the Hamiltonian approach from quantum theory to option pricing with fluctuating interest rates, deriving pricing kernels and option prices under a specific model.","featured":"2024-01-09","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":10,"scale":"shares"},{"title":"A note on closed-form spread option valuation under log-normal models","url":"/papers/arxiv/2109.05431/","summary":"The study introduces a new formula for pricing spread call options under log-normal models, which outperforms the formula presented in a previous study for certain model parameters.","featured":"2024-01-09","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":9,"scale":"shares"},{"title":"Calibration of Stochastic Volatility Model","url":"/papers/repec/wly-jfutmk-v-44-y-2024-i-1-p-75-102/","summary":"A partially specified stochastic volatility model, calibrated using the dynamic programming principle and the Heston model, can predict future trends for synthetic and S&P500 data.","featured":"2024-01-09","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":15,"scale":"shares"},{"title":"The implied volatility surface (also) is path-dependent","url":"/papers/arxiv/2312.15950/","summary":"A new forecasting model is suggested that uses past returns and their squares to predict implied volatility surfaces and underlying asset returns for up to two years.","featured":"2024-01-03","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":8,"scale":"shares"},{"title":"Almost Perfect Shadow Prices","url":"/papers/arxiv/2401.00970/","summary":"A paper finds that a simple shadow price strategy for maximizing long-term returns given average volatility is nearly optimal, but suggests alternative strategies for different risk aversions.","featured":"2024-01-03","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":6,"scale":"shares"},{"title":"CVA Hedging by Risk-Averse Stochastic-Horizon Reinforcement Learning","url":"/papers/arxiv/2312.14044/","summary":"The study explores dynamic risk management of potential credit losses on a derivatives portfolio, using recent advancements in risk-averse Reinforcement Learning for option hedging.","featured":"2024-01-03","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":5,"scale":"shares"},{"title":"Computing Volatility Surfaces using Generative Adversarial Networks with Minimal Arbitrage Violations","url":"/papers/arxiv/2304.13128/","summary":"The article introduces a generative adversarial network (GAN) method for calculating volatility surfaces, showing that the GAN model is more accurate and faster than artificial neural network (ANN) methods.","featured":"2024-01-03","label":"arXiv","topic":"Derivatives & Volatility","cites":3,"score":50,"scale":"shares"},{"title":"Robust Risk-Aware Option Hedging","url":"/papers/arxiv/2303.15216/","summary":"The study highlights the effectiveness of robust risk-aware reinforcement learning in managing risks related to path-dependent financial derivatives, especially in hedging barrier options, proving robust strategies are superior.","featured":"2024-01-03","label":"arXiv","topic":"Derivatives & Volatility","cites":19,"score":56,"scale":"shares"},{"title":"CVA Hedging by Risk-Averse Stochastic-Horizon Reinforcement Learning","url":"/papers/ssrn/4673150/","summary":"The study uses risk-averse Reinforcement Learning for managing potential credit losses on a derivatives portfolio, proving its effectiveness through a numerical study for a portfolio consisting of a single FX forward contract.","featured":"2024-01-03","label":"SSRN","topic":"Derivatives & Volatility","cites":2,"score":2,"scale":"shares"},{"title":"Why Do Hedgers Hedge? The Role of Ambiguity","url":"/papers/ssrn/4672261/","summary":"The research shows that uncertainty in commodity futures markets influences hedging behavior, with swap dealers increasing their hedging demand and commodity producers decreasing their activity during uncertain times.","featured":"2024-01-03","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":8,"scale":"shares"},{"title":"Simulation of Multifactor Stochastic Volatility","url":"/papers/ssrn/4673452/","summary":"The article suggests a new simulation scheme for the multifactor OrnsteinUhlenbeck stochastic volatility model that is simpler to use, quicker to run, and offers better error control.","featured":"2024-01-03","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"Functional Stochastic Discount Factors in the Stochastic Volatility Model","url":"/papers/ssrn/4672635/","summary":"The stochastic volatility model shows that certain stochastic discount factors can cause a bubble in wealth processes and derivatives, but not in stocks or risk-free bonds.","featured":"2024-01-03","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":4,"scale":"shares"},{"title":"Quantum Machine Learning for Option Pricing","url":"/papers/ssrn/4673569/","summary":"The paper discusses the potential of quantum machine learning as an efficient alternative to classical machine learning in financial risk management.","featured":"2024-01-03","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"A Tactical Strategy using ETFs: Harvesting Volatility Risk Premia & Crisis Alpha","url":"/papers/ssrn/4666899/","summary":"Volatility Risk Premia & Crisis Alpha Harvesting: The author proposes a systematic method for investing in volatility risk premia via ETFs, utilizing futures contracts for backtesting data.","featured":"2023-12-20","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Volatility Modeling in Asset Markets","url":"/papers/ssrn/4666463/","summary":"The paper investigates the volatilities of nine asset markets from 2013 to 2021, identifying three factors affecting volatility and a strong correlation in the volatility of Iranian stock returns.","featured":"2023-12-20","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Market Ambiguity and Risk-Return Tradeoff","url":"/papers/ssrn/4667242/","summary":"The risk-return balance in the stock market is affected by the investor's attitude towards ambiguity, with increased market volatility causing a decrease in the equity premium's slope when market optimism is high.","featured":"2023-12-20","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Robust option pricing with volatility term structure -- An empirical study for variance options","url":"/papers/arxiv/2312.09201/","summary":"The research examines the robust option pricing issue, discovering that adding more information does not enhance the robust pricing bounds, contrary to popular belief.","featured":"2023-12-20","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":4,"scale":"shares"},{"title":"Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility","url":"/papers/arxiv/2312.08784/","summary":"The research identifies the weak convergence of a nearly-unstable Hawkes process with a heavy-tailed kernel, useful for creating a scaling limit for a financial market model.","featured":"2023-12-20","label":"arXiv","topic":"Derivatives & Volatility","cites":16,"score":3,"scale":"shares"},{"title":"Total Positivity and Convexity in Options","url":"/papers/repec/wsi-wschap-9789811280306-0012/","summary":"The chapter explores total positivity and relative convexity properties in option pricing models, demonstrating that these properties generally hold in time-homogeneous local volatility models.","featured":"2023-12-20","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":23,"scale":"shares"},{"title":"Derivatives' Risks in a Network Model","url":"/papers/repec/wsi-wschap-9789811280306-0008/","summary":"The paper introduces a one-period XVA model for bilateral and centrally cleared trading, illustrating its potential for stress testing a financial network or optimizing a defaulted clearing member's portfolio.","featured":"2023-12-20","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":23,"scale":"shares"},{"title":"Modified Stochastic Volatility Model for Derivative Pricing","url":"/papers/repec/eee-finlet-v-58-y-2023-i-pb-s1544612323007468/","summary":"The article suggests an improved 4/2 stochastic volatility model with a new formula for derivative prices, enhancing calibration speed and capturing market volatility.","featured":"2023-12-20","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":22,"scale":"shares"},{"title":"Volatility Spillovers between Oil and Financial Markets","url":"/papers/repec/spr-jecfin-v-47-y-2023-i-4-d-10-1007-s12197-023-09634-x/","summary":"The article uses a GARCH-VAR-Spillover Index method to study the two-way volatility relationship between oil and stock markets during financial crises.","featured":"2023-12-20","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":20,"scale":"shares"},{"title":"Effectiveness of Short-Term Market Swings in Predicting Realized Volatility","url":"/papers/repec/eee-finlet-v-58-y-2023-i-pd-s1544612323010012/","summary":"The article assesses the new VIX1D volatility index's effectiveness in predicting short-term market fluctuations and realized volatility.","featured":"2023-12-20","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":18,"scale":"shares"},{"title":"Jumps and Gold Futures Volatility Prediction","url":"/papers/repec/eee-finlet-v-58-y-2023-i-pc-s1544612323008644/","summary":"The article studies the efficiency of the jump component in predicting Chinese gold futures volatility using high-frequency data.","featured":"2023-12-20","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":17,"scale":"shares"},{"title":"Forecasting Realized Volatility with Asymmetric Information","url":"/papers/ssrn/4669728/","summary":"Asymmetric variables like return volume and jump components are crucial in forecasting risks, aiding in risk management and investment strategy.","featured":"2023-12-20","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":8,"scale":"shares"},{"title":"Option Dealer Flows' Impact on Equity Returns","url":"/papers/ssrn/4669282/","summary":"Dealers' hedging in options significantly impacts market trends, with a higher sensitivity to implied volatility changes than underlying equity movements.","featured":"2023-12-20","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":51,"scale":"shares"},{"title":"Volatility Modeling with Covariates using Deep Learning","url":"/papers/ssrn/4657189/","summary":"The RECHX model, integrating exogenous variables into a recurrent neural network, is introduced for predicting volatility in financial assets.","featured":"2023-12-13","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":5,"scale":"shares"},{"title":"TimesNet for Realized Volatility Prediction","url":"/papers/ssrn/4660025/","summary":"The study shows that the TimesNet model is effective in predicting stock volatility, particularly during extreme market movements, making it a strong neural network benchmark in volatility research.","featured":"2023-12-13","label":"SSRN","topic":"Derivatives & Volatility","cites":3,"score":3,"scale":"shares"},{"title":"Liquidity Provision in a One-Sided Market: The Role of Dealer-Hedge Fund Relations","url":"/papers/ssrn/4662272/","summary":"The research indicates that dealers' prime brokerage relationships with certain hedge funds enhance their liquidity provision in a one-sided market, as observed during the March 2020 liquidity crisis.","featured":"2023-12-13","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Hidden Duration: Interest Rate Derivatives in Fixed Income Funds","url":"/papers/ssrn/4662054/","summary":"Hidden Duration: The research uncovers significant hidden duration risk in fixed income funds due to their use of interest rate derivatives for speculation rather than hedging, leading to poor performance during interest rate increases.","featured":"2023-12-13","label":"SSRN","topic":"Derivatives & Volatility","cites":1,"score":2,"scale":"shares"},{"title":"A Student's Option Price Decomposition Formula With Applications to Stochastic Volatility Calibration","url":"/papers/ssrn/4658060/","summary":"A formula has been derived for option price in stochastic volatility models, breaking it down into a zero-correlation price and a correlation correction term.","featured":"2023-12-13","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Changing VVIX Characteristics in US Stock Market","url":"/papers/ssrn/4657588/","summary":"The research explores the features of Cboe’s volatility-of-volatility index, showing strong mean reversion, distinct jumps, and a significant upward trend due to higher VIX variation and vol-of-vol risk premium.","featured":"2023-12-13","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Physics Informed Neural Network for Option Pricing","url":"/papers/arxiv/2312.06711/","summary":"The PINN method, a deep-learning technique, is used to accurately price American and European options using the Black-Scholes equation.","featured":"2023-12-13","label":"arXiv","topic":"Derivatives & Volatility","cites":13,"score":5,"scale":"shares"},{"title":"Housing as inflation hedge","url":"/papers/repec/eme-ijhmap-ijhma-06-2022-0084/","summary":"The research uses advanced AI techniques to show that real estate investments can protect against inflation in Japan and the US, with a risk-reward balance in Japan but not in the US.","featured":"2023-12-13","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":12,"scale":"shares"},{"title":"Pricing VIX Derivatives in a Stochastic Volatility Model based on CBI Processes","url":"/papers/ssrn/4649270/","summary":"The paper introduces a new stock price model based on continuous-state branching processes, providing a formula for VIX put option price.","featured":"2023-12-06","label":"SSRN","topic":"Derivatives & Volatility","cites":1,"score":4,"scale":"shares"},{"title":"Rough volatility: evidence from range volatility estimators","url":"/papers/arxiv/2312.01426/","summary":"Range Volatility Estimators: The study further analyzes volatility dynamics using range-based proxies, confirming that log-volatility behaves like fractional Brownian motion and the rough fractional stochastic volatility model predicts better.","featured":"2023-12-06","label":"arXiv","topic":"Derivatives & Volatility","cites":3,"score":15,"scale":"shares"},{"title":"Investigate The ESG Score Methodology","url":"/papers/arxiv/2312.00202/","summary":"The paper compares the predictive power of raw and aggregated Environmental, Social, and Governance (ESG) scores on company stock returns and volatility, with raw ESG data proving most predictive.","featured":"2023-12-06","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":5,"scale":"shares"},{"title":"Physics-informed convolutional transformer for predicting volatility surface","url":"/papers/arxiv/2209.10771/","summary":"The paper presents a new architecture using physics-informed neural networks and convolutional transformers for better predicting financial market volatility.","featured":"2023-12-06","label":"arXiv","topic":"Derivatives & Volatility","cites":23,"score":23,"scale":"shares"},{"title":"Forecasting Parameters in SABR Model","url":"/papers/repec/bba-j00001-v-1-y-2022-i-1-p-66-78-d-13/","summary":"Two methods for predicting parameters in the SABR model, the vector autoregressive moving-average model and epsilon-support vector regression, both provide accurate fits, with the SABR model yielding superior pricing results.","featured":"2023-12-06","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":15,"scale":"shares"},{"title":"Reinforcement Learning and Deep Stochastic Optimal Control for Final Quadratic Hedging","url":"/papers/ssrn/4645455/","summary":"The study compares Reinforcement Learning and Deep Trajectory-based Stochastic Optimal Control in hedging a European call option under different market conditions.","featured":"2023-11-29","label":"SSRN","topic":"Derivatives & Volatility","cites":1,"score":3,"scale":"shares"},{"title":"What Is a Robust Stochastic Volatility Model","url":"/papers/ssrn/4647027/","summary":"The article explores the use of stochastic volatility models in valuing derivative securities, highlighting the effectiveness of affine Heston and lognormal models.","featured":"2023-11-29","label":"SSRN","topic":"Derivatives & Volatility","cites":2,"score":6,"scale":"shares"},{"title":"A Comparison of Reinforcement Learning and Deep Trajectory Based Stochastic Control Agents for Stepwise Mean-Variance Hedging","url":"/papers/arxiv/2302.07996/","summary":"The research compares the effectiveness of Reinforcement Learning and Deep Trajectory-based Stochastic Optimal Control as data-driven hedging strategies in a simulated environment, offering guidelines for creating autonomous hedging agents.","featured":"2023-11-29","label":"arXiv","topic":"Derivatives & Volatility","cites":5,"score":35,"scale":"shares"},{"title":"Relationship between deep hedging and delta hedging: leveraging a statistical arbitrage strategy","url":"/papers/ssrn/4628845/","summary":"The research examines the link between deep and delta hedging, suggesting a risk-minimizing strategy that combines both with statistical arbitrage, and discusses the effects of statistical arbitrages on deep hedging.","featured":"2023-11-15","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Volatility Modeling with Neural Networks","url":"/papers/ssrn/4627773/","summary":"A new neural network model is introduced for macroeconomic forecasting, designed to prevent overfitting and improve accuracy.","featured":"2023-11-15","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"A Variational Autoencoder Approach to Conditional Generation of Possible Future Volatility Surfaces","url":"/papers/ssrn/4628457/","summary":"The paper presents a new method for predicting future implied volatility surfaces using historical data, employing a conditional variational autoencoder and a long short-term memory network.","featured":"2023-11-15","label":"SSRN","topic":"Derivatives & Volatility","cites":2,"score":17,"scale":"shares"},{"title":"Error Analysis of Option Pricing via Deep PDE Solvers: Empirical Study","url":"/papers/arxiv/2311.07231/","summary":"The practical use of Deep PDE solvers for option pricing is examined, identifying three main error sources and concluding that the Deep BSDE method performs better and is more robust against option specification changes.","featured":"2023-11-15","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":3,"scale":"shares"},{"title":"A Gaussian Process Based Method with Deep Kernel Learning for Pricing High-Dimensional American Options","url":"/papers/arxiv/2311.07211/","summary":"Deep Kernel Learning and variational inference are used to improve high-dimensional American option pricing in the regression-based Monte Carlo method, with successful performance under geometric Brownian motion and Merton's jump diffusion models.","featured":"2023-11-15","label":"arXiv","topic":"Derivatives & Volatility","cites":4,"score":3,"scale":"shares"},{"title":"Global Equity Correlations and Currency Option-Implied Volatilities","url":"/papers/repec/taf-eurjfi-v-29-y-2023-i-18-p-2128-2153/","summary":"The research finds that exchange rate option-implied volatilities can more accurately predict future global equity market correlations.","featured":"2023-11-15","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":15,"scale":"shares"},{"title":"Volatility Disagreement and Equilibrium Volatility Trading","url":"/papers/ssrn/4624158/","summary":"A model is created to understand how investors' disagreement on future volatility affects their trading of volatility derivatives, showing that trading decreases in more volatile periods and the variance risk premium can become positive when future volatility is underestimated.","featured":"2023-11-08","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Global Macro and Managed Futures Hedge Fund Strategies: Portfolio Differentiators?","url":"/papers/ssrn/4625978/","summary":"The research evaluates the performance of hedge funds, especially those using a top-down investment approach, and discovers a significant drop in risk-adjusted alpha for global macro managers and managed futures managers after the global financial crisis.","featured":"2023-11-08","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":8,"scale":"shares"},{"title":"Market Volatility and the Trend Factor","url":"/papers/ssrn/4621388/","summary":"The paper explores the link between stock market volatility and trend factor profits, finding that the trend factor performs better after high volatility periods as investors depend more on trend signals.","featured":"2023-11-08","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Estimating Leverage Effect and Volatility of Volatility in the Presence of Jumps, Microstructure Noise and Irregular Observation Times","url":"/papers/ssrn/4625351/","summary":"The article presents new methods for estimating leverage effect and volatility using high frequency data, tested through simulation and real data analysis.","featured":"2023-11-08","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"An Alternate Approach For Estimation Of Generalized Regression Parameters Using Maclaurin Series In Conjunction with Newton Raphson’s Method","url":"/papers/ssrn/4621745/","summary":"Regression Parameter Estimation: The article presents a new NAS method for univariate regression problems, comparing it with standard methods and suggesting a generalized approach for calculating the cost function's partial derivatives.","featured":"2023-11-08","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Efficient Simulation for Derivative Pricing","url":"/papers/ssrn/4625397/","summary":"The article introduces a new simulation-based method for pricing and managing risk of financial derivatives during rare events, proving to be more efficient, accurate, and flexible than traditional methods.","featured":"2023-11-08","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":85,"scale":"shares"},{"title":"Commodity Sectors and Factor Investment Strategies","url":"/papers/ssrn/4622974/","summary":"The study explores the impact of commodity sectors on commodity futures risk premiums, revealing that excluding the precious metal sector from a portfolio increases the Sharpe ratio, suggesting precious metals' role as hedging tools affects commodity performance.","featured":"2023-11-08","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Volatility Timing with ETF Options","url":"/papers/ssrn/4625085/","summary":"The study finds that hedge funds' positions in ETF options predict volatility in underlying ETF returns, particularly in nonequity ETFs like fixed income and currency ETFs.","featured":"2023-11-08","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Volatility Transformers: an optimal transport-inspired approach to arbitrage-free shaping of implied volatility surfaces","url":"/papers/ssrn/4623940/","summary":"Arbitrage-Free Volatility Surfaces: The paper presents a framework for creating arbitrage-free transformations of an implied volatility surface using optimal transport maps, which can be applied to a broader range of synthetic market data generation applications.","featured":"2023-11-08","label":"SSRN","topic":"Derivatives & Volatility","cites":3,"score":2,"scale":"shares"},{"title":"Common Ownership of Stocks & the Low Volatility Anomaly","url":"/papers/ssrn/4626091/","summary":"The study shows that the low volatility anomaly in stock prices is connected to mutual funds performance evaluation against benchmark indexes, as mutual fund managers' heavy investment in certain stocks leads to higher trade volumes and lower volatility.","featured":"2023-11-08","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Power law in Sandwiched Volterra Volatility model","url":"/papers/arxiv/2311.01228/","summary":"Power Law in Volterra Volatility Model: The Sandwiched Volterra Volatility (SVV) model accurately reproduces the power-law behavior of the at-the-money implied volatility skew, provided the correct Volterra kernel is chosen.","featured":"2023-11-08","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":4,"scale":"shares"},{"title":"Deep self-consistent learning of local volatility","url":"/papers/arxiv/2201.07880/","summary":"The paper presents a new algorithm that uses deep self-consistent learning for better and more robust calibration of local volatility from market option prices.","featured":"2023-11-08","label":"arXiv","topic":"Derivatives & Volatility","cites":3,"score":15,"scale":"shares"},{"title":"Signal Quality's Role in Stock Market Volatility Prediction","url":"/papers/repec/wly-jforec-v-42-y-2023-i-8-p-2307-2321/","summary":"A study finds that high-quality political signals can predict increased stock market volatility.","featured":"2023-11-08","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":16,"scale":"shares"},{"title":"Belief-Based Momentum Indicator and Volatility Predictability in China's Equity Market","url":"/papers/repec/eee-intfin-v-88-y-2023-i-c-s1042443123001245/","summary":"Research shows a belief-based momentum indicator can predict equity market volatility in China, with the HAR-LCPR model being the most effective.","featured":"2023-11-08","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":16,"scale":"shares"},{"title":"VolGAN: Realistic Volatility Surfaces","url":"/papers/ssrn/4617536/","summary":"Realistic Volatility Surfaces: VolGAN, a new model that can generate realistic scenarios for the joint dynamics of implied volatility surfaces and underlying assets, is introduced.","featured":"2023-11-02","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":173,"scale":"shares"},{"title":"Efficient likelihood estimation of Heston model for novel climate-related financial contracts valuation","url":"/papers/ssrn/4619038/","summary":"A proposal suggests using Bitcoin-denominated derivatives contracts on carbon bonds to help governments hedge against climate change and influence carbon bond and cryptocurrency prices.","featured":"2023-11-02","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Climate Risk and Financial Markets: The Case of Green Derivatives","url":"/papers/ssrn/4615427/","summary":"The EU Green Deal aims to make Europe carbon-neutral by 2050, requiring 1 trillion euro in sustainable investments, with derivatives markets and 'green derivatives' crucial for managing climate risk.","featured":"2023-11-02","label":"SSRN","topic":"Derivatives & Volatility","cites":1,"score":4,"scale":"shares"},{"title":"New Tests of the Theory of Storage and the Theory of Normal Backwardation: Time and Frequency Dimensions","url":"/papers/ssrn/4617533/","summary":"A study of the oil futures market from 1986 to 2020 reveals patterns and relationships between inventory, basis, hedging pressure, and futures risk premium, emphasizing the importance of the data measurement period.","featured":"2023-11-02","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":4,"scale":"shares"},{"title":"The Common Factor in Volatility Risk Premia","url":"/papers/ssrn/4618943/","summary":"Firm-level volatility risk premium has a strong factor structure, with stocks with the weakest exposures to the common bad volatility risk premium factor earning higher average returns, and the common factor in total bad volatility risk premium predicting stock market returns.","featured":"2023-11-02","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Equity and Credit Index Options: Risk & Return Analysis","url":"/papers/ssrn/4618313/","summary":"Risk & Return Analysis: A new credit risk model accurately prices equity and credit index options, contradicting previous claims of inconsistent pricing, and highlights the need to balance three systematic risk sources.","featured":"2023-11-02","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Levered ETF Rebalancing: Market Volatility Impact","url":"/papers/ssrn/4617640/","summary":"Market Volatility Impact: The study reveals that the interaction between investor behavior, ETFs fund flows, and index return autocorrelation can either temper or intensify market volatility, as observed during the COVID-19 pandemic onset.","featured":"2023-11-02","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Deeper Hedging: A New Agent-based Model for Effective Deep Hedging","url":"/papers/doi/10-1145-3604237-3626913/","summary":"The Chiarella-Heston model, an advanced agent-based model, enhances deep hedging strategies by incorporating different types of traders, and performs better in creating realistic financial time series than three other models.","featured":"2023-11-02","label":"arXiv","topic":"Derivatives & Volatility","cites":13,"score":9,"scale":"shares"},{"title":"Optimal fees in hedge funds with first-loss compensation","url":"/papers/doi/10-1016-j-jbankfin-2020-105884/","summary":"The research suggests alternative fee schemes for hedge funds, arguing that traditional management and performance fees are suboptimal and that the recommended schemes reduce the fund's volatility.","featured":"2023-11-02","label":"arXiv","topic":"Derivatives & Volatility","cites":3,"score":3,"scale":"shares"},{"title":"A Levy-Driven Ornstein-Uhlenbeck Process for the Valuation of Credit Index Swaptions","url":"/papers/arxiv/2301.05332/","summary":"A Levy-driven Ornstein-Uhlenbeck process is proposed to model the risk-free rate and default intensities for evaluating option contracts on a credit index, with derived formulas and numerical experiments conducted.","featured":"2023-11-02","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":27,"scale":"shares"},{"title":"Bond-Commodity Volatility Spillover & Global Liquidity Risk","url":"/papers/repec/voj-journl-v-70-y-2023-i-1-p-71-100-id-604/","summary":"Research reveals significant volatility spillovers between gold and bond markets, and oil and some bond markets, suggesting limited diversification benefits for investors.","featured":"2023-11-02","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":20,"scale":"shares"},{"title":"A New Closed-Form Discrete-Time Option Pricing Model with Stochastic Volatility","url":"/papers/ssrn/4607397/","summary":"A new option pricing model with stochastic volatility is introduced, outperforming existing models and providing realistic risk premiums and pricing kernels.","featured":"2023-10-25","label":"SSRN","topic":"Derivatives & Volatility","cites":1,"score":2,"scale":"shares"},{"title":"Dynamics of US Economy's Frequency and Connectivity","url":"/papers/ssrn/4607668/","summary":"A study indicates that the US economy's connectivity is greatly affected by sectoral indices volatility, with the DJIA, Wilshire 5000, and S&P 500 as the main influencers.","featured":"2023-10-25","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Long-Term Yields & Short-Term Risk","url":"/papers/ssrn/4606821/","summary":"Long-term interest rates can enhance the precision of risk premium and future rate predictions, with yield volatility being crucial.","featured":"2023-10-25","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":275,"scale":"shares"},{"title":"Volatility & Pricing Kernel","url":"/papers/ssrn/4610387/","summary":"The study shows that negative stock market returns have a greater impact during low volatility periods, challenging some asset pricing theories.","featured":"2023-10-25","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"American Option Pricing using Self-Attention GRU and Shapley Value Interpretation","url":"/papers/arxiv/2310.12500/","summary":"The study introduces a machine learning technique for predicting SPY option prices using a self-attention gated recurrent unit (GRU) model, which performs better than other models due to its ability to utilize complex temporal dependencies and historical data.","featured":"2023-10-25","label":"arXiv","topic":"Derivatives & Volatility","cites":3,"score":5,"scale":"shares"},{"title":"Co-Training Realized Volatility Prediction Model with Neural Distributional Transformation","url":"/papers/doi/10-1145-3604237-3626870/","summary":"The paper presents a machine learning model that uses an invertible neural network to predict stock volatility, outperforming other methods on a dataset of 100 stocks.","featured":"2023-10-25","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":4,"scale":"shares"},{"title":"Neural Tangent Kernel for Nonlinear Implied Volatility Forecasting","url":"/papers/ssrn/4602820/","summary":"The study proposes a Nonlinear Functional Autoregression framework for forecasting implied volatility in financial markets, proving its effectiveness in predicting the S&P 500 Index from 2009 to 2021.","featured":"2023-10-18","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Hedge Fund Performance and Managerial Structure","url":"/papers/ssrn/4604909/","summary":"Solo-managed hedge funds perform better than team-managed ones in terms of abnormal returns and market volatility skills, but they also have higher idiosyncratic and tail risk, and are less likely to be liquidated.","featured":"2023-10-18","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Expected Returns from Information-Driven Volatility","url":"/papers/ssrn/4605336/","summary":"The paper presents an asset pricing model that links stock market volatility to information, indicating a negative relationship between past volatility and future expected returns.","featured":"2023-10-18","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Observations Concerning the Estimation of Hestons’ Stochastic Volatility Model Using HF Data","url":"/papers/ssrn/4602112/","summary":"A study on the Heston stochastic volatility model shows challenges in producing accurate parameter estimates and limitations in capturing tail behavior with high-frequency financial data.","featured":"2023-10-18","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"A generalization of the rational rough Heston approximation","url":"/papers/arxiv/2310.09181/","summary":"The research expands the rational approximation of the rough Heston fractional ODE solution to the Mittag-Leffler kernel case, demonstrating numerical proof of the solution's convergence.","featured":"2023-10-18","label":"arXiv","topic":"Derivatives & Volatility","cites":5,"score":2,"scale":"shares"},{"title":"Fast American Option Pricing using Nonlinear Stencils","url":"/papers/arxiv/2303.02317/","summary":"The study introduces faster and more energy-efficient algorithms for option pricing under various models, outperforming existing methods.","featured":"2023-10-18","label":"arXiv","topic":"Derivatives & Volatility","cites":4,"score":23,"scale":"shares"},{"title":"Swaption and term structures of volatility risk premiums","url":"/papers/ssrn/4597776/","summary":"The research investigates volatility risk premiums in the swaption market, concluding that a strategy that takes on both volatility and jump risks yields a higher Sharpe ratio during periods of low interest rates.","featured":"2023-10-12","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Optimal Commodity Hedging","url":"/papers/ssrn/4594616/","summary":"The paper presents a new procurement policy for data-driven commodity purchasing, combining operational and financial instruments, and tests the policy on real market data of four major commodities.","featured":"2023-10-12","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"VIX Index Return Prediction Model: MF-DMA and HAR-RV","url":"/papers/ssrn/4598740/","summary":"MF-DMA and HAR-RV: The paper introduces a model that uses global trading information of SP 500 Index to predict VIX index return, emphasizing the need for analyzing high-frequency price data globally.","featured":"2023-10-12","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Global Volatility Surface and Equity Premia Predictability","url":"/papers/ssrn/4597746/","summary":"The article creates a global implied volatility surface using index options from 20 regions, and finds that the surface's convexity can predict global equity premia.","featured":"2023-10-12","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Risk Valuation of Quanto Derivatives on Temperature and Electricity","url":"/papers/arxiv/2310.07692/","summary":"Risk Valuation: The article introduces a model that predicts daily electricity prices and average temperatures, offering a way to manage price and volume risks, and includes formulas for derivatives like quanto options.","featured":"2023-10-12","label":"arXiv","topic":"Derivatives & Volatility","cites":4,"score":10,"scale":"shares"},{"title":"Calibration of Derivative Pricing Models: a Multi-Agent Reinforcement Learning Perspective","url":"/papers/arxiv/2203.06865/","summary":"The study uses game theory and deep multi-agent reinforcement learning to create models that match market prices of specific options, aiding in understanding local volatility and path-dependence.","featured":"2023-10-12","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":68,"scale":"shares"},{"title":"Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in Lévy Models","url":"/papers/arxiv/2203.08196/","summary":"The article presents a new, efficient method for pricing European multi-asset options that is faster than existing methods.","featured":"2023-10-12","label":"arXiv","topic":"Derivatives & Volatility","cites":16,"score":28,"scale":"shares"},{"title":"Volatility Smile Harvesting: Dynamic Nelson-Siegel Approach","url":"/papers/repec/wly-jfutmk-v-43-y-2023-i-11-p-1615-1644/","summary":"Dynamic Nelson-Siegel Approach: The research assesses the Dynamic Nelson–Siegel approach to modeling volatility smile, demonstrating its superior performance over static models in mean returns and Sharpe ratio.","featured":"2023-10-12","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":23,"scale":"shares"},{"title":"Predictive Model Performance in Covid-19 and Russian-Ukrainian War","url":"/papers/repec/pfq-journl-v-69-y-2023-i-2-p-118-132/","summary":"The study explores the use of artificial intelligence in predicting stock market trends in volatile situations, showing its superior performance over linear regression, particularly after the Russian-Ukrainian war.","featured":"2023-10-12","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":17,"scale":"shares"},{"title":"Forecasting Global Stock Market Volatility with GNN Model","url":"/papers/repec/wly-jforec-v-42-y-2023-i-7-p-1539-1559/","summary":"The article discusses a study that introduces a new volatility forecasting model for global market indices. This model uses a spatial-temporal graph neural network (GNN) and performs better than existing models in short- and mid-term forecasting, potentially leading to economic benefits for investors.","featured":"2023-10-12","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":20,"scale":"shares"},{"title":"Forecasting volatility with machine learning: Panel data approach","url":"/papers/repec/eee-empfin-v-73-y-2023-i-c-p-251-271/","summary":"Panel data approach: Machine learning methods using panel data analysis are more effective in predicting volatility than traditional linear models, according to a study.","featured":"2023-10-12","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":45,"scale":"shares"},{"title":"Cross-Market Info and Stock Volatility","url":"/papers/repec/eee-ecofin-v-68-y-2023-i-c-s1062940823001006/","summary":"The research examines the role of cross-market information flow on China's stock market volatility, finding it significantly aids in medium and long-term forecasts but not short-term volatility.","featured":"2023-10-12","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":18,"scale":"shares"},{"title":"ML for Designing Bcc High Entropy Alloys","url":"/papers/ssrn/4586905/","summary":"The research discovers eight new alloys for hydrogen storage, one of which can store more hydrogen at room temperature than existing options.","featured":"2023-10-04","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":5,"scale":"shares"},{"title":"Multi-period Static Hedging of Options","url":"/papers/ssrn/4587517/","summary":"The paper explores hedging European options over multiple short maturities, comparing the Black-Scholes and Merton Jump Diffusion models.","featured":"2023-10-04","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Dynamic Volatility Regulation of Financial Institutions","url":"/papers/ssrn/4589660/","summary":"The study presents a model that dynamically updates asset risk for financial institutions, revealing different credit risk dynamics for regulated and unregulated firms.","featured":"2023-10-04","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Advance Tax Payment and Tax Volatility","url":"/papers/ssrn/4589052/","summary":"Using the current year as the estimation base and increasing the frequency of advance corporate income tax payments can decrease tax volatility and reduce outstanding tax liability.","featured":"2023-10-04","label":"SSRN","topic":"Derivatives & Volatility","cites":1,"score":2,"scale":"shares"},{"title":"Univariate vs Multivariate Models for Forecasting Crude Oil Basis Volatility","url":"/papers/ssrn/4590792/","summary":"Simple univariate models are more effective than multivariate models in predicting the volatility of oil futures basis, resulting in higher Sharpe ratios and better forecasting accuracy.","featured":"2023-10-04","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Deep Learning and GARCH Models for Financial Volatility","url":"/papers/ssrn/4589950/","summary":"A hybrid approach combining GARCH time series models with deep learning neural networks is proposed for forecasting financial volatility and risk, tested on S&P 500, gold, and Bitcoin prices.","featured":"2023-10-04","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Hedge Fund Option Usage and Skewness Premium","url":"/papers/ssrn/4586637/","summary":"Hedge fund option usage impacts skewness risk premium in individual stock options, with stocks having more hedge fund holders using the long naked put strategy showing more positive returns.","featured":"2023-10-04","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Derivatives' Role in UK Pension Crisis","url":"/papers/ssrn/4587863/","summary":"The use of derivatives in UK pension schemes is questioned due to their potential to exacerbate losses in worst-case scenarios, raising systemic risk concerns.","featured":"2023-10-04","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Portfolio Choice with Hedging and Costs","url":"/papers/ssrn/4586868/","summary":"CARA investors keep a steady trading speed in a market with partially predictable returns and costly trading, optimizing both trading speed and portfolio for a frictionless market.","featured":"2023-10-04","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":361,"scale":"shares"},{"title":"Liquidity Shocks and Premium of Volatility","url":"/papers/ssrn/4589930/","summary":"Stock returns are negatively affected by liquidity volatility across international markets, with high liquidity volatility leading to significant liquidity decreases and lower average returns.","featured":"2023-10-04","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"The Elasticity of Volatility and Correlation (CEVC) Model: Empirical Evidence and Application in Portfolio Optimization","url":"/papers/ssrn/4586750/","summary":"Volatility and Correlation in Portfolio Optimization: A proposed model allowing for constant elasticity of volatility and correlation proves significant for pricing and portfolio optimization, offering straightforward solutions for allocations and value functions.","featured":"2023-10-04","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Multi-period Static Hedging of European Options","url":"/papers/arxiv/2310.01104/","summary":"The research expands the hedging of European options to cover multiple short maturities, using a set of shorter-term options to calculate the hedging error, and compares the Black-Scholes and Merton Jump Diffusion models' performance.","featured":"2023-10-04","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":12,"scale":"shares"},{"title":"Stock Volatility Prediction Based on Transformer Model Using Mixed-Frequency Data","url":"/papers/arxiv/2309.16196/","summary":"A new model combining macroeconomic indicators, stock technical indicators, and Baidu search indices significantly improves stock volatility prediction, reducing error from 1.00 to 0.86.","featured":"2023-10-04","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":4,"scale":"shares"},{"title":"Robust Asset-Liability Management","url":"/papers/arxiv/2310.00553/","summary":"A new model-free bond portfolio selection method helps financial institutions hedge against interest rate risk, maximizing worst-case equity and outperforming existing methods.","featured":"2023-10-04","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":3,"scale":"shares"},{"title":"Combining Deep Learning and GARCH Models for Financial Volatility and Risk Forecasting","url":"/papers/arxiv/2310.01063/","summary":"The research introduces a hybrid method for predicting the volatility and risk of financial tools by merging GARCH time series models with deep learning neural networks, finding that while this approach improves volatility predictions, it doesn't necessarily enhance Value-at-Risk and Expected Shortfall forecasts.","featured":"2023-10-04","label":"arXiv","topic":"Derivatives & Volatility","cites":8,"score":5,"scale":"shares"},{"title":"Volatility Spillovers in Asymmetric Covariance","url":"/papers/ssrn/4583190/","summary":"The research introduces a new method for assessing volatility spillovers in asymmetric realized covariance, proving its effectiveness with high-frequency data from major ETFs.","featured":"2023-09-28","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"Multiscale Perspective on Volatility Spillover Network in Chinese Financial Market","url":"/papers/ssrn/4583054/","summary":"The research investigates the progression of systemic risk in China's financial market using a new multiscale decomposition method, uncovering varying network characteristics in high and low volatility spillover networks.","featured":"2023-09-28","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"Short-Selling Cost and IV Spreads in Chinese SSE 50ETF Options Market","url":"/papers/ssrn/4583012/","summary":"The article explores the link between option-implied volatility spreads and option-implied borrow rate in Chinese SSE 50 ETF options, discovering a significant negative correlation and nonlinearity.","featured":"2023-09-28","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Improving Realised Volatility Forecast for Emerging Markets","url":"/papers/ssrn/4584573/","summary":"A study comparing four models for forecasting volatility in emerging markets found the HAR model best for long-term volatility and realised GARCH models for volatility clustering and persistence.","featured":"2023-09-28","label":"SSRN","topic":"Derivatives & Volatility","cites":13,"score":3,"scale":"shares"},{"title":"Idiosyncratic Volatility and Stock Returns in Industries","url":"/papers/ssrn/4580395/","summary":"A higher level of idiosyncratic volatility predicts lower stock returns, especially in central industries more exposed to such shocks.","featured":"2023-09-28","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Enhanced Model for Valuing S&P 500 and VIX Options","url":"/papers/ssrn/4584303/","summary":"Current pricing models for SP 500 and VIX options are insufficient, but a new model controlling higher-order moments of risk-neutral return distribution outperforms alternatives and reconciles the two markets.","featured":"2023-09-28","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":155,"scale":"shares"},{"title":"VIX Modeling for Insiders","url":"/papers/ssrn/4584019/","summary":"The Barndorff-Nielsen Shephard volatility model is expanded to include a jump Ornstein-Uhlenbeck equation with a non-zero stochastic mean-reversion level, offering insights into variance swap pricing.","featured":"2023-09-28","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":86,"scale":"shares"},{"title":"Volatility and Regime Switching in Sustainable Indices","url":"/papers/ssrn/4579948/","summary":"The performance and volatility of sustainable indices are influenced by regime-switching, with positive shocks impacting volatility differently than negative ones, as demonstrated by a study of major sustainable indices from 2009 to 2017.","featured":"2023-09-28","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Hedging Properties of Algorithmic Investment Strategies using Long Short-Term Memory and Time Series models for Equity Indices","url":"/papers/arxiv/2309.15640/","summary":"The study suggests a new method for hedging risky asset portfolios using ensemble algorithmic investment strategies, finding Bitcoin-based AIS to be the best diversifier for S&P 500 index-based AIS.","featured":"2023-09-28","label":"arXiv","topic":"Derivatives & Volatility","cites":7,"score":8,"scale":"shares"},{"title":"Implementing Portfolio Risk Management and Hedging in Practice","url":"/papers/arxiv/2309.15767/","summary":"The research introduces a simple method for managing and hedging cross-asset portfolio risk using quadratic programming, emphasizing the link between economic ideas and their mathematical expressions.","featured":"2023-09-28","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":7,"scale":"shares"},{"title":"Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models","url":"/papers/arxiv/2309.14784/","summary":"The paper offers quantitative error limits for deep neural networks approximating option prices on a risky asset, demonstrating that DNNs can learn option prices with minimal error without the curse of dimensionality.","featured":"2023-09-28","label":"arXiv","topic":"Derivatives & Volatility","cites":6,"score":6,"scale":"shares"},{"title":"The ATM implied skew in the ADO-Heston model","url":"/papers/arxiv/2309.15044/","summary":"The paper presents a Markovian approximation of the ADO-Heston model, challenging previous beliefs that such approximation cannot replicate the behavior of the vanilla implied skew at small T.","featured":"2023-09-28","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":4,"scale":"shares"},{"title":"Forecasting Stock Market Volatility with Realized Volatility","url":"/papers/ssrn/4578463/","summary":"The paper presents the REGARCH-CDJI model for predicting stock market volatility, which performs better than other models when applied to Shanghai Stock Exchange Composite index data.","featured":"2023-09-21","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Time-Varying Volatility Interactions","url":"/papers/ssrn/4573593/","summary":"The paper introduces a new volatility model that accounts for changes in codependence, simplifying the estimation process and offering a new test for constancy codependence volatility, with Monte Carlo experiments supporting its empirical properties.","featured":"2023-09-21","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Do Hedge Funds Exploit Material Nonpublic Information? Evidence from Corporate Bankruptcies","url":"/papers/ssrn/4572759/","summary":"The article reveals that hedge funds use nonpublic information to profit from trades in securities of firms linked to a bankrupt company they serve on the unsecured creditors committee.","featured":"2023-09-21","label":"SSRN","topic":"Derivatives & Volatility","cites":1,"score":2,"scale":"shares"},{"title":"Option Total Return and Active Option Portfolio Management","url":"/papers/ssrn/4576277/","summary":"The total return concept for options and option portfolios can be used to assess the performance of an options portfolio, extending the total return concept from traditional investment portfolios.","featured":"2023-09-21","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Efficient Deep Hedging: No-Transaction Band Network","url":"/papers/ssrn/4577236/","summary":"No-Transaction Band Network: The research introduces a neural network model that allows quick and accurate assessment of optimal hedging strategies for a broad range of utilities and derivatives, including exotic ones.","featured":"2023-09-21","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"ETF Rebalancing & Hedge Fund Trades","url":"/papers/ssrn/4578092/","summary":"Hedge funds are manipulating ETF rebalancing to their advantage, causing price distortions and forcing ETFs to make unfavorable trades.","featured":"2023-09-21","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":587,"scale":"shares"},{"title":"Closed-form solutions for VIX derivatives in a Legendre empirical model","url":"/papers/arxiv/2309.08175/","summary":"A new model for the VIX index has been proposed, using a continuous-time Markov process to model its dynamics and offering a solution for pricing VIX futures and call options.","featured":"2023-09-21","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":5,"scale":"shares"},{"title":"Sizing Strategies for Algorithmic Trading in Volatile Markets: A Study of Backtesting and Risk Mitigation Analysis","url":"/papers/arxiv/2309.09094/","summary":"The article investigates various models of sizing in financial trading and backtesting during high volatility situations, showing how crisis events can be handled using short and long positional size.","featured":"2023-09-21","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":4,"scale":"shares"},{"title":"On Sparse Grid Interpolation for American Option Pricing with Multiple Underlying Assets","url":"/papers/arxiv/2309.08287/","summary":"The first article introduces a new method for pricing American options with multiple assets, combining dynamic programming and sparse grid-based polynomial interpolation.","featured":"2023-09-21","label":"arXiv","topic":"Derivatives & Volatility","cites":4,"score":7,"scale":"shares"},{"title":"Spillovers of Return and Volatility in Stock Portfolios by Size","url":"/papers/repec/gam-jijfss-v-11-y-2023-i-3-p-113-d-1238462/","summary":"The study suggests that restricting fund managers to specific size categories could lead to suboptimal performance, based on an analysis of return and volatility spillovers among Saudi indices.","featured":"2023-09-21","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":22,"scale":"shares"},{"title":"Stock Market Volatility in China: Geopolitical Risks","url":"/papers/ssrn/4566710/","summary":"Geopolitical Risks: The study explores how investor sentiment and geopolitical risks affect Chinese stock market volatility, showing these factors increase industry stock market volatility in both positive and negative markets.","featured":"2023-09-14","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Risk Hedging in Fixed-Income Securities by Banks","url":"/papers/ssrn/4567780/","summary":"Unlike Silicon Valley Bank, other banks use discretionary hedging against losses in fixed-income securities and funding risks, adjusting their hedging activity based on losses or gains and using forward interest rate guidance in risk management.","featured":"2023-09-14","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Retail Option Trading and Liquidity: Evidence from High-Frequency Data","url":"/papers/ssrn/4567604/","summary":"The study reveals that retail trading in the options market affects the liquidity of underlying stocks, especially when liquidity supply is anticipated to be limited.","featured":"2023-09-14","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Hedging Barrier Options Using Reinforcement Learning","url":"/papers/ssrn/4566384/","summary":"The research indicates that reinforcement learning can be an effective alternative to traditional hedging methods for barrier options, potentially reducing transaction costs due to fewer trades.","featured":"2023-09-14","label":"SSRN","topic":"Derivatives & Volatility","cites":5,"score":3,"scale":"shares"},{"title":"Hedging Term SOFR Fixing via SOFR Futures","url":"/papers/ssrn/4566882/","summary":"The paper outlines a strategy using a Time Weighted Average Price algorithm to manage the discrepancy between Term SOFR and overnight SOFR fixings.","featured":"2023-09-14","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":4,"scale":"shares"},{"title":"Rational Hedging with a Diversity of Implied Volatilities","url":"/papers/ssrn/4570758/","summary":"The article presents new implied volatility models, exploring their application in delta hedging, some of which require advanced techniques and neural nets.","featured":"2023-09-14","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Passive Investing's Influence on Market Volatility","url":"/papers/ssrn/4567120/","summary":"The paper disproves the ETF bubble hypothesis, stating that the growth of passive investing did not inflate prices but did increase asset price volatility.","featured":"2023-09-14","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Dynamic Inflation Hedging with Online Prices","url":"/papers/ssrn/4566242/","summary":"Online retail inflation indices from 21 countries can predict changes in US Treasury bond yields, offering a potential investment strategy.","featured":"2023-09-14","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Duration Dependent Volatility Models with Value-weighted Approach","url":"/papers/ssrn/4570144/","summary":"Using different duration values in a Markov-switching model can improve the prediction of bitcoin returns, outperforming GARCH-type models.","featured":"2023-09-14","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":4,"scale":"shares"},{"title":"Frequency and Purpose of Complex Options in the Market","url":"/papers/ssrn/4568445/","summary":"Complex options trades, accounting for over 30% of options trading volume, are often used to adjust the expiration or strike of a simple position.","featured":"2023-09-14","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Gamma hedging and rough paths","url":"/papers/arxiv/2309.05054/","summary":"The study uses rough path theory to show that a specific hedging strategy can replicate other European options, even without a specific pricing model.","featured":"2023-09-14","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":32,"scale":"shares"},{"title":"Framework Overview","url":"/papers/repec/wsi-wschap-9789811273827-0002/","summary":"The study analyzes the National Pension Service of Korea's trading strategies and their market impact, highlighting the differences between internal and external management and their effects on volatility and liquidity.","featured":"2023-09-14","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":15,"scale":"shares"},{"title":"Geopolitical Risks & Stock Market Volatility: ML Insights","url":"/papers/repec/eee-finana-v-89-y-2023-i-c-s1057521923002545/","summary":"ML Insights: The research uses machine learning to analyze how geopolitical risks, such as military actions, affect US stock market volatility, finding that these models can offer significant financial advantages.","featured":"2023-09-14","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":36,"scale":"shares"},{"title":"Effectiveness of Various Options Strategies for Exchange-Traded Funds","url":"/papers/ssrn/4554651/","summary":"The research compares various option strategies for Exchange-Traded Funds (ETFs) to the Buy and Hold approach, highlighting the need for strategies to match investor risk profiles and financial goals.","featured":"2023-08-30","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"A Model-Free Approximation for Barrier Options in a General Stochastic Volatility Framework","url":"/papers/ssrn/4556330/","summary":"The article introduces a formula for calculating single barrier options in a stochastic volatility framework, not dependent on the model's form or parameters.","featured":"2023-08-30","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":46,"scale":"shares"},{"title":"CFO Pay and Hedging","url":"/papers/ssrn/4551639/","summary":"The study explores the impact of a CFO's risk-taking incentives and equity compensation on the hedging strategy of US oil and gas companies.","featured":"2023-08-30","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Deep Learning for Derivatives Pricing Study","url":"/papers/ssrn/4553139/","summary":"The research proposes two ways to learn the price of derivatives using neural networks, focusing on price differences and differences between prices of derivatives based on different asset prices.","featured":"2023-08-30","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"The Cost of Vega-Hedging Structured Products","url":"/papers/ssrn/4550643/","summary":"The article suggests a method to calculate future hedging costs of complex financial products using a risk projection algorithm and simulations.","featured":"2023-08-30","label":"SSRN","topic":"Derivatives & Volatility","cites":1,"score":16,"scale":"shares"},{"title":"'I'm Stranded': Transition Risk Information in CDS and Options","url":"/papers/ssrn/4551442/","summary":"The research uses CDS and put option prices to gauge the likelihood and impact of climate change policy-related transition risk events, creating a reliable CDS-based index.","featured":"2023-08-30","label":"SSRN","topic":"Derivatives & Volatility","cites":1,"score":4,"scale":"shares"},{"title":"Leasing and the Idiosyncratic Volatility Puzzle","url":"/papers/ssrn/4554812/","summary":"The study explores the negative correlation between past volatility and stock returns, finding that firms with higher volatility tend to lease more capital.","featured":"2023-08-30","label":"SSRN","topic":"Derivatives & Volatility","cites":2,"score":2,"scale":"shares"},{"title":"Banks' Risk Hedging for Fixed-Income Securities","url":"/papers/ssrn/4554520/","summary":"The study indicates that banks meet timing requirements for discretionary hedging of fixed-income security and funding risks, but the effectiveness of these strategies is uncertain.","featured":"2023-08-30","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Hedge Funds' Demand Linked to Future Stock Returns","url":"/papers/ssrn/4551406/","summary":"The correlation between short-term institutional demand and future stock returns is only significant in hedge funds, not in other institutions with short investment horizons.","featured":"2023-08-30","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":72,"scale":"shares"},{"title":"Pricing Errors Impact Options Prices & Greeks","url":"/papers/ssrn/4552151/","summary":"Pricing errors in the base asset can inflate options prices and affect option Greeks, leading to inefficient risk management and hedging if not considered.","featured":"2023-08-30","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics","url":"/papers/arxiv/2308.14235/","summary":"Empirical Analysis on Financial Market: The study presents a new physical model, inspired by statistical physics, that uses Level 3 order book data to predict price volatility and expected returns, surpassing traditional and machine learning methods by incorporating principles of statistical physics.","featured":"2023-08-30","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":4,"scale":"shares"},{"title":"Joint calibration of local volatility models with stochastic interest rates using semimartingale optimal transport","url":"/papers/arxiv/2308.14473/","summary":"The authors present a non-parametric method for joint calibration of a volatility model and a correlated stochastic short rate model, demonstrating its effectiveness on market data and comparing it with sequential calibration.","featured":"2023-08-30","label":"arXiv","topic":"Derivatives & Volatility","cites":3,"score":3,"scale":"shares"},{"title":"D-TIPO: Deep time-inconsistent portfolio optimization with stocks and options","url":"/papers/arxiv/2308.10556/","summary":"A proposed machine learning algorithm for portfolio optimization includes options and a risk-free bond, resulting in a more stable stock allocation and less need for drastic re-allocations.","featured":"2023-08-24","label":"arXiv","topic":"Derivatives & Volatility","cites":4,"score":6,"scale":"shares"},{"title":"Analytical Valuation of Vulnerable Derivative Claims with Bilateral Cash Flows under Credit, Funding and Wrong Way Risk","url":"/papers/arxiv/2308.10568/","summary":"A model for valuing a vulnerable derivative considers bilateral cash flows, funding, credit, and wrong-way risks, with findings indicating more sensitivity to funding factors than credit ones.","featured":"2023-08-24","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":29,"scale":"shares"},{"title":"Explicit Computations for Delayed Semistatic Hedging","url":"/papers/arxiv/2308.10550/","summary":"The research focuses on the problem of maximizing exponential utility within the context of semistatic hedging.","featured":"2023-08-24","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":3,"scale":"shares"},{"title":"Bi-objective Cost-sensitive Machine Learning: Predicting Stock Return Direction Using Option Prices","url":"/papers/ssrn/4546402/","summary":"The research investigates the use of cost-sensitive loss functions in machine learning models to predict equity market index movement, using option prices as a measure of error costs.","featured":"2023-08-24","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Price Limit Expansion's Impact on Stock Volatility","url":"/papers/ssrn/4545501/","summary":"The research suggests that expanding price limits can either increase or decrease stock volatility, primarily driven by the magnet effect and inherent volatility levels, with the correction effect having a lesser impact.","featured":"2023-08-24","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Nonlinear Forecasting of Volatility","url":"/papers/ssrn/4547560/","summary":"A new framework for forecasting implied volatility in European put and call options is introduced, using the functional Neural Tangent Kernel estimator to handle the nonlinear and asymmetric dependencies inherent to implied volatility.","featured":"2023-08-24","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Credit Ratings and Bond Volatility: Early Evidence from the Introduction of Credit Ratings","url":"/papers/ssrn/4547988/","summary":"Early Evidence: The study reveals that the introduction of credit ratings in the early 20th century reduced bond volatility.","featured":"2023-08-24","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Dollar Shorting and Stock Market Surge","url":"/papers/ssrn/4548592/","summary":"The research shows that global market shocks significantly affect the hedging behavior of institutional investors, leading to the sale of US dollar forwards and exchange rate appreciation.","featured":"2023-08-24","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":125,"scale":"shares"},{"title":"Price Discovery in Derivatives","url":"/papers/ssrn/4547578/","summary":"The study proposes a theory of price discovery across derivative markets, detailing informed demand, price impact, and information efficiency of prices, and suggesting strategies for trading at any given time.","featured":"2023-08-24","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Volatility and Foreign Trade in ECOWAS Economies","url":"/papers/repec/vrs-crebss-v-9-y-2023-i-1-p-1-15-n-3/","summary":"A study found that exchange rate volatility negatively affects foreign trade in the short-term but has a positive impact in the long-term, supporting the J curve effect.","featured":"2023-08-24","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":14,"scale":"shares"},{"title":"COVID-19's Impact on Sustainable Stocks Volatility","url":"/papers/repec/eme-xjmpps-xjm-08-2021-0213/","summary":"COVID-19 significantly affected the volatility of sustainable and market-capitalisation-based stocks, with the largest impact on Large-Cap and Mid-Cap indices.","featured":"2023-08-24","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":19,"scale":"shares"},{"title":"Volatility & Expected Returns: Then & Now","url":"/papers/repec/now-jnlcfr-104-00000125/","summary":"Then & Now: The research confirms previous findings on the impact of aggregate-volatility risk and idiosyncratic volatility on stock returns, and suggests that recent asset-pricing models don't consistently account for these factors, except for the models by Stambaugh and Yuan, and Barillas and Shanken.","featured":"2023-08-17","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":22,"scale":"shares"},{"title":"Idiosyncratic Volatility Trends","url":"/papers/repec/now-jnlcfr-104-00000127/","summary":"The study confirms Campbell et al.'s (2001) findings on aggregate idiosyncratic volatility, suggesting these results are sample-specific and offering more understanding of idiosyncratic volatility trends.","featured":"2023-08-17","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":16,"scale":"shares"},{"title":"Dynamic Replicaton of Variance Swaps with Three Options","url":"/papers/ssrn/4542475/","summary":"The article explains how three vanilla options can be used to delta hedge a variance swap, assuming the market smile is influenced by a stochastic volatility model.","featured":"2023-08-17","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":43,"scale":"shares"},{"title":"Enhanced Volatility Forecasting with Dual EMD","url":"/papers/ssrn/4540455/","summary":"The article presents a new method called Dual Empirical Mode Decomposition (DEMD) to improve the accuracy of volatility prediction by extracting more information from raw financial data.","featured":"2023-08-17","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Bond futures: Delivery Option with Term Structure Modelling","url":"/papers/ssrn/4542275/","summary":"Delivery & Term Structure Modeling: The article expands a method for swap rate products to include futures, enabling the study of volatility and correlations on bond futures valuation and risk management.","featured":"2023-08-17","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Valuation of Barrier Options under Risks","url":"/papers/ssrn/4542370/","summary":"The research offers algorithms to price European and American equity derivatives with barrier features in a market model with correlated equity and interest rate risks.","featured":"2023-08-17","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Adaptive Robust Volatility Estimation for High-Frequency Data","url":"/papers/ssrn/4539949/","summary":"The paper presents the ARP estimator, a new tool for handling heterogeneous heavy-tailed distributions in high-frequency financial data.","featured":"2023-08-17","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Volatility Dynamics, Return Predictability, and Leverage in the Campbell-Cochrane Model","url":"/papers/ssrn/4532711/","summary":"The article critiques the Campbell and Cochrane 1999 habit model, arguing it doesn't account for increased volatility during recessions, and proposes a model with cyclical leverage.","featured":"2023-08-09","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Switching Volatility in an Economy","url":"/papers/ssrn/4533645/","summary":"Using a dynamic stochastic general equilibrium model, the research analyzes the impact of the global financial crisis on the euro area, emphasizing the significant influence of US shocks and the need to consider nonlinearities in financial market variables.","featured":"2023-08-09","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Portfolio Management Strategy using VIX","url":"/papers/ssrn/4534986/","summary":"The research suggests a portfolio management strategy that adjusts leverage based on the implied volatility index (VIX), resulting in more stable weights, less rebalancing, and higher alphas when considering transaction costs.","featured":"2023-08-09","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Derivative Instruments in Portfolio Management: Unified Framework","url":"/papers/ssrn/4532942/","summary":"Unified Framework: The article suggests a unified framework for managing derivative instruments in portfolios, addressing issues related to exposure, notional, and market value price separation, and provides Python code for replication.","featured":"2023-08-09","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Path shadowing Monte Carlo","url":"/papers/arxiv/2308.01486/","summary":"Improved Predictions: The paper presents a Path Shadowing Monte-Carlo method that uses past data to predict future financial paths, showing its effectiveness in predicting future volatility and determining conditional option smiles for the S&P500.","featured":"2023-08-09","label":"arXiv","topic":"Derivatives & Volatility","cites":12,"score":5,"scale":"shares"},{"title":"Options Are Also Options on Options: How to Smile With Black-Scholes","url":"/papers/arxiv/2308.04130/","summary":"Black-Scholes Smiles: The research presents a new perspective on pricing a European Call option with a higher strike, suggesting it can be seen as a Call option on a Call option with a lower strike, and introduces new pricing formulas.","featured":"2023-08-09","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":6,"scale":"shares"},{"title":"Sampling Methods for Increased Volatility","url":"/papers/repec/vrs-jecman-v-43-y-2021-i-1-p-70-89-n-1/","summary":"The paper proposes a portfolio composition framework resistant to market volatility, using a modified Markowitz’s approach and sampling methods to enhance allocation efficiency during high market volatility.","featured":"2023-08-09","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":12,"scale":"shares"},{"title":"Sectoral and Regional Volatility Connection","url":"/papers/repec/ibn-ijefaa-v-15-y-2023-i-4-p-8/","summary":"A study found increased volatility connectedness between the CDS and equity markets in the US, UK, EU, and Japan during crisis periods, with equity being the main volatility transmitter.","featured":"2023-08-09","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":17,"scale":"shares"},{"title":"Funding Constraints and Liquidity of VIX Futures","url":"/papers/ssrn/4522238/","summary":"The study suggests that funding constraints significantly impact the trading costs of VIX futures, with leveraged traders playing a key role.","featured":"2023-08-02","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Dynamic Portfolio Choice with Intertemporal Hedging and Transaction Costs","url":"/papers/ssrn/4522752/","summary":"CARA investors use a constant trading speed to balance their portfolio, taking into account trading costs and execution risks, to optimize past trades and future investment opportunities.","featured":"2023-08-02","label":"SSRN","topic":"Derivatives & Volatility","cites":4,"score":33,"scale":"shares"},{"title":"Legal Institutions and Fragile Financial Markets","url":"/papers/ssrn/4528750/","summary":"Equity liquidity varies across countries due to funding constraints and legal institutions, with firms in countries with extensive disclosure requirements experiencing fewer liquidity shocks, leading to higher firm value in volatile markets.","featured":"2023-08-02","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"Dollar Asset Holding and Hedging by Institutional Investors","url":"/papers/ssrn/4524147/","summary":"Global institutional investors' holdings of U.S. dollar securities have increased six-fold in the last 20 years, maintaining high hedge ratios despite fluctuations in covered-interest rate parity.","featured":"2023-08-02","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Machine Learning-powered Pricing of the Multidimensional Passport Option","url":"/papers/arxiv/2307.14887/","summary":"The study proposes a discrete-time solution for pricing passport options in multi-dimensional Black-Scholes markets using two machine learning methods.","featured":"2023-08-02","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":6,"scale":"shares"},{"title":"Option Smile Volatility and Implied Probabilities: Implications of Concavity in IV Curves","url":"/papers/arxiv/2307.15718/","summary":"The paper investigates the effect of earnings announcements on stock price volatility, revealing that investors pay a significant premium to hedge against announcement-induced uncertainty.","featured":"2023-08-02","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":4,"scale":"shares"},{"title":"American Passport options in an exponential L\\'evy model","url":"/papers/arxiv/2307.16649/","summary":"The study investigates the valuation of an unusual derivative called the American passport option, formulates the pricing equation, and proves that the option value is a viscosity solution of variational inequality.","featured":"2023-08-02","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Multivariate Lévy models: calibration and pricing","url":"/papers/arxiv/2303.13346/","summary":"Calibration and Pricing: The paper investigates the impact of multivariate Lévy models' structures on calibration and pricing, using various methods to assess their fit with market data and pricing of exotic derivatives.","featured":"2023-08-02","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":32,"scale":"shares"},{"title":"Market Ambiguity Attitude and the Risk-Return Tradeoff","url":"/papers/ssrn/4516515/","summary":"The research shows that the link between the conditional equity premium and market volatility is influenced by the agent's ambiguity attitude, and market volatility doesn't significantly forecast returns.","featured":"2023-07-26","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":4,"scale":"shares"},{"title":"A View from Outside: Sovereign CDS Volatility as an Indicator of Economic Uncertainty","url":"/papers/ssrn/4515924/","summary":"The article suggests that the fluctuation of sovereign credit default swaps can indicate economic uncertainty, aligning with economic policy uncertainty indices.","featured":"2023-07-26","label":"SSRN","topic":"Derivatives & Volatility","cites":7,"score":2,"scale":"shares"},{"title":"The Volatility Smile Quantified, and Other Stories","url":"/papers/ssrn/4519663/","summary":"The article examines the impact of maximal trading speed at the start and end of equity markets on backtesting quantitative strategies.","featured":"2023-07-26","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":4,"scale":"shares"},{"title":"A Note on the Option Pricing with Transaction Costs and Stochastic Volatility","url":"/papers/ssrn/4520949/","summary":"The research uses a specific model to solve a complex equation related to option pricing, but finds discrepancies suggesting potential risks in the model.","featured":"2023-07-26","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":4,"scale":"shares"},{"title":"Testing for Stationarity of Volatility Curves","url":"/papers/ssrn/4516345/","summary":"The paper introduces a test for stability of hidden volatility curves over time using high-frequency financial data, revealing nonstationary variation in intraday volatility pattern over time in SP 500 futures data.","featured":"2023-07-26","label":"SSRN","topic":"Derivatives & Volatility","cites":2,"score":2,"scale":"shares"},{"title":"Hedge Fund Evaluation with Machine Learning","url":"/papers/ssrn/4519123/","summary":"Bayesian Additive Regression Trees (BART), a Bayesian machine learning method, is more effective in assessing hedge fund performance than traditional models.","featured":"2023-07-26","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Political Uncertainty and VIX Futures","url":"/papers/ssrn/4518944/","summary":"The research identifies a link between the 2020 U.S. presidential election and the VIX futures term structure, with political uncertainty heightening investors' worries about anticipated market uncertainty.","featured":"2023-07-26","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":49,"scale":"shares"},{"title":"Zero-Day Options Trading and Asset Volatility","url":"/papers/ssrn/4520410/","summary":"The surge in ZeroDaytoExpiry (0DTE) options trading from 2011 to 2022 has led to increased volatility in the underlying asset.","featured":"2023-07-26","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"VolTS: A Volatility-based Trading System to forecast Stock Markets Trend using Statistics and Machine Learning","url":"/papers/arxiv/2307.13422/","summary":"The article presents a new stock market trading strategy using machine learning and statistical analysis to predict trends, proven effective through backtesting.","featured":"2023-07-26","label":"arXiv","topic":"Derivatives & Volatility","cites":8,"score":14,"scale":"shares"},{"title":"Adversarial Deep Hedging: Learning to Hedge without Price Process Modeling","url":"/papers/arxiv/2307.13217/","summary":"The study introduces adversarial deep hedging, a new method for derivative hedging in incomplete markets, performing well across various real market data without explicit modeling.","featured":"2023-07-26","label":"arXiv","topic":"Derivatives & Volatility","cites":9,"score":8,"scale":"shares"},{"title":"External Debt & Exchange Rate Volatility in South Asia","url":"/papers/repec/sae-smppub-v-12-y-2023-i-1-p-83-110/","summary":"External debt significantly increases exchange rate volatility in South Asian Countries, as per data from the World Development Indicators from 1980-2020.","featured":"2023-07-26","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":13,"scale":"shares"},{"title":"When Vegas Comes to Wall Street: Associations Between Stock Price Volatility and Trading Frequency Among Gamblers","url":"/papers/ssrn/4514502/","summary":"The study reveals that manipulated market volatility increases trading frequency, especially among non-high-risk gamblers, extending previous research on the link between disordered gambling and stock trading.","featured":"2023-07-19","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Hedge Funds With(out) Edge","url":"/papers/ssrn/4513205/","summary":"With(out) Edge: A new benchmark for assessing hedge fund performance is suggested, dividing funds into two groups based on their Sharpe ratios and skewness, and predicting their performance.","featured":"2023-07-19","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Dynamic Connectedness between Private Equities and High-Demand Assets","url":"/papers/ssrn/4513308/","summary":"Research shows a modest connection between a private equity ETF and high-demand asset classes, suggesting effective hedging through a short position in the ETF's volatility.","featured":"2023-07-19","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"What If Option Closing Prices Were Trustworthy? A Machine Learning Approach","url":"/papers/ssrn/4515200/","summary":"ML Approach: A new machine learning model uses stock prices to predict options closing prices, outperforming traditional models and potentially improving market efficiency.","featured":"2023-07-19","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":2,"scale":"shares"},{"title":"Machine learning for option pricing: an empirical investigation of network architectures","url":"/papers/arxiv/2307.07657/","summary":"A study finds that the generalized highway network and a DGM variant improve the accuracy and training time of machine learning algorithms for option pricing.","featured":"2023-07-19","label":"arXiv","topic":"Derivatives & Volatility","cites":6,"score":6,"scale":"shares"},{"title":"Rough PDEs for Local Stochastic Volatility Models","url":"/papers/arxiv/2307.09216/","summary":"The article presents a new way to set prices in local stochastic volatility models, using rough path theory to understand conditional dynamics and price European options.","featured":"2023-07-19","label":"arXiv","topic":"Derivatives & Volatility","cites":20,"score":3,"scale":"shares"},{"title":"A fast Monte Carlo scheme for additive processes and option pricing","url":"/papers/arxiv/2112.08291/","summary":"The article introduces a quick Monte Carlo method for additive processes, improving accuracy in pricing options that depend on a specific path.","featured":"2023-07-19","label":"arXiv","topic":"Derivatives & Volatility","cites":11,"score":27,"scale":"shares"},{"title":"Deep Learning of Transition Probability Densities for Stochastic Asset Models with Applications in Option Pricing","url":"/papers/arxiv/2105.10467/","summary":"New ultra-fast and highly accurate neural Transition Probability Density Function generators have been developed for use in computational finance.","featured":"2023-07-19","label":"arXiv","topic":"Derivatives & Volatility","cites":9,"score":13,"scale":"shares"},{"title":"Asset Volatility & Capital Structure in Corporate Mergers","url":"/papers/repec/inm-ormnsc-v-67-y-2021-i-5-p-2773-2798/","summary":"The study reveals that post-merger changes in leverage and cash holdings can be predicted by changes in asset volatility after corporate acquisitions.","featured":"2023-07-19","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":20,"scale":"shares"},{"title":"Risk-Shifting & Volatility Puzzle","url":"/papers/repec/inm-ormnsc-v-67-y-2021-i-5-p-2751-2772/","summary":"The research indicates that shareholders face high unique risks when their companies are struggling, resulting in low or negative returns for firms with high unique volatility.","featured":"2023-07-19","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":15,"scale":"shares"},{"title":"Address Challenges Markowitz (1952) Faces: A New Measure of Asset Risk","url":"/papers/ssrn/4506410/","summary":"The article challenges the traditional concept of asset risk, arguing that it's the asset risk that causes volatility, not vice versa, and volatility doesn't necessarily decrease asset value.","featured":"2023-07-12","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":14,"scale":"shares"},{"title":"A Supply-Chain-Centric View of Redefined Supply Chain Finance","url":"/papers/ssrn/4502534/","summary":"The chapter provides a detailed overview of Integrated Supply Chain Finance (iSCF), discussing key aspects such as working capital financing, financial hedging, integrated risk management, and supply chain contracts and risk management.","featured":"2023-07-12","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"A New Star Is Born: Does the VIX1D Render Common Volatility Forecasting Models for the U.S. Equity Market Obsolete?","url":"/papers/ssrn/4505785/","summary":"New Index for Volatility Forecasting: The Cboe's 1-Day Volatility Index overestimates S&P 500 volatility, but a simple proxy can correct this for more accurate forecasts with less data.","featured":"2023-07-12","label":"SSRN","topic":"Derivatives & Volatility","cites":3,"score":3,"scale":"shares"},{"title":"0DTE Option Pricing","url":"/papers/ssrn/4503344/","summary":"Capturing Volatility Dynamics: The market for ultra short-term zero days-to-expiry options has expanded, with a new pricing formula developed to account for factors like leverage and volatility-of-volatility.","featured":"2023-07-12","label":"SSRN","topic":"Derivatives & Volatility","cites":8,"score":2,"scale":"shares"},{"title":"Are There Dragon Kings in the Stock Market?","url":"/papers/arxiv/2307.03693/","summary":"A study of market volatility over 50 years shows that the highest volatility aligns with major economic crises, and these instances are classified as Black Swans, Dragon Kings, or Negative Dragon Kings based on their statistical significance.","featured":"2023-07-12","label":"arXiv","topic":"Derivatives & Volatility","cites":5,"score":3,"scale":"shares"},{"title":"Rough Volatility: Fact or Artefact?","url":"/papers/arxiv/2203.13820/","summary":"Fact or Artifact: The study proposes a new method to estimate the roughness of financial asset volatility, attributing observed roughness to microstructure noise.","featured":"2023-07-12","label":"arXiv","topic":"Derivatives & Volatility","cites":52,"score":47,"scale":"shares"},{"title":"Crude Oil Volatility Prediction with Structural Regime Switching","url":"/papers/repec/eee-jrpoli-v-83-y-2023-i-c-s0301420723003239/","summary":"The article introduces a new model using Markov regime switching for better prediction of volatility in the crude oil market, outperforming other high-frequency prediction models.","featured":"2023-07-12","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":15,"scale":"shares"},{"title":"Bagging vs combination for oil futures volatility","url":"/papers/repec/eee-reveco-v-87-y-2023-i-c-p-457-467/","summary":"The bagging method in machine learning is more effective than traditional models in predicting oil futures volatility, especially during the COVID-19 pandemic, with economic policy uncertainty indices being more useful than macroeconomic variables.","featured":"2023-07-12","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":16,"scale":"shares"},{"title":"Herding effect and volatility forecast in Chinese stock market","url":"/papers/repec/wly-jforec-v-42-y-2023-i-5-p-1275-1290/","summary":"The market herding effect significantly enhances the prediction of market volatility in the Chinese stock market, particularly in long-term predictions, with machine learning algorithms performing better than linear models.","featured":"2023-07-12","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":15,"scale":"shares"},{"title":"Enhancing Stock Market Volatility Prediction with New Bagging Model","url":"/papers/repec/eee-reveco-v-87-y-2023-i-c-p-445-456/","summary":"A new model combining an autoregressive model and bagging method is more effective in predicting U.S. stock market volatility than traditional models, a study found.","featured":"2023-07-12","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":14,"scale":"shares"},{"title":"Long Memory and Fractality in Volatility Indices","url":"/papers/repec/hin-complx-6728432/","summary":"A study of nine volatility indices reveals evidence of long memory and fractality, providing new insights for investment decisions and trading strategies.","featured":"2023-07-12","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":14,"scale":"shares"},{"title":"Hedge Fund Performance, Classification With Machine Learning, and Managerial Implications","url":"/papers/ssrn/4498649/","summary":"Machine learning used to analyze hedge fund strategies and performance, emphasizing accurate fund classification.","featured":"2023-07-05","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":5,"scale":"shares"},{"title":"Sales Order Backlog and FX Hedge","url":"/papers/ssrn/4496940/","summary":"Companies with high sales backlogs use fewer FX derivatives for hedging, suggesting positive future sales and profitability.","featured":"2023-07-05","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":4,"scale":"shares"},{"title":"Intraday Implied Volatility for Equities","url":"/papers/ssrn/4494957/","summary":"Implied volatility measures derived for individual equity options at 1-minute intervals, confirming negative link between stock returns and volatility.","featured":"2023-07-05","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":3,"scale":"shares"},{"title":"Inventory Hedging in Corporate Bonds","url":"/papers/ssrn/4499432/","summary":"Corporate bond portfolio trading is boosted by inventory hedging, benefiting liquidity and transaction costs.","featured":"2023-07-05","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":161,"scale":"shares"},{"title":"Asymmetric Volatility of European Stock Markets","url":"/papers/repec/cbu-jrnlec-y-2023-v-1-p-134-146/","summary":"Investigates volatility changes in stock markets during and after COVID-19 pandemic.","featured":"2023-07-05","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":22,"scale":"shares"},{"title":"Biases and Volatility in Market Dealers","url":"/papers/repec/eme-rbfpps-rbf-10-2021-0223/","summary":"Forex traders' biases cause market volatility, study shows.","featured":"2023-07-05","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":25,"scale":"shares"},{"title":"VIX and SPX Futures: Lead-Lag Relationship","url":"/papers/ssrn/4488912/","summary":"Lead-Lag Relationship: VIX futures lead SPX futures in high volatility, but trading strategies are unprofitable due to transaction costs.","featured":"2023-06-28","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":1211,"scale":"shares"},{"title":"Analyzing Systemic Risk with Volatility","url":"/papers/ssrn/4488478/","summary":"IVRVSRI measures the impact of market turmoil and varies across regions.","featured":"2023-06-28","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":432,"scale":"shares"},{"title":"Generic Forward Curve Dynamics for Commodity Derivatives","url":"/papers/arxiv/2306.12921/","summary":"A framework is presented for modeling forward curves in commodity markets, showing that multiple components drive commodity prices and the model accurately captures price and volatility dynamics.","featured":"2023-06-28","label":"arXiv","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"Volatility index futures hedging: a cointegration approach","url":"/papers/repec/kap-rqfnac-v-61-y-2023-i-1-d-10-1007-s11156-023-01153-4/","summary":"A cointegration approach: The paper explores the relationship between stock index futures and VIX futures prices and suggests a hedging strategy based on this.","featured":"2023-06-28","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":38,"scale":"shares"},{"title":"Volatility and Trend Profits in Stocks","url":"/papers/repec/taf-applec-v-55-y-2023-i-32-p-3788-3805/","summary":"Stock volatility impacts trend-following profits, investors can use signal volatility estimates for trading rules.","featured":"2023-06-28","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":18,"scale":"shares"},{"title":"Earnings Volatility and Stock Price Delay","url":"/papers/repec/aic-saebjn-v-69-y-2022-i-1-p-99-110-n-2/","summary":"Earnings volatility affects stock price response negatively.","featured":"2023-06-28","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":19,"scale":"shares"},{"title":"Market Risk Hedging with Crowding Networks","url":"/papers/ssrn/4476724/","summary":"Proposing a method for hedging portfolio risk using network analysis of fund holdings.","featured":"2023-06-14","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":68,"scale":"shares"},{"title":"Optimal Asset Allocation with Hedging Demands","url":"/papers/ssrn/4473419/","summary":"Non-myopic agents benefit from hedging against shocks even with zero transaction costs.","featured":"2023-06-14","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":98,"scale":"shares"},{"title":"Option Mispricing & Alpha Portfolios","url":"/papers/ssrn/4472551/","summary":"A study shows significant mispricing in the options market related to risk-neutral moments and liquidity.","featured":"2023-06-14","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"The Quest for Alpha in Equity Gamma","url":"/papers/ssrn/4474815/","summary":"Opportunities & Risks: A paper examines relative value and opportunities in gamma trades in equity options markets.","featured":"2023-06-14","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":874,"scale":"shares"},{"title":"Robust Log-normal Stochastic Volatility for Interest Rates","url":"/papers/ssrn/4473790/","summary":"Dispersion trade strategy improves risk return profile in equity options markets.","featured":"2023-06-14","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure","url":"/papers/arxiv/2306.05750/","summary":"Two simulation methods have been developed to compute option prices numerically.","featured":"2023-06-14","label":"arXiv","topic":"Derivatives & Volatility","cites":4,"score":2,"scale":"shares"},{"title":"The Stock Market Impact of Volatility Hedging: Evidence from End-of-Day Trading by VIX ETPs","url":"/papers/ssrn/4470636/","summary":"VIX futures hedging activities can move SPX futures market for reasons unrelated to price discovery.","featured":"2023-06-07","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":4,"scale":"shares"},{"title":"Can Loss Aversion Explain the Stylized Facts of Implied Volatility?","url":"/papers/ssrn/4471421/","summary":"Loss aversion can explain the stylized facts of implied volatility.","featured":"2023-06-07","label":"SSRN","topic":"Derivatives & Volatility","cites":0,"score":3,"scale":"shares"},{"title":"MBS Valuation with Portfolio Credit Derivatives","url":"/papers/ssrn/4470293/","summary":"RMBS can be viewed as portfolio credit derivatives.","featured":"2023-06-07","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2,"scale":"shares"},{"title":"Efficient simulation of a new class of Volterra-type SDEs","url":"/papers/arxiv/2306.02708/","summary":"A new theoretical framework transforms a stochastic process for volatility modeling.","featured":"2023-06-07","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":3,"scale":"shares"},{"title":"Robustness and sensitivity analyses of rough Volterra stochastic volatility models","url":"/papers/arxiv/2107.12462/","summary":"The sensitivity of stochastic volatility models is analyzed for market calibration.","featured":"2023-06-07","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":19,"scale":"shares"},{"title":"Oil Volatility Risk Premium and Stock Market Forecasting","url":"/papers/repec/wly-jforec-v-42-y-2023-i-4-p-872-904/","summary":"The uncertainty-driven oil volatility risk premium predicts international stock market volatility.","featured":"2023-06-07","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":26,"scale":"shares"},{"title":"Volatility Spillovers among BRICS Stock Markets","url":"/papers/repec/sae-emffin-v-22-y-2023-i-2-p-164-188/","summary":"Own volatility spillover is higher than cross-market spillover among BRICS countries' stock markets.","featured":"2023-06-07","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":22,"scale":"shares"},{"title":"Exchange Rate Volatility","url":"/papers/repec/tcb-cebare-v-22-y-2022-i-2-p-77-89/","summary":"Study finds exchange rate volatility impacts Turkey's exports.","featured":"2023-06-07","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":27,"scale":"shares"},{"title":"Arrow-Debreu Meets Kyle: Price Discovery Across Derivatives","url":"/papers/arxiv/2302.13426/","summary":"A model of insider trading on higher moments of the underlying payoff can be used to trade on any given moment, using an informed demand formula prescribing option strategies.","featured":"2023-06-01","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":36,"scale":"shares"},{"title":"Volatility Transmission in Forex Market","url":"/papers/repec/spt-apfiba-v-13-y-2023-i-3-f-13-3-3/","summary":"A new approach for evaluating portfolio performance using Euclidean distance is proposed.","featured":"2023-06-01","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":19,"scale":"shares"},{"title":"Trade Aid and Exchange Rate Volatility","url":"/papers/repec/wsi-jicepx-v-13-y-2022-i-01-n-s1793993322500016/","summary":"Aid for Trade negatively affects exchange rate volatility, more so for non-LDCs.","featured":"2023-06-01","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":20,"scale":"shares"},{"title":"Hedge Fund Fees and Long-Run Outcomes","url":"/papers/ssrn/4451531/","summary":"Asset managers' performance-based fees often don't align with long-term outcomes.","featured":"2023-06-01","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":2727,"scale":"shares"},{"title":"Efficient Learning of Nested Deep Hedging using Multiple Options","url":"/papers/arxiv/2305.12264/","summary":"Study proposes nested deep hedging method for derivatives with market frictions using neural networks.","featured":"2023-05-24","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":9,"scale":"shares"},{"title":"Extreme ATM skew in a local volatility model with discontinuity: joint density approach","url":"/papers/arxiv/2305.10849/","summary":"Local volatility model with two possible values for volatility analyzed using pricing formulas based on Skew Brownian motion.","featured":"2023-05-24","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":4,"scale":"shares"},{"title":"The Quadratic Local Variance Gamma Model: An Arbitrage-Free Interpolation of Class C3 for Option Prices","url":"/papers/arxiv/2305.13791/","summary":"Piecewise quadratic local variance function formulated for arbitrage-free interpolation of market quotes.","featured":"2023-05-24","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":3,"scale":"shares"},{"title":"Option pricing under jump diffusion model","url":"/papers/arxiv/2305.10678/","summary":"European option pricing formula provided under double Levy jumps model with series solution and numerical experiments.","featured":"2023-05-24","label":"arXiv","topic":"Derivatives & Volatility","cites":2,"score":2,"scale":"shares"},{"title":"Volatility jumps and the classification of monetary policy announcements","url":"/papers/arxiv/2305.12192/","summary":"A new model classifies monetary announcements based on their impact on volatility.","featured":"2023-05-24","label":"arXiv","topic":"Derivatives & Volatility","cites":1,"score":3,"scale":"shares"},{"title":"Currency Network Risk and Volatility","url":"/papers/ssrn/4445357/","summary":"Volatility network strategy generates excess returns by buying net recipients and selling net transmitters of transitory shocks.","featured":"2023-05-24","label":"SSRN","topic":"Derivatives & Volatility","cites":null,"score":239,"scale":"shares"},{"title":"Binary Regime Models with Jump Discontinuities","url":"/papers/repec/spr-sankhb-v-85-y-2023-i-1-d-10-1007-s13571-022-00277-2/","summary":"A statistical technique for jump detection and volatility estimation in high-frequency data is developed.","featured":"2023-05-24","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":21,"scale":"shares"},{"title":"Predicting Stock Market Volatility with Financial Report Tone","url":"/papers/repec/gam-jmathe-v-11-y-2023-i-7-p-1591-d-1107077/","summary":"Study finds that periods of increased disagreement in financial reports predict higher implied volatility indices of stocks, with implications for financial stability and delegated portfolio management.","featured":"2023-05-24","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":16,"scale":"shares"},{"title":"SA Stock Market Volatility Prediction","url":"/papers/repec/gam-jmathe-v-11-y-2023-i-6-p-1371-d-1094820/","summary":"Newspapers-based macroeconomic attention indexes and news sentiment index improve stock market volatility prediction in South Africa, according to a study using machine learning.","featured":"2023-05-24","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":20,"scale":"shares"},{"title":"Bermudan Commodity Options Pricing with Neural Networks","url":"/papers/repec/gam-jjrfmx-v-16-y-2023-i-3-p-192-d-1094945/","summary":"Multi-layered neural networks used for option pricing in commodity markets with high accuracy.","featured":"2023-05-24","label":"RePEc","topic":"Derivatives & Volatility","cites":null,"score":29,"scale":"shares"}],"per_quarter":{"2023 Q2":34,"2023 Q3":119,"2023 Q4":99,"2024 Q1":130,"2024 Q2":100,"2024 Q3":101,"2024 Q4":47,"2025 Q1":81,"2025 Q2":92,"2025 Q3":27,"2025 Q4":25,"2026 Q1":1,"2026 Q2":2,"2026 Q3":10}}