Papers, wiki, Option Blackboard, encyclopedia, and cards.
Recent literature seek to forecast implied volatility derived from equity, index, foreign exchange, and interest rate options using latent factor and parametric frameworks. Motivated by increased public attention borne out of the financialization of futures markets in the early 2000s, we investigate if these extant models can uncover predictable patterns in the implied volatility surfaces of the most actively traded …
The classical mean-variance framework characterizes portfolio risk solely through return variance and the covariance matrix, implicitly assuming that all relevant sources of risk are captured by second moments. In modern financial markets, however, shocks often propagate through complex networks of interconnections, giving rise to systemic and spillover risks that variance alone does not reflect. This paper develops …
For quantitative trading risk management purposes, we present a novel idea: the realized local volatility surface. Concisely, it stands for the conditional expected volatility when sudden market behaviors of the underlying occur. One is able to explore risk management usages by following the orthotical Delta-Gamma dynamic hedging framework. The realized local volatility surface is, mathematically, a generalized Wiene…
The implied volatility surface (IVS) is a fundamental building block in computational finance. We provide a survey of methodologies for constructing such surfaces. We also discuss various topics which can influence the successful construction of IVS in practice: arbitrage-free conditions in both strike and time, how to perform extrapolation outside the core region, choice of calibrating functional and selection of nu…
Financial decision systems require fast surrogate models for pricing, calibration, hedging, XVA, stress testing, and portfolio optimization. Standard neural surrogates reproduce prices or risk quantities, but downstream tasks depend as much on derivatives: deltas, vegas, curve and credit-spread sensitivities, exposure and objective gradients. We formulate a derivative-informed operator-learning framework in which the…
Protein rotational kinetics are essential for understanding macromolecular behavior in crowded environments, yet measuring these dynamics at solid-liquid interfaces remains a significant challenge due to low signal strengths. Here, we experimentally demonstrate a label-based optical technique for measuring rotational diffusion kinetics using an all-dielectric multilayer stack that sustains both transverse electric an…
Recent evidence suggests that the parameters characterizing the implied volatility surface (IVS) in option prices are unstable. We study whether the resulting predictability patterns may be exploited. In a first stage we model the surface along cross-sectional moneyness and maturity dimensions. In a second stage we model the dynamics of the first-stage coefficients. We find that the movements of the S&P 500 IVS a…
In this study, we constructed daily high-frequency sentiment data and used the VAR method to attempt to predict the next day's implied volatility surface. We utilized 630,000 text data entries from the East Money Stock Forum from 2014 to 2023 and employed deep learning methods such as BERT and LSTM to build daily market sentiment indicators. By applying FFT and EMD methods for sentiment decomposition, we found that h…
We propose a new model for the forecasting of both the implied volatility surfaces and the underlying asset price. In the spirit of Guyon and Lekeufack (2023) who are interested in the dependence of volatility indices (e.g. the VIX) on the paths of the associated equity indices (e.g. the S\&P 500), we first study how vanilla options implied volatility can be predicted using the past trajectory of the underlying asset…
Current post-trade clearing systems rely almost exclusively on cash or cash-like collateral, leaving vast reserves of short-term liquidity embedded in trade credit outside formal settlement infrastructures. A key barrier to integrating this liquidity is the near-universal dependence of clearing services on novation, which imposes institutional overhead that restricts accessibility and limits the range of obligations …
April 2026 saw notable methodological convergence in the academic study of informed trading on decentralized prediction markets. Three approaches surfaced almost simultaneously: Mitts and Ofir (2026) apply a composite screen to over 210,000 wallet-market pairs; Gomez-Cram et al. (2026) apply an event-level sign-randomization test to Polymarket's complete transaction history, classifying 3.14% of accounts as "skilled …
We explore credit risk pricing by modeling equity as a call option and debt as the difference between the firm's asset value and a put option, following the structural framework of the Merton model. Our approach proceeds in two stages: first, we calibrate the asset volatility using the Black-Scholes-Merton (BSM) formula; second, we recover implied mean return and probability surfaces under the physical measure. To ac…
Quantitative markets are characterized by swift dynamics and abundant uncertainties, making the pursuit of profit-driven stock trading actions inherently challenging. Within this context, reinforcement learning (RL), which operates on a reward-centric mechanism for optimal control, has surfaced as a potentially effective solution to the intricate financial decision-making conundrums presented. This paper delves into …
We propose a hybrid model of portfolio credit risk where the dynamics of the underlying latent variables is governed by a one factor GARCH process. The distinctive feature of such processes is that the long-term aggregate return distributions can substantially deviate from the asymptotic Gaussian limit for very long horizons. We introduce the notion of correlation surface as a convenient tool for comparing portfolio …
We revisit the problem of pricing options with historical volatility estimators. We do this in the context of a generalized GARCH model with multiple time scales and asymmetry. It is argued that the reason for the observed volatility risk premium is tail risk aversion. We parametrize such risk aversion in terms of three coefficients: convexity, skew and kurtosis risk premium. We propose that option prices under the r…
We present a systematic study of the electronic structure of strained La$_3$Ni$_2$O$_7$ thin films. We show that biaxial compressive strain mainly elongates the outer apical Ni-O bond while leaving the inner apical Ni-O bond nearly unchanged. As a result, the Jahn-Teller splitting $Δ_{JT}$ is strongly enhanced, whereas the interlayer $d_{z^2}$ hopping $t_\perp^z$ changes only weakly. Since superconductivity is widely…
We present a large-scale experimental study of quantum-computing-based molecular simulation carried out on IQM's Sirius 24-qubit superconducting processor, utilizing up to 16 operational qubits. The work employs Sample-based Quantum Diagonalization (SQD) together with the Local Unitary Cluster Jastrow (LUCJ) ansatz to estimate ground-state energies for a set of benchmark molecules, including H$_2$, LiH, BeH$_2$, H$_2…
The Martian brain terrain (MBT), characterized by its unique brain-like morphology, is a potential geological archive for finding hints of paleoclimatic conditions during its formation period. The morphological similarity of MBT to self-organized patterned ground on Earth suggests a shared formation mechanism. However, the lack of quantitative descriptions and robust physical modeling of self-organized stone transpor…
Implied Volatility Surface — Strike and tenor structure of implied vol, the core object for vol trading and risk.
Local Volatility Model — Strike-dependent diffusion used to fit vanilla surfaces consistently.
SVI Parameterization — Arbitrage-aware parameterization of volatility smiles for interpolation and trading.
Volatility Surface (Derivatives).
Local Volatility — Deterministic spot-time vol field calibrated to the vanilla surface.
FX Volatility Surface (FX).
Feedback Loop US — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop Euro Area — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop UK — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop Japan — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop China — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop EM Asia — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop LatAm — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop CEEMEA — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop Canada — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop Australia — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop Nordics — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop ASEAN — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop risk-on — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop risk-off — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop tightening — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop easing — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop stagflation — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop reflation — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop disinflation — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop liquidity-crisis — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop carry — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop recession — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop desk — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop portfolio — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop ops — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop nightly — Operating constraint and control-surface concept for Quant OS desks.
Feedback Loop realtime — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map US — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map Euro Area — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map UK — Operating constraint and control-surface concept for Quant OS desks.
Vol-structure note for classifying rich vs cheap ATM IV and surface dispersion before choosing credit or debit templates.
Educational IV × Greeks × surface sandbox already mounted on the Blackboard — synthetic regimes for pedagogy beside the live scanner.
Constraint Map ASEAN — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map Australia — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map Canada — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map carry — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map CEEMEA — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map China — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map desk — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map disinflation — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map easing — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map EM Asia — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map Euro Area — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map Japan — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map LatAm — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map liquidity-crisis — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map nightly — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map Nordics — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map ops — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map portfolio — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map realtime — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map recession — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map reflation — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map risk-off — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map risk-on — Operating constraint and control-surface concept for Quant OS desks.
Constraint Map stagflation — Operating constraint and control-surface concept for Quant OS desks.