Related papers: Implied Volatility Surface: Construction Methodolo…
We present a dynamic hedging scheme for S&P 500 options, where rebalancing decisions are enhanced by integrating information about the implied volatility surface dynamics. The optimal hedging strategy is obtained through a deep policy…
We present a deep learning framework for pricing options based on market-implied volatility surfaces. Using end-of-day S\&P 500 index options quotes from 2018-2023, we construct arbitrage-free volatility surfaces and generate training data…
In this paper we develop a novel neural network model for predicting implied volatility surface. Prior financial domain knowledge is taken into account. A new activation function that incorporates volatility smile is proposed, which is used…
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…
We present a simple, numerically efficient but highly flexible non-parametric method to construct representations of option price surfaces which are both smooth and strictly arbitrage-free across time and strike. The method can be viewed as…
We propose a new measure of systemic risk to analyze the impact of the major financial market turmoils in the stock markets from 2000 to 2023 in the USA, Europe, Brazil, and Japan. Our Implied Volatility Realized Volatility Systemic Risk…
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:…
Predicting volatility is important for asset predicting, option pricing and hedging strategies because it cannot be directly observed in the financial market. The Black-Scholes option pricing model is one of the most widely used models by…
Intelligent reflecting surface (IRS) has recently received much attention from the research community due to its potential to achieve high spectral and power efficiency cost-effectively. In addition to traditional cellular networks, the use…
On the proper timescale, amorphous solids can flow. Solid flow can be observed macroscopically in glaciers or lead pipes, but it can also be artificially enhanced by creating defects. Ion Beam Sputtering (IBS) is a technique in which ions…
In this paper, we implement and test two types of market-based models for European-type options, based on the tangent Levy models proposed recently by R. Carmona and S. Nadtochiy. As a result, we obtain a method for generating Monte Carlo…
We tackle the calibration of the so-called Stochastic-Local Volatility (SLV) model. This is the class of financial models that combines the local and stochastic volatility features and has been subject of the attention by many researchers…
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…
Fluid-solid interfacial free energy (IFE) is a fundamental parameter influencing wetting behaviors, which play a crucial role across a broad range of industrial applications. Obtaining reliable data for fluid-solid IFE remains challenging…
Volatility is the language in which finance often describes risk, but it is not the language in which institutions experience risk. Allocators live through drawdowns, liquidity needs, spending rules, rebalance decisions, board oversight,…
An interface control principle is proposed for unsteady fluid-structure in- teraction (FSI) analyses. This principle introduces a method of explicitly controlling the interface motion in the temporal direction to minimize the residual force…
We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew are given. Pricing formulas for the European…
Equity basket correlation can be estimated both using the physical measure from stock prices, and also using the risk neutral measure from option prices. The difference between the two estimates motivates a so-called "dispersion strategy''.…
This paper aims at formulating definitions of topological stability, structural stability, and expansiveness property for an iterated function system( abbrev, IFS). It is going to show that the shadowing property is necessary condition for…
Unobserved spatial confounding variables are prevalent in environmental and ecological applications where the system under study is complex and the data are often observational. Instrumental variables (IVs) are a common way to address…