定量金融
Narrow Uniswap v3 liquidity ranges resemble short dated options, and Panoptic's streaming premium echoes the short maturity concentration of Black-Scholes theta near the strike. This motivates a natural question: can implied volatility be…
Generative models of limit orderbook (LOB) data have advanced rapidly, but their evaluation often focuses on stylised facts and selected market statistics. These measures provide useful diagnostics but may not capture the joint temporal and…
We study stress-scenario generation for systems driven by multivariate heavy-tailed risk factors. Within regions where several financial losses are simultaneously extreme, stress analysis concerns both the conditional law of the risk…
An investor may be optimistic about aggregate endowment growth at some times and pessimistic at others. The weight placed on her forecast in bond valuation can therefore vary across maturities. We study whether this maturity dependence…
Shariah-compliant equity screening provides a transparent setting in which institutional rules determine who may own a stock. A binary label identifies current eligibility but not whether the feasible investor base is fragmented across…
As more investors contemplate private markets and contend with limited transparency, sparse disclosures, and infrequent transactions, identifying economically meaningful peer companies for comparison is a fundamental challenge for…
This article presents with DYSANOS the first generative market model for smooth SANOS option surfaces for all strikes and expiries which are free of static arbitrage. Our model is designed to generate entire paths of daily spot and option…
Diffusion generative models have rapidly emerged as powerful tools for modeling complex financial data. Their appeal is both structural and practical: they offer stable likelihood-based training, strong mode coverage, flexible conditioning,…
We develop a geometric theory of arbitrage-free implied variance surface dynamics. Smile dynamics are formulated as transport flows on the admissible class of static-arbitrage-free surfaces: spot movements generate transport vector fields,…
This study focuses on developing an AI-supported prototype for multiperspective interest rate forecasting that combines classical econometric models with modern artificial intel-ligence methods. Tested in a major European bank, the system…
Large language models can extract richer signals from financial news than fixed sentiment lexicons, and recent work has explored feeding such signals into portfolio construction. We study an uncertainty-aware construction that feeds…
Financial volatility is regime dependent, yet incorporating regime information into neural networks can also destabilize training. This paper asks where such information should enter a neural cross-sectional volatility forecasting model. We…
We examine the shapes attainable by the forward and yield curve in the Hull-White model with Svensson-parameterized initial yield curves. For Nelson-Siegel-parameterized initial yield curves, we provide a complete classification of all…
Thousands of SOFR derivatives are available in exchanges and OTC, but the market remains illiquid and incomplete. Such a market is beyond the scope of classic risk-neutral approaches that imply linear pricing rules and, at best, approximate…
Our primary goal is to forecast and empirically examine the evolution of the implied volatility (IV) surface, with particular focus on the dates of scheduled meetings of the Federal Open Market Committee (FOMC). Firstly, we check if IV…
Automated quantitative research has made striking progress, yet each system answers the same question: which strategy scores highest on a scalar metric? We argue this question is incomplete. Professional investors do not order "the highest…
We calibrate credit default swaps and index tranches with elastically stopped L\'evy processes: each firm defaults when the running supremum of a latent, spectrally positive distress process crosses an independent exponential barrier. This…
We study peer-to-peer (P2P) insurance contracting between a risk-averse P2P reinsurer and multiple risk-averse peers in an asymmetric Nash-bargaining framework, where all agents seek to improve expected utility relative to their…
In this paper we investigate the information content of the lower part of the spectrum of financial correlation matrices, as a source of information on market synchronization. In a financial context, a classical application of Principal…
Cryptocurrency exchange-traded products (ETPs) listed on European exchanges provide a regulated environment for studying intraday market anomalies. We study four Bitcoin and Ethereum ETPs traded on Xetra and Nasdaq Stockholm over the period…