Reading and, most importantly, implementing papers are some of the best ways to gain an understanding of an area within quantitative finance. So here, I’ll provide readers with a large repository of papers on options and volatility, including some of the most important papers in the field.
I have written a previous article where we walk through models that are used by top market making firms, and miles ahead of the literature:
There’s also an article where we walk through a binary options related market making strategy:
Introduction
Index
Alphas, Momentum, and Factors
Delta Hedging
FX Volatility
Machine Learning
Market Microstructure
old GS quant publications
Peter Carr Papers
Pricing Models
Risk Management
Rough Volatility
Trading Strategies
VIX
Volatility Forecasting
Volatility Products
Volatility Surface Modelling
![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Which Free Lunch Would You Like Todaysir Deltahedgingvolatility
1.19MB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
When You Hedge Discretely Optimization Of Sharpe Ratio For Delta Hedging Strategy Under Discrete Hedging And Transaction Costs
906KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Intraday Patterns In Foreign Exchange Returns And Realized Volatility
448KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Determining Optimal Trading Rules Without Backtesting
2.29MB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Determining Optimal Trading Rules Without Backtesting
2.29MB ∙ PDF file
Download Download
![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Implied Correlation For Pricing Multi Fx Options
42.4KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
How Does The Daily Volatility Of Foreign Exchange Rates Depend On The Time Of Day
2.72MB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Toward An Efficient Hybrid Method For Pricing Barrier Options
1.78MB ∙ PDF file
Download Download
![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Using Machine Learning To Predict Realized Variance
485KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Forecasting Realized Volatility With Random Forest Algorithm
424KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
A Neural Network Approach To Understanding Implied Volatility
1.02MB ∙ PDF file
Download Download
![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
An Approximate Solution For Options Market Making In High Order
915KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Modeling Flash Crash Behavior In A Stock Market Using
1.2MB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Microstructure Noise The Use Of Two Scales Realized Volatility F
968KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Investigation Of Flash Crash Via Topological Data
4.67MB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
What Happened May 6 2010 Anatomy Of The Flash Crash
257KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Statistical Mechanics Of Price Stabilization And Destabilization
349KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Some Statistical Properties Of The Mini Flash Crashes
2.17MB ∙ PDF file
Download Download
![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
How To Value And Hedge Options On Foreign Indexes
120KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Strike Adjusted Spread A New Metric For Estimating The Value Of Equity Options
204KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Stochastic Implied Trees Arbitrage Pricing With Stochastic Term Adn Strike Structure Of Volatility
513KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Regimes Of Volatility Some Observations On The Variation Of S P 500 Implied Volatilities
2.35MB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Enhanced Numerical Methods For Options With Barriers
315KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
When You Cannot Hedge Continuously The Corrections To Black Scholes
67.6KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
The Local Volatility Surface Unlocking The Information In Index Option Prices
552KB ∙ PDF file
Download Download
![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Analyzing Volatility Risk And Risk Premium In Option Contracts
473KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
A New Simple Approach For Vol Surface Construction
314KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
A Model Free Backward And Forward Nonlinear Pdes For Implied Volatility
763KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
On The Hedging Of Options On Exploding Exchange Rates
381KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Pricing Variance Swaps On Time Changed Markov Processes
608KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Leverage Effect, Volatility Feedback, And Self Exciting Market Disruptions
489KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Jointly Modeling Of Vix And Spx Options At A Single And Common Maturity With Risk Management Applications
701KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Option Profit And Loss Attribution And Pricing A New Framework
294KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Determining Optimal Trading Rules Without Backtesting
2.36MB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Realized Volatility And Variance Options Via Swaps
234KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Stochastic Risk Premiums, Stochastic Skewness In Currency Options, And Stochastic Discount Factors In International Economies
258KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Robust Replication Of Barrier Style Claims On Price And Volatility
475KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Semi Analytical Pricing Of Barrier Options In The Timedependent Heston Model
768KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Stock Options And Credit Default Swaps A Joint Framework For Valuation And Estimation
309KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Using Machine Learning To Predict Realized Variance
485KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Time For A Change The Variance Gamma Model And Option Pricing
416KB ∙ PDF file
Download Download
![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Optionpricingcomparingbachelierandbs Mmarch2016final
1.55MB ∙ PDF file
Download Download
![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Market Fragility And International Market Crashes
287KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Statistical Mechanics Of Price Stabilization And Destabilization
349KB ∙ PDF file
Download Download
![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Estimating The Hurst Parameter From Short Term Volatility
222KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Asymmetric Effects Of The Limit Order Book On Price Dynamics
285KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
From Microscopic Price Dynamics To Multidimensional Rough Volatility Models
349KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
From Quad Hawkes Processes To Superheston Rough Volatility Models With Zumbach Effect
273KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Fractional Brownian Motion With Zero Hurst Parameter A Rough Volatility Viewpoint
170KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Functional Quantization Of Rough Volatility And Applications To The Vix
1.1MB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Fractional Black Scholes Option Pricing, Volatility Calibration And Implied Hurst Exponents
1.35MB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Foundations Of A Pathwise Volatility Framework With Explicit Fast Reversion Limits
1.36MB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Merton’s Portfolio Problem Under Volterra Heston Model
288KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Markovian Approximation Of The Rough Bergomi Model For Monte Carlo Option Pricing
632KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Multilevel Monte Carlo Simulation For Vix Options In The Rough Bergomi Model
665KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Is The Variance Swap Rate Affine In The Spot Variance
576KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
On Smile Properties Of Volatility Derivatives And Exotic Products Understanding The Vix Skew
1.59MB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
On The Martingale Property In The Rough Bergomi Model
153KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Path Properties Of A Generalized Fractional Brownian Motion
246KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Precise Asymptotics Robust Stochastic Volatility Models
629KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
On The Skew And Curvature Of Implied And Local Volatilities
147KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
The Microstructural Foundations Of Leverage Effect And Rough Volatility
339KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
The Quadratic Rough Heston Model And Joint Spx Vix
548KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
The Multiplicative Chaos Of H 0 Fractional Brownian Fields
833KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Strong Convergence Rates For Markovian Representations Of Fractional Brownian Motion
4.27MB ∙ PDF file
Download Download
![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Option Profit And Loss Attribution And Pricing A New Framework
254KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Determining Optimal Trading Rules Without Backtesting
2.29MB ∙ PDF file
Download Download
![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
A Note On Trading The Term Structure Of Vix Futures
992KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Dupire 2006 Model Free Results On Volatility Derivatives
755KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Leverage Effect Volatility Feedback And Self Excitingmarket Disruptions
622KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Statistics Of Vix Futures And Applications To Trading
3.68MB ∙ PDF file
Download Download
![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Forecasting Volatility Based On Wavelet Support Vector Machine Przejrzane
193KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Forecasting Realized Volatility With Kernel Ridge Regression
210KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
On The Skew And Curvature Of Implied And Local Volatilities
147KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Driftandvolatilityestimationelliotthunterjamieson
510KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Stochastic Volatility Mean Drift And Jumps In The
405KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Using Machine Learning To Predict Realized Variance
485KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Volatility Estimation Methods For High Frequency
3.96MB ∙ PDF file
Download Download
![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Model Free Pricing And Hedging Of Forward Starting
84.1KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Pricing Swaps And Options On Quadratic Variation Under
482KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
More Than You Ever Wanted To Know About Volatility Swaps
475KB ∙ PDF file
Download Download
![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Constant Elasticity Of Variance (cev) Option Pricing Model
165KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
[risk Magazine, Castagna] The Vanna Volga Method For Implied Volatilities
495KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Forecasting Implied Volatility Surface Dynamics Of Equity Options
2.24MB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Local Volatility Surface Based On Lognormal Mixture Model
2.48MB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
How Does The Volatility Of Volatility Depend On Volatility
7.04MB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Option Pricing Channels, Target Zones And Sideways Markets
162KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
On The Joint Dynamics Of The Spot And The Implied
452KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
On Smile Properties Of Volatility Derivatives And
1.59MB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
Vanna Volga And Smile Consistent Implied Volatility Surface Of Equity Index Option
666KB ∙ PDF file
Download Download![](https://substackcdn.com/image/fetch/f_auto,q_auto:good,fl_progressive:steep/https%3A%2F%2Fsubstack.com%2Fimg%2Fattachment_icon.svg)
The Joint S P 500vix Smile Calibration Puzzle Solved
3.1MB ∙ PDF file
Download Download