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

Which Free Lunch Would You Like Todaysir Deltahedgingvolatility
1.19MB ∙ PDF file
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When You Hedge Discretely Optimization Of Sharpe Ratio For Delta Hedging Strategy Under Discrete Hedging And Transaction Costs
906KB ∙ PDF file
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Intraday Patterns In Foreign Exchange Returns And Realized Volatility
448KB ∙ PDF file
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Determining Optimal Trading Rules Without Backtesting
2.29MB ∙ PDF file
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Determining Optimal Trading Rules Without Backtesting
2.29MB ∙ PDF file
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Implied Correlation For Pricing Multi Fx Options
42.4KB ∙ PDF file
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Fx Options And Structured Products 04700114591
5.52MB ∙ PDF file
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How Does The Daily Volatility Of Foreign Exchange Rates Depend On The Time Of Day
2.72MB ∙ PDF file
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Toward An Efficient Hybrid Method For Pricing Barrier Options
1.78MB ∙ PDF file
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Using Machine Learning To Predict Realized Variance
485KB ∙ PDF file
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Forecasting Realized Volatility With Random Forest Algorithm
424KB ∙ PDF file
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A Neural Network Approach To Understanding Implied Volatility
1.02MB ∙ PDF file
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An Approximate Solution For Options Market Making In High Order
915KB ∙ PDF file
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Modeling Flash Crash Behavior In A Stock Market Using
1.2MB ∙ PDF file
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Microstructure Noise The Use Of Two Scales Realized Volatility F
968KB ∙ PDF file
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Investigation Of Flash Crash Via Topological Data
4.67MB ∙ PDF file
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What Happened May 6 2010 Anatomy Of The Flash Crash
257KB ∙ PDF file
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Statistical Mechanics Of Price Stabilization And Destabilization
349KB ∙ PDF file
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Some Statistical Properties Of The Mini Flash Crashes
2.17MB ∙ PDF file
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How To Value And Hedge Options On Foreign Indexes
120KB ∙ PDF file
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Implied Trinomial Trees Of The Volatility Smile
148KB ∙ PDF file
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Strike Adjusted Spread A New Metric For Estimating The Value Of Equity Options
204KB ∙ PDF file
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Stochastic Implied Trees Arbitrage Pricing With Stochastic Term Adn Strike Structure Of Volatility
513KB ∙ PDF file
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Regimes Of Volatility Some Observations On The Variation Of S P 500 Implied Volatilities
2.35MB ∙ PDF file
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Enhanced Numerical Methods For Options With Barriers
315KB ∙ PDF file
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When You Cannot Hedge Continuously The Corrections To Black Scholes
67.6KB ∙ PDF file
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Valuing Options On Periodically Settled Stocks
335KB ∙ PDF file
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The Local Volatility Surface Unlocking The Information In Index Option Prices
552KB ∙ PDF file
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Analyzing Volatility Risk And Risk Premium In Option Contracts
473KB ∙ PDF file
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A New Simple Approach For Vol Surface Construction
314KB ∙ PDF file
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A Model Free Backward And Forward Nonlinear Pdes For Implied Volatility
763KB ∙ PDF file
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Options On Realized Variance And Convex Orders
259KB ∙ PDF file
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On The Hedging Of Options On Exploding Exchange Rates
381KB ∙ PDF file
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Pricing Variance Swaps On Time Changed Markov Processes
608KB ∙ PDF file
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Leverage Effect, Volatility Feedback, And Self Exciting Market Disruptions
489KB ∙ PDF file
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Jointly Modeling Of Vix And Spx Options At A Single And Common Maturity With Risk Management Applications
701KB ∙ PDF file
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Option Profit And Loss Attribution And Pricing A New Framework
294KB ∙ PDF file
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Determining Optimal Trading Rules Without Backtesting
2.36MB ∙ PDF file
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Realized Volatility And Variance Options Via Swaps
234KB ∙ PDF file
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Stochastic Risk Premiums, Stochastic Skewness In Currency Options, And Stochastic Discount Factors In International Economies
258KB ∙ PDF file
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Robust Replication Of Barrier Style Claims On Price And Volatility
475KB ∙ PDF file
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Semi Analytical Pricing Of Barrier Options In The Timedependent Heston Model
768KB ∙ PDF file
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Stock Options And Credit Default Swaps A Joint Framework For Valuation And Estimation
309KB ∙ PDF file
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Using Machine Learning To Predict Realized Variance
485KB ∙ PDF file
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Time For A Change The Variance Gamma Model And Option Pricing
416KB ∙ PDF file
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Efma 2021 Stage 2049 Question Full Paper Id 224
594KB ∙ PDF file
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Toward An Efficient Hybrid Method For Pricing
1.78MB ∙ PDF file
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Optionpricingcomparingbachelierandbs Mmarch2016final
1.55MB ∙ PDF file
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Market Fragility And International Market Crashes
287KB ∙ PDF file
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Statistical Mechanics Of Price Stabilization And Destabilization
349KB ∙ PDF file
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A Partial Rough Path Space For Rough Volatility
306KB ∙ PDF file
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Estimating The Hurst Parameter From Short Term Volatility
222KB ∙ PDF file
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Asymmetric Effects Of The Limit Order Book On Price Dynamics
285KB ∙ PDF file
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From Microscopic Price Dynamics To Multidimensional Rough Volatility Models
349KB ∙ PDF file
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From Quad Hawkes Processes To Superheston Rough Volatility Models With Zumbach Effect
273KB ∙ PDF file
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Fractional Brownian Motion With Zero Hurst Parameter A Rough Volatility Viewpoint
170KB ∙ PDF file
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Functional Quantization Of Rough Volatility And Applications To The Vix
1.1MB ∙ PDF file
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Fractional Black Scholes Option Pricing, Volatility Calibration And Implied Hurst Exponents
1.35MB ∙ PDF file
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Foundations Of A Pathwise Volatility Framework With Explicit Fast Reversion Limits
1.36MB ∙ PDF file
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Merton’s Portfolio Problem Under Volterra Heston Model
288KB ∙ PDF file
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Markovian Approximation Of The Rough Bergomi Model For Monte Carlo Option Pricing
632KB ∙ PDF file
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Multilevel Monte Carlo Simulation For Vix Options In The Rough Bergomi Model
665KB ∙ PDF file
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Is The Variance Swap Rate Affine In The Spot Variance
576KB ∙ PDF file
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On Smile Properties Of Volatility Derivatives And Exotic Products Understanding The Vix Skew
1.59MB ∙ PDF file
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On The Martingale Property In The Rough Bergomi Model
153KB ∙ PDF file
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Path Properties Of A Generalized Fractional Brownian Motion
246KB ∙ PDF file
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Precise Asymptotics Robust Stochastic Volatility Models
629KB ∙ PDF file
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On The Skew And Curvature Of Implied And Local Volatilities
147KB ∙ PDF file
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Riskofbitcoinmarketvolatilityjumpsandforecasts
3.84MB ∙ PDF file
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The Microstructural Foundations Of Leverage Effect And Rough Volatility
339KB ∙ PDF file
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The Quadratic Rough Heston Model And Joint Spx Vix
548KB ∙ PDF file
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Stock Returns And Roughness Extreme Variations
1.45MB ∙ PDF file
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The Multiplicative Chaos Of H 0 Fractional Brownian Fields
833KB ∙ PDF file
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Strong Convergence Rates For Markovian Representations Of Fractional Brownian Motion
4.27MB ∙ PDF file
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Vol Of Vol Expansion For (rough) Stochastic(1)
286KB ∙ PDF file
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Option Profit And Loss Attribution And Pricing A New Framework
254KB ∙ PDF file
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Determining Optimal Trading Rules Without Backtesting
2.29MB ∙ PDF file
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A Note On Trading The Term Structure Of Vix Futures
992KB ∙ PDF file
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Dupire 2006 Model Free Results On Volatility Derivatives
755KB ∙ PDF file
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Leverage Effect Volatility Feedback And Self Excitingmarket Disruptions
622KB ∙ PDF file
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Statistics Of Vix Futures And Applications To Trading
3.68MB ∙ PDF file
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Forecasting Volatility Based On Wavelet Support Vector Machine Przejrzane
193KB ∙ PDF file
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Forecasting Realized Volatility With Kernel Ridge Regression
210KB ∙ PDF file
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On The Skew And Curvature Of Implied And Local Volatilities
147KB ∙ PDF file
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Driftandvolatilityestimationelliotthunterjamieson
510KB ∙ PDF file
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Volatility Cones And Their Sampling Properties
145KB ∙ PDF file
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Stochastic Volatility Mean Drift And Jumps In The
405KB ∙ PDF file
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Using Machine Learning To Predict Realized Variance
485KB ∙ PDF file
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Volatility Estimation Methods For High Frequency
3.96MB ∙ PDF file
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Model Free Pricing And Hedging Of Forward Starting
84.1KB ∙ PDF file
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Pricing Swaps And Options On Quadratic Variation Under
482KB ∙ PDF file
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More Than You Ever Wanted To Know About Volatility Swaps
475KB ∙ PDF file
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Options On Realized Variance And Convex Orders
1000KB ∙ PDF file
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Constant Elasticity Of Variance (cev) Option Pricing Model
165KB ∙ PDF file
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[risk Magazine, Castagna] The Vanna Volga Method For Implied Volatilities
495KB ∙ PDF file
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Forecasting Implied Volatility Surface Dynamics Of Equity Options
2.24MB ∙ PDF file
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Local Volatility Surface Based On Lognormal Mixture Model
2.48MB ∙ PDF file
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How Does The Volatility Of Volatility Depend On Volatility
7.04MB ∙ PDF file
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Numerical Simulation Of The Heston Model Under
350KB ∙ PDF file
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Option Pricing Channels, Target Zones And Sideways Markets
162KB ∙ PDF file
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On The Joint Dynamics Of The Spot And The Implied
452KB ∙ PDF file
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On Smile Properties Of Volatility Derivatives And
1.59MB ∙ PDF file
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Vanna Volga And Smile Consistent Implied Volatility Surface Of Equity Index Option
666KB ∙ PDF file
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The Joint S P 500vix Smile Calibration Puzzle Solved
3.1MB ∙ PDF file
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