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
Download DownloadWhen You Hedge Discretely Optimization Of Sharpe Ratio For Delta Hedging Strategy Under Discrete Hedging And Transaction Costs
906KB ∙ PDF file
Download DownloadIntraday Patterns In Foreign Exchange Returns And Realized Volatility
448KB ∙ PDF file
Download DownloadDetermining Optimal Trading Rules Without Backtesting
2.29MB ∙ PDF file
Download DownloadDetermining Optimal Trading Rules Without Backtesting
2.29MB ∙ PDF file
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Implied Correlation For Pricing Multi Fx Options
42.4KB ∙ PDF file
Download DownloadHow Does The Daily Volatility Of Foreign Exchange Rates Depend On The Time Of Day
2.72MB ∙ PDF file
Download DownloadToward 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
Download DownloadForecasting Realized Volatility With Random Forest Algorithm
424KB ∙ PDF file
Download DownloadA 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
Download DownloadModeling Flash Crash Behavior In A Stock Market Using
1.2MB ∙ PDF file
Download DownloadMicrostructure Noise The Use Of Two Scales Realized Volatility F
968KB ∙ PDF file
Download DownloadInvestigation Of Flash Crash Via Topological Data
4.67MB ∙ PDF file
Download DownloadWhat Happened May 6 2010 Anatomy Of The Flash Crash
257KB ∙ PDF file
Download DownloadStatistical Mechanics Of Price Stabilization And Destabilization
349KB ∙ PDF file
Download DownloadSome 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
Download DownloadStrike Adjusted Spread A New Metric For Estimating The Value Of Equity Options
204KB ∙ PDF file
Download DownloadStochastic Implied Trees Arbitrage Pricing With Stochastic Term Adn Strike Structure Of Volatility
513KB ∙ PDF file
Download DownloadRegimes Of Volatility Some Observations On The Variation Of S P 500 Implied Volatilities
2.35MB ∙ PDF file
Download DownloadEnhanced Numerical Methods For Options With Barriers
315KB ∙ PDF file
Download DownloadWhen You Cannot Hedge Continuously The Corrections To Black Scholes
67.6KB ∙ PDF file
Download DownloadThe 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
Download DownloadA New Simple Approach For Vol Surface Construction
314KB ∙ PDF file
Download DownloadA Model Free Backward And Forward Nonlinear Pdes For Implied Volatility
763KB ∙ PDF file
Download DownloadOn The Hedging Of Options On Exploding Exchange Rates
381KB ∙ PDF file
Download DownloadPricing Variance Swaps On Time Changed Markov Processes
608KB ∙ PDF file
Download DownloadLeverage Effect, Volatility Feedback, And Self Exciting Market Disruptions
489KB ∙ PDF file
Download DownloadJointly Modeling Of Vix And Spx Options At A Single And Common Maturity With Risk Management Applications
701KB ∙ PDF file
Download DownloadOption Profit And Loss Attribution And Pricing A New Framework
294KB ∙ PDF file
Download DownloadDetermining Optimal Trading Rules Without Backtesting
2.36MB ∙ PDF file
Download DownloadRealized Volatility And Variance Options Via Swaps
234KB ∙ PDF file
Download DownloadStochastic Risk Premiums, Stochastic Skewness In Currency Options, And Stochastic Discount Factors In International Economies
258KB ∙ PDF file
Download DownloadRobust Replication Of Barrier Style Claims On Price And Volatility
475KB ∙ PDF file
Download DownloadSemi Analytical Pricing Of Barrier Options In The Timedependent Heston Model
768KB ∙ PDF file
Download DownloadStock Options And Credit Default Swaps A Joint Framework For Valuation And Estimation
309KB ∙ PDF file
Download DownloadUsing Machine Learning To Predict Realized Variance
485KB ∙ PDF file
Download DownloadTime For A Change The Variance Gamma Model And Option Pricing
416KB ∙ 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
Download DownloadStatistical Mechanics Of Price Stabilization And Destabilization
349KB ∙ PDF file
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Estimating The Hurst Parameter From Short Term Volatility
222KB ∙ PDF file
Download DownloadAsymmetric Effects Of The Limit Order Book On Price Dynamics
285KB ∙ PDF file
Download DownloadFrom Microscopic Price Dynamics To Multidimensional Rough Volatility Models
349KB ∙ PDF file
Download DownloadFrom Quad Hawkes Processes To Superheston Rough Volatility Models With Zumbach Effect
273KB ∙ PDF file
Download DownloadFractional Brownian Motion With Zero Hurst Parameter A Rough Volatility Viewpoint
170KB ∙ PDF file
Download DownloadFunctional Quantization Of Rough Volatility And Applications To The Vix
1.1MB ∙ PDF file
Download DownloadFractional Black Scholes Option Pricing, Volatility Calibration And Implied Hurst Exponents
1.35MB ∙ PDF file
Download DownloadFoundations Of A Pathwise Volatility Framework With Explicit Fast Reversion Limits
1.36MB ∙ PDF file
Download DownloadMerton’s Portfolio Problem Under Volterra Heston Model
288KB ∙ PDF file
Download DownloadMarkovian Approximation Of The Rough Bergomi Model For Monte Carlo Option Pricing
632KB ∙ PDF file
Download DownloadMultilevel Monte Carlo Simulation For Vix Options In The Rough Bergomi Model
665KB ∙ PDF file
Download DownloadIs The Variance Swap Rate Affine In The Spot Variance
576KB ∙ PDF file
Download DownloadOn Smile Properties Of Volatility Derivatives And Exotic Products Understanding The Vix Skew
1.59MB ∙ PDF file
Download DownloadOn The Martingale Property In The Rough Bergomi Model
153KB ∙ PDF file
Download DownloadPath Properties Of A Generalized Fractional Brownian Motion
246KB ∙ PDF file
Download DownloadPrecise Asymptotics Robust Stochastic Volatility Models
629KB ∙ PDF file
Download DownloadOn The Skew And Curvature Of Implied And Local Volatilities
147KB ∙ PDF file
Download DownloadThe Microstructural Foundations Of Leverage Effect And Rough Volatility
339KB ∙ PDF file
Download DownloadThe Quadratic Rough Heston Model And Joint Spx Vix
548KB ∙ PDF file
Download DownloadThe Multiplicative Chaos Of H 0 Fractional Brownian Fields
833KB ∙ PDF file
Download DownloadStrong Convergence Rates For Markovian Representations Of Fractional Brownian Motion
4.27MB ∙ PDF file
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Option Profit And Loss Attribution And Pricing A New Framework
254KB ∙ PDF file
Download DownloadDetermining 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
Download DownloadDupire 2006 Model Free Results On Volatility Derivatives
755KB ∙ PDF file
Download DownloadLeverage Effect Volatility Feedback And Self Excitingmarket Disruptions
622KB ∙ PDF file
Download DownloadStatistics 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
Download DownloadForecasting Realized Volatility With Kernel Ridge Regression
210KB ∙ PDF file
Download DownloadOn The Skew And Curvature Of Implied And Local Volatilities
147KB ∙ PDF file
Download DownloadDriftandvolatilityestimationelliotthunterjamieson
510KB ∙ PDF file
Download DownloadStochastic Volatility Mean Drift And Jumps In The
405KB ∙ PDF file
Download DownloadUsing Machine Learning To Predict Realized Variance
485KB ∙ PDF file
Download DownloadVolatility 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
Download DownloadPricing Swaps And Options On Quadratic Variation Under
482KB ∙ PDF file
Download DownloadMore Than You Ever Wanted To Know About Volatility Swaps
475KB ∙ PDF file
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Constant Elasticity Of Variance (cev) Option Pricing Model
165KB ∙ PDF file
Download Download[risk Magazine, Castagna] The Vanna Volga Method For Implied Volatilities
495KB ∙ PDF file
Download DownloadForecasting Implied Volatility Surface Dynamics Of Equity Options
2.24MB ∙ PDF file
Download DownloadLocal Volatility Surface Based On Lognormal Mixture Model
2.48MB ∙ PDF file
Download DownloadHow Does The Volatility Of Volatility Depend On Volatility
7.04MB ∙ PDF file
Download DownloadOption Pricing Channels, Target Zones And Sideways Markets
162KB ∙ PDF file
Download DownloadOn The Joint Dynamics Of The Spot And The Implied
452KB ∙ PDF file
Download DownloadOn Smile Properties Of Volatility Derivatives And
1.59MB ∙ PDF file
Download DownloadVanna Volga And Smile Consistent Implied Volatility Surface Of Equity Index Option
666KB ∙ PDF file
Download DownloadThe Joint S P 500vix Smile Calibration Puzzle Solved
3.1MB ∙ PDF file
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