Research Catalog¶

This is the single canonical browse page for persistent work records. Each work appears once under a deterministic primary topic; secondary topics and the bibliographic source remain visible in the table.

Works: 35

Option Returns¶

Work	Year	Other topics	Bibliographic source
Volatility Disagreement in the Options Market	2026	Volatility & Implied Volatility Surfaces, Financial Machine Learning	NBER Asset Pricing
Jump risk premia in the presence of clustered jumps	2025	Volatility & Implied Volatility Surfaces	arXiv Quantitative Finance History

Option Market Microstructure¶

Work	Year	Other topics	Bibliographic source
Axiomatic Market Making	2026	—	arXiv Quantitative Finance History
Option market making with hedging-induced market impact	2026	Execution & Trading Costs	arXiv Quantitative Finance History
The Privacy Subsidy in Glosten-Milgrom: Bid-Ask Spread and Welfare under Flip-Noise Direction Observation	2026	Execution & Trading Costs, Research Methods & Robustness	arXiv Quantitative Finance History
The self-exciting nature of the bid-ask spread dynamics	2023	Execution & Trading Costs	arXiv Quantitative Finance History
Multivariate Realized Volatility Forecasting with Graph Neural Network	2021	Volatility & Implied Volatility Surfaces, Financial Machine Learning	arXiv Quantitative Finance History
MVA Transfer Pricing	2016	Execution & Trading Costs	arXiv Quantitative Finance History
Continuous-time Modeling of Bid-Ask Spread and Price Dynamics in Limit Order Books	2013	Execution & Trading Costs	arXiv Quantitative Finance History
Dynamics of Bid-ask Spread Return and Volatility of the Chinese Stock Market	2011	Execution & Trading Costs	arXiv Quantitative Finance History
"Market making" behaviour in an order book model and its impact on the bid-ask spread	2010	Execution & Trading Costs	arXiv Quantitative Finance History
Volatility Information Trading in the Option Market	2008	Volatility & Implied Volatility Surfaces	The Journal of Finance

Financial Machine Learning¶

Work	Year	Other topics	Bibliographic source
A Geometry-Aware Residual Correction of Hagan's SABR Implied Volatility Formula	2026	Volatility & Implied Volatility Surfaces, Research Methods & Robustness	arXiv Quantitative Finance History
Finance-Informed Neural Network: Learning the Geometry of Option Pricing	2026	Volatility & Implied Volatility Surfaces, Research Methods & Robustness	arXiv Quantitative Finance History
Machine learning for option pricing: an empirical investigation of network architectures	2026	Volatility & Implied Volatility Surfaces	arXiv Quantitative Finance History
Quantum Reservoir Computing for Realized Volatility Forecasting	2026	Volatility & Implied Volatility Surfaces	arXiv Quantitative Finance History
Volatility Surface Reconstruction using Deep Learning under No-Arbitrage Constraints	2026	Volatility & Implied Volatility Surfaces	arXiv Quantitative Finance History
Deep Learning Option Pricing with Market Implied Volatility Surfaces	2025	Volatility & Implied Volatility Surfaces	arXiv Quantitative Finance History
Operator Deep Smoothing for Implied Volatility	2025	Volatility & Implied Volatility Surfaces	arXiv Quantitative Finance History
From GARCH to Neural Network for Volatility Forecast	2024	Volatility & Implied Volatility Surfaces	arXiv Quantitative Finance History
Whack-a-mole Online Learning: Physics-Informed Neural Network for Intraday Implied Volatility Surface	2024	Volatility & Implied Volatility Surfaces	arXiv Quantitative Finance History
Volatility Forecasting with Machine Learning and Intraday Commonality	2023	Volatility & Implied Volatility Surfaces, Research Methods & Robustness	Oxford-Man Institute
HARNet: A Convolutional Neural Network for Realized Volatility Forecasting	2022	Volatility & Implied Volatility Surfaces	arXiv Quantitative Finance History
Incorporating prior financial domain knowledge into neural networks for implied volatility surface prediction	2021	Volatility & Implied Volatility Surfaces	arXiv Quantitative Finance History
On Calibration Neural Networks for extracting implied information from American options	2020	Volatility & Implied Volatility Surfaces	arXiv Quantitative Finance History
Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism	2019	Volatility & Implied Volatility Surfaces	arXiv Quantitative Finance History
Online Adaptive Machine Learning Based Algorithm for Implied Volatility Surface Modeling	2018	Volatility & Implied Volatility Surfaces	arXiv Quantitative Finance History

Volatility & Implied Volatility Surfaces¶

Work	Year	Other topics	Bibliographic source
Synthetic American Option Pricing via Jump-HMM-Driven Heston Implied Volatility	2026	Research Methods & Robustness	arXiv Quantitative Finance History
Volatility Forecasting and Return Prediction under Market Regimes: Evidence from High-Frequency Chinese Equity Data	2026	Research Methods & Robustness	arXiv Quantitative Finance History
Pricing VIX Futures and Options With Good and Bad Volatility of Volatility	2024	Research Methods & Robustness	Journal of Futures Markets
Option Pricing with State-dependent Pricing Kernel	2022	Research Methods & Robustness	arXiv Quantitative Finance History
The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets	2020	Research Methods & Robustness	arXiv Quantitative Finance History
Implied volatility surface predictability: the case of commodity markets	2019	Research Methods & Robustness	arXiv Quantitative Finance History
Modeling and Forecasting Persistent Financial Durations	2013	Research Methods & Robustness	arXiv Quantitative Finance History
THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE	2011	—	Mathematical Finance