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20 OctTue
  1. arXiv q-fin40

    Arbitrage-Aware Probabilistic Multi-Step Forecasting of the Implied Volatility Surface: Jointly Generating Surface-Return Trajectories with Latent Diffusion

    The study proposes a conditional latent diffusion framework that jointly generates 30-step trajectories of the implied volatility surface and underlying returns. It learns surface representations through an arbitrage-aware autoencoder, with the diffusion process capturing the evolution dynamics. The framework is evaluated on the SPX surface dataset and can generate realistic probabilistic multi-step scenarios, with its forecast mean outperforming the persistence benchmark for horizons beyond the shortest maturity.

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  2. arXiv q-fin46

    A Latent Flow Matching Method for Arbitrage-Aware Implied Volatility Surface Generation

    This paper proposes an arbitrage-aware latent flow matching framework for unconditional generation of implied volatility surfaces. The framework first compresses high-dimensional surfaces into a low-dimensional latent space using a variational autoencoder with differentiable penalty regularization for calendar spreads, call spreads, and butterfly arbitrage. A flow matching model then learns to map a Gaussian prior to the empirical latent distribution, which is finally decoded back to a volatility surface. This method can generate 90.8% of surfaces that satisfy all tested static no-arbitrage conditions, performs best in the extreme Q99 range, and balances distributional similarity, tail preservation, and financial consistency without post-sampling reweighting.

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  3. arXiv q-fin45

    No-Arbitrage Implied Volatility Surface Reconstruction via Additive Martingales

    This paper proposes AddMart, a few-shot implied volatility surface reconstruction framework that embeds no-arbitrage structure into the architecture to achieve global static no-arbitrage, enabling continuous and valid surface generation from a small number of option quotes. Experiments on 10 real-world option datasets show that the framework delivers competitive reconstruction accuracy with no significant static arbitrage violations, and can be directly applied to VaR, CVaR and crash probability estimation.

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  4. arXiv q-fin31

    Pricing and Hedging Framework for Infinite-Dimensional Financial Markets

    This study extends the classical Black-Scholes market framework to infinite-dimensional scenarios, modeling asset prices with stochastic evolution equations in separable Hilbert spaces, deriving an infinite-dimensional Black-Scholes equation, and establishing exact replication results for strong solutions and asymptotic replication results for weak solutions. The study also introduces Hilbert lattice structures to characterize no-arbitrage conditions, provides sufficient conditions for the existence and uniqueness of equivalent risk-neutral measures, and explicit pricing formulas for some tractable cases; the model can be interpreted as a segmented market composed of a series of one-dimensional geometric Brownian motions.

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  7. arXiv q-fin53

    Research on Inferring Implied Risk-Neutral Density from Irregular Option Quotes

    Published at ICAIF 2026, this study finds that accurate option prices do not necessarily mean accurate recovery of the underlying risk-neutral density. By comparing synthetic simulation benchmarks with out-of-sample NIFTY option benchmarks, the research reveals that the two-component lognormal mixture model demonstrates overall pricing performance on synthetic benchmarks.

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19 OctMon
  3. Quantocracy31

    Quantocracy's Latest Quant Research Link Roundup as of October 18, 2026

    Quantocracy has compiled the latest quant research-related links as of October 18, 2026, covering topics including trend following, futures continuous contract construction, in-sample to out-of-sample Sharpe ratio decay, the impact of liquidity on stock returns and option pricing, and cryptocurrency cross-sectional trend factors. One study based on 12 commodity futures found that the expected retention ratio of in-sample Sharpe ratios from a 10-year backtest on new data is 30%.

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  4. arXiv q-fin33

    Power-Law Relationship Between Skew and Curvature in Stochastic Volatility Models with Infinite Variation Lévy Jumps

    This paper focuses on the impact of hybrid dynamics (rough volatility and infinite variation Lévy processes) on the implied volatility skew and curvature of at-the-money options. By analyzing the leading terms of their short-time expansions, the origin mechanism of the power-law behavior of skew and curvature can be determined from the hybrid dynamics model. The paper confirms that hybrid models also produce power-law relationships, and the relevant conclusions are crucial for model design and calibration. Numerical evidence for the rough Heston model with CGMY Lévy jumps is also provided.

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  5. arXiv q-fin35

    Pricing Generalized Discrete Swaps under Multi-Asset Stochastic Volatility Models

    This paper proposes a generalized variance framework based on the determinant of the instantaneous covariance matrix of asset log returns for pricing multi-asset discrete swaps, which captures the joint discreteness of multivariate asset returns while accounting for their dependence structure. The framework is constructed under Heston and Barndorff-Nielsen-Shephard (BNS) stochastic volatility models, deriving analytical pricing expressions for the three-asset Heston model and tractable approximations for the corresponding BNS model.

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18 OctSun
  1. Moontower46

    When Intelligence Becomes as Cheap as Sunlight

    Moontower has released this issue, mentioning the Metagame event held at Lighthaven in Berkeley from November 6 to 8. Moontower readers can enjoy a $50 discount on regular tickets. This issue also shares AI-related thoughts, TIPS investment analysis, crude oil market learning resources, and pre-sale information for "How I Invest Volume 2", which will be shipped on October 20.

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17 OctSat
16 OctFri
  4. NautilusTrader：GitHub Releases49

    NautilusTrader 2.0.0rc7 Released

    NautilusTrader 2.0.0rc7 was released on October 15 (UTC), removing Python 3.12 support and adding compatibility with Python 3.13 and 3.14. This update adds features such as negative price support for futures, local calendar-based scheduled dispatch, batch order book incremental replay, and CME Globex option candidate IDs, while also including multiple breaking changes to interfaces and configurations.

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15 OctThu
14 OctWed
  1. News Search: U.S. Options Rules and New Contracts27

    TradeStation to Launch After-Hours Options Trading

    TradeStation is set to launch after-hours options trading. Currently, public information only mentions that the service is coming soon, without disclosing the specific effective date, applicable options contract scope, or details of related trading rules.

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13 OctTue
  1. QuantLib：GitHub Releases49

    QuantLib 1.44 Released

    QuantLib 1.44 has been officially released, available for download as both QuantLib-1.44.tar.gz and QuantLib-1.44.zip. This version removes features deprecated in version 1.39, adds several new features, and deprecates a batch of features that will be removed in a future version (expected to be 1.49). This version can still be tested with Visual C++ 2017, but subsequent versions may no longer support this compiler.

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12 OctMon
  1. HKEX: Press Releases65

    HKEX to Launch 12 Stock Options with Both Weekly and Monthly Expirations on November 9, 2026

    HKEX announced that it will launch 12 single-stock options on November 9, 2026, with the new contracts offering both weekly and monthly expiration options starting from the first trading day.

    Key Takeaways:The announcement lists the underlying assets, contract multipliers, and expiration arrangements for the 12 newly added stock options, allowing options traders to match their own trading and risk management needs accordingly.

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11 OctSun
  1. Moontower54

    Moontower Launches Verticals Workflow for Scanning Vertical Spreads and Comparing Volatility-Adjusted Returns Across Underlying Assets

    Moontower has released the Verticals workflow, which allows directional traders to scan across underlying assets for the most cost-effective vertical spreads at a given displacement. Users can select the expiration date and displacements of ±0.5, ±1, or ±1.5 standard deviations. The system calculates the target strike price based on the underlying asset's own volatility surface and returns the tightest vertical spread constructed from adjacent strikes, which will be fully in-the-money if the stock price reaches the target at expiration.

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8 OctThu
  1. Alpha Architect69

    How Tail Risk Projects Survive the Waiting Period: From Two Failure Cases to an Eight-Step Due Diligence Framework

    This article treats the holding costs, behavioral pressures, and governance burdens of tail risk hedging during calm periods as design constraints rather than post-hoc inconveniences. The authors first break down three types of "bleeding" sources: direct holding costs, opportunity costs, and evaluation pressure, and provide a table of cumulative sleeve losses for different annualized carry rates over 3 to 15 years, as well as a table of portfolio-level annual drag converted by sleeve weight.

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7 OctWed
  1. Moontower58

    How to Express a Specific View Using Vertical Spreads: A Practical Review of an Options Trade Around Nike’s Earnings

    In a trading lab at the Robinhood Summit, the author used Nike’s (NKE) after-hours earnings release on October 1, 2025, as a backdrop to demonstrate how to express a specific directional view using vertical spreads. At the time, NKE traded around $36, and the $36 straddle implied an expected move of about $3 (8%). The author chose to buy the 38.5/39 call vertical for a premium of $0.12, which would pay $0.50 if the stock closed above $39 at expiration, for a risk-reward ratio of roughly 3:1.

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4 OctSun
  1. Moontower51

    Moontower Recaps Robinhood Summit Options Education: Kelly Criterion, Directional Value of Options, and Analysis of Unusual INTC Options Flow

    The author participated in an options buying education session and a roundtable for trading platform data providers at the Robinhood 2026 Summit in Houston, recapping the Kelly Criterion supporting course, the profit and loss comparison logic of buying options versus holding the underlying stock, and the analytical approach for unusual INTC options flow.

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30 SeptWed
  1. Deribit Insights38

    Block Scholes Week 40 Crypto Derivatives Market Analysis Report

    Block Scholes has released its Week 40 crypto derivatives market analysis report, noting that against a macro backdrop of rising oil prices, the ongoing U.S.-Iran Strait of Hormuz standoff, and deepening U.S. Treasury sell-offs, BTC prices have consolidated in the $82,000 to $84,000 range, while spot BTC and ETH ETFs have recorded net capital inflows for over 7 consecutive days.

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  2. OpenBB：GitHub Releases60

    OpenBB V5 Released: License Changed to Apache-2.0, Core, CLI, and Most Providers Upgraded to 2.0

    OpenBB has released the V5 major version line. The openbb meta-package is at 5.0.0, while the core, CLI, API, MCP server, router, and most providers are at 2.0.0. openbb-devtools is at 2.0.1, openbb-charting is at 4.0.0, and openbb-imf is at 3.0.0.

    Key Takeaways:OpenBB V5 changes the license to Apache-2.0 and migrates to hatchling/uv packaging, a layered openbb.toml configuration, and a CLI 2.0 spec file mechanism. These changes can be used to evaluate upgrade paths and available data sources.

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17 SeptThu
16 SeptWed
3 SeptThu
28 AugFri
  1. HKEX: Press Releases56

    HKEX announces weekly and monthly options will launch on SHEIN stock on its September 1 listing day, with derivative warrants permitted and the stock added to the designated securities list for short selling

    HKEX announced that on the first day of listing of SHEIN Global Holdings Limited (stock code: 625) on the HKEX securities market on September 1, 2026, weekly and monthly options on its stock will be launched simultaneously, issuers will be permitted to issue SHEIN derivative warrants on the listing day, and SHEIN stock will be added to the designated securities list for short selling.

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27 AugThu
  1. Deribit Insights40

    Block Scholes Weekly Crypto Derivatives Analysis: Week 35

    Block Scholes released its Week 35 crypto derivatives market review. Influenced by the U.S. Treasury's plan to expand Treasury repo operations and Trump pushing the Senate to pass the Clarity Act, BTC rose 20% over the past week, with its current price breaking through $80,000, and ETH rose 30%. The three major sentiment indicators in the derivatives market have repriced along with spot market movements. Options skew has turned positive, call option premiums have appeared in contracts with tenors of 7 days or more, funding rates remain positive, and the futures term structure is inverted.

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14 AugFri
  1. EDGAR 13F：Susquehanna14

    Susquehanna (SIG) Filed Its Q2 2026 13F-HR Holdings Report

    Options market maker Susquehanna (SIG) filed its 13F-HR quarterly holdings report with the SEC on 2026-08-14, for the reporting period ending 2026-06-30, which was accepted by the SEC on the same day. The report includes the main document and holdings information table, with the complete submission file number 0001446194-26-000008, available for review on the EDGAR platform.

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24 JulFri