On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,657 papers · 148 categories

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← all fields·4 papers on “stochastic volatility” in Quant Finance · 1 month

Estimating the Stochastic Discount Factor from Option Prices and Predicting the Equity Premiumq-fin.MF

The paper proposes a new SDF scaled by time-varying volatility from S&P 500 options.

problem Estimating the SDF from option prices and predicting the equity premium.

method Utilizes S&P 500 options data to recover a stable, non-monotonic SDF.

result The SDF exhibits a hump on the put side, which transitions into a W-shape with maturity.

SDF Stochastic Discount Factor Option Prices Equity Premium Time-Varying Volatility

2026-07-09abs ↗pdf ↗

Signature-based identification of volatility models from path geometryq-fin.CP

The study identifies volatility models from path geometry using signature-based methods.

problem Identifying different stochastic volatility models from observed data.

method Mapping volatility trajectories into a feature space via truncated path signatures and applying a gradient boosting classifier.

result The method achieves high classification accuracy across various volatility dynamics and parameter settings.

stochastic volatility path geometry signature-based gradient boosting volatility dynamics

2026-07-07abs ↗pdf ↗

Hedging Maturity-Specific Risk in Forward Curve Derivatives under Stochastic Volatilityq-fin.MF

Study variance-optimal hedging of forward curve derivatives under stochastic volatility.

problem Variance-optimal hedging of forward curve derivatives with stochastic volatility.

method Assumes HJM-Musiela dynamics modulated by stochastic covariance, uses Galtchouk-Kunita-Watanabe projection.

result Density of finite-maturity strategies, convergence of finite-rank projections, decomposition of hedging error.

Variance-optimal hedging Forward curve derivatives Stochastic volatility Galtchouk-Kunita-Watanabe projection HJM-Musiela dynamics

2026-06-27abs ↗pdf ↗

Matrix Approximation of Bachelier Option Prices and Greeks under Stochastic Volatility modelsq-fin.PR

Matrix approximation method for Bachelier option pricing and Greeks under stochastic volatility models

problem Computing option prices and Greeks for stochastic volatility models

method Matrix approximation using elementary linear algebra

result Option prices and Greeks computed for infinitely many strikes with a finite number of expectations

matrix approximation Bachelier option pricing stochastic volatility Greeks SABR model

2026-06-24abs ↗pdf ↗