Research
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.

168,742 papers · 148 categories

Trend · papers per month

count% of corpus
0111 · Sep 201619922001200920172026
3 results for “W-shape”
W-shaped implied volatility curves in a variance-gamma mixture modelq-fin.MF

W-shaped vol curves in liquid options can be modeled with two variance-gamma models.

problem Reproducing W-shaped implied volatility curves in liquid option markets.
method Using a mixture of two variance-gamma models.
result W-shaped vol curves can be generated with fewer distributions (two) compared to lognormal models (at least three).
implied volatilityvariance-gamma modelliquid optionsW-shapevolatility curves
2022-09-29abs ↗pdf ↗
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.
SDFStochastic Discount FactorOption PricesEquity PremiumTime-Varying Volatility
2026-07-09abs ↗pdf ↗