This week the pipeline scored 43 new papers. Here are the 10 strongest by our rigor-weighted score (how scoring works).
1. Dyson-Schwinger Effective-Action Methods for Rough Volatility: A Correlation-Response Architecture for Calibration, Exotics and Risk
Holy Grail · Math 9.5/10 · Rigor 7.0/10 · Volatility, Options & Derivatives
We develop a non-perturbative framework for stochastic-volatility option pricing organised by the two-particle-irreducible (2PI) effective action and the Dyson-Schwinger gap equations of quantum field theory. In log-price, log-volatility or Lamperti coordinates, the joint law of the state variables…
2. Jacobian Rank Collapse in Decision-Focused Learning
Holy Grail · Math 7.5/10 · Rigor 8.0/10
Decision-focused learning (DFL) trains predictors through downstream objectives, but a different loss need not provide an independent parameter-update direction. We characterize this restriction through the predictor Jacobian, using sparse index tracking to distinguish the covariance entries read by…
3. Magic strikes for variance and gamma contracts, and other attainable claims
Holy Grail · Math 9.0/10 · Rigor 7.0/10 · Volatility, Options & Derivatives
Building on the forest expansion of Alòs, Gatheral and Radoičić and on the explicit Bergomi-Guyon smile expansion derived by Bourgey and Gatheral (2026), we derive fixed-point approximations, in terms of the implied total variance at a small number of magic strikes, for the fair values of power payo…
4. Retrieval-Augmented Diffusion Modeling for Stochastic Discount Factor Portfolios
Holy Grail · Math 7.5/10 · Rigor 8.0/10 · Portfolio Optimization
In this work, we study portfolio optimization under the stochastic discount factor (SDF) framework by learning market state representations that capture the underlying risk structures of financial data. This is challenging due to several factors: financial markets exhibit non-stationary dynamics wit…
5. On the Pricing of American Options under Stochastic Local Volatility and Stochastic Correlation via the RBSDE Framework
Holy Grail · Math 9.0/10 · Rigor 7.0/10 · Options & Derivatives, Volatility
In this work, we study the pricing of American options under stochastic local volatility (SLV) models extended by including stochastic correlation driven by an additional stochastic process. We generalize the class of SLV models by incorporating a flexible stochastic correlation structure. To price…
6. Information Games: Strategic Crowding and Firm Repositioning in Language-Model Space
Holy Grail · Math 8.5/10 · Rigor 7.0/10
Firms follow changing economic opportunities, but rivalry changes their response. We develop ESCAPE, a rational-share game of distribution-valued positioning with heterogeneous capability costs, establish a unique equilibrium, and derive an exact reallocation restriction separating opportunity and c…
7. Deep kernel hedging
Holy Grail · Math 8.5/10 · Rigor 7.0/10 · Machine Learning, Options & Derivatives
We introduce a deep kernel hedging framework that combines the flexibility of deep learning with the structural inductive bias of kernel methods. The hedging functional is restricted to a reproducing kernel Hilbert space whose kernel is parameterized through a neural network embedding of the input f…
8. Oracle-Parametrized Constant Function Market Makers: From Price Feeds to Pricing Rules
Holy Grail · Math 8.5/10 · Rigor 7.0/10 · Crypto & DeFi, Market Microstructure
This paper introduces oracle-parametrized automated market makers (OP-AMMs), i.e., automated market makers whose quoted price depends jointly on the pool reserves and an external oracle price. In doing so, we extend the information-agnostic AMM framework to settings, such as tokenized securities, fo…
9. A Spread-Gated Hawkes-Flocking Model for Best Bid and Ask Dynamics, with an Application to Limit Order Placement
Holy Grail · Math 8.0/10 · Rigor 7.0/10 · Market Microstructure, HFT & Execution
We study the joint dynamics of the best bid and ask prices with a spread-gated Hawkes-flocking model. The model tracks four types of best-quote movements: spread-narrowing movements are switched off when the spread is at its one-tick minimum, and a cross-side excitation term, whose activation depend…
10. Multiperiod bond portfolio optimization with transaction costs using a Markov Decision process
Holy Grail · Math 8.0/10 · Rigor 7.0/10 · Fixed Income, Reinforcement Learning
Bank treasury portfolios must balance yield, liquidity, and interest-rate risk across bonds of different maturities. Static allocation rules are ill-suited to this task: portfolios concentrated in long-duration securities with no dynamic adjust- ment mechanism can accumulate large mark-to-market los…
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