4 papers
A Geometry-Aware Residual Correction of Hagan's SABR Implied Volatility Formula
Adil Reghai, Lama Tarsissi, Gérard Biau +1
This paper proposes a hybrid methodology to improve the approximation of SABR (Stochastic Alpha Beta Rho) implied volatility by combining analytical structure with machine learning…
A Geometric Approach To Asset Allocation With Investor Views
Alexandre V. Antonov, Koushik Balasubramanian, Alexander Lipton +1
In this article, a geometric approach to incorporating investor views in portfolio construction is presented. In particular, the proposed approach utilizes the notion of generalize…
Kelvin Waves, Klein-Kramers and Kolmogorov Equations, Path-Dependent Financial Instruments: Survey and New Results
Alexander Lipton
We discover several surprising relationships between large classes of seemingly unrelated foundational problems of financial engineering and fundamental problems of hydrodynamics a…
A closed-form solution for optimal mean-reverting trading strategies
Alexander Lipton, Marcos Lopez de Prado
When prices reflect all available information, they oscillate around an equilibrium level. This oscillation is the result of the temporary market impact caused by waves of buyers a…