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q-fin.MF2026
Liquidity Provision and Rebate Design in Option Markets
Samuel N. Cohen, Lyndon Drake, Zihan Guo +1
We provide a model for the nested optimisation problem of market making and rebate design problems in option markets and find optimal strategies. A single market maker trades multi…
q-fin.MF2025
Linking Path-Dependent and Stochastic Volatility Models
Samuel N. Cohen, Cephas Svosve
We explore a link between stochastic volatility (SV) and path-dependent volatility (PDV) models. Using assumed density filtering, we map a given SV model into a corresponding PDV r…