3 papers
q-fin.RM2026
Reliability-Aware ETF Tail-Risk Monitoring
Tenghan Zhong, Keyuan Wu
Daily ETF risk monitoring can become unreliable when market data quality degrades, market conditions shift, or predictive performance becomes unstable. This paper develops a reliab…
q-fin.RM2026
Marking-Aware Sequential VaR Recalibration for Standardized Option Books
Tenghan Zhong, Keyuan Wu
Daily Value-at-Risk (VaR) for option books requires more than an accurate quantile forecast. It first requires a precise definition of the loss target. Before any model is evaluate…
q-fin.CP2025
An Efficient Calibration Framework for Volatility Derivatives under Rough Volatility with Jumps
Keyuan Wu, Tenghan Zhong, Yuxuan Ouyang
We present a fast and robust calibration method for stochastic volatility models that admit Fourier-analytic transform-based pricing via characteristic functions. The design is str…