DERIVATIVES

Delta Hedging Performance Under Different Volatility Measures

Posted on May 10, 2026 By Harbourfront Technologies

Subscribe to newsletter Managing an option book is not trivial. There is considerable research on hedging errors, optimal hedging frequency, and the choice of volatility inputs used in hedging algorithms. Reference continues this line of research by examining the effectiveness of hedging strategies under …

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RISK MANAGEMENT

Decomposing the Variance Risk Premium, Part 2

Posted on May 18, 2026 By Harbourfront Technologies

Subscribe to newsletter The volatility risk premium (VRP) is the difference between implied volatility and subsequently realized volatility, and is one of the most extensively studied phenomena in options markets. We previously discussed Reference , which decomposes the VRP into upside and downside components and …

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TRADING

Regime-Aware Trading Strategies with Machine Learning

Posted on April 24, 2026 By Harbourfront Technologies

Subscribe to newsletter Regime detection is important in portfolio management and remains an active area of research, particularly in the age of machine learning and AI. Reference proposes a trading strategy based on machine learning, combined with regime detection using a Hidden Markov Model. …

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Latest Post

Volatility Measures for Regime Classification

Posted on May 14, 2026 By Harbourfront Technologies

Subscribe to newsletter Regime detection and classification are important in portfolio management and asset allocation. One of the key inputs into regime detection models is volatility. Reference examines which volatility measure is most effective for regime classification. The authors …

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