DERIVATIVES

Delta Hedging Under Fractional Brownian Motion

Posted on January 18, 2026 By Harbourfront Technologies

Subscribe to newsletter The Black–Scholes–Merton (BSM) model is the most frequently used option pricing framework in finance. However, it relies on simplifying assumptions, some of which are not realistic. Ongoing efforts aim to extend and generalize the BSM model, and Reference represents a recent …

Read More

RISK MANAGEMENT

Dynamic Delta Hedging with Confidence-Weighted Signals

Posted on January 26, 2026 By Harbourfront Technologies

Subscribe to newsletter Delta hedging is a critical component of option portfolio management. In the research literature, most studies assume strict delta hedging, where portfolio delta is maintained at zero. Reference relaxes this restriction by introducing a partial delta hedging technique that conditions the …

Read More

TRADING

Portfolio Timing and Allocation with the Variance Risk Premium

Posted on January 30, 2026 By Harbourfront Technologies

Subscribe to newsletter The volatility risk premium (VRP) refers to the systematic difference between implied volatility and subsequent realized volatility. Much of the academic literature focuses on developing strategies to harvest the VRP directly. However, Reference departs from this conventional approach by proposing the …

Read More

Latest Post

Modeling High-Frequency Volatility with Volume-Driven Intraday Effects

Posted on January 22, 2026 By Harbourfront Technologies

Subscribe to newsletter Modeling and forecasting volatility is critically important for portfolio construction and risk management. Numerous volatility models exist, and one established line of research incorporates trading volume, motivated by the idea that volume reflects the rate of information …

Read More