Weekly Meeting

A Study on Option Trading Strategies under the Black–Scholes Model with GARCH-SVR Volatility Forecasting

Option Pricing Models and Skewness

Forecasting Realized Variance with Option-Implied Moments

Forecasting Implied Volatilities with Variational Autoencoders

PhD Symposium

1-Year Progress Review

1-Year Progress Review Rehearsal

Literature Study:

Zhang, Jin E., and Yi Xiang, 2008, The implied volatility smirk, Quantitative Finance 8(3), 263–284.

Aschakulporn, Pakorn, and Jin E. Zhang, 2026, Option-pricing formulas with skewness and kurtosis, Review of Derivatives Research 29(1), 1-23.

Literature Study:

Bai, Yunfei, and Charlie X. Cai, 2024, Predicting VIX with adaptive machine learning, Quantitative Finance 24(12), 1857–1873.

Hortúa, Héctor J., and Andrés Mora-Valencia, 2025, Forecasting VIX using bayesian deep learning, International Journal of Data Science and Analytics 20(3), 2039–2060.

1-Year Progress Review

1-Year Progress Review Rehearsal

2-Year Progress Review

(VIX Term Structure Managed Portfolios )

2-Year Progress Review Rehearsal

(VIX Term Structure Managed Portfolios )

Forecasting Implied Volatilities with Variational Autoencoders