Risk-Sensitive Option Market Making with Arbitrage-Free eSSVI Surfaces: A Constrained RL and Stochastic Control Bridge

By Zhang Jian'an

Published 2025-10-06

Everscope rating

1383.2

Relevance to quantitative trading

10 / 10

Implementation complexity

9 / 10

Reproducibility

4 / 5

About this paper

Methodology: Constrained Risk-Sensitive Reinforcement Learning with Differentiable eSSVI Surface. Problem types: Market Making, Risk Management, Reinforcement Learning, Optimization, Portfolio Optimization, Algorithmic Execution.

arXiv:2510.04569 · Paper rankings

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