SPX–VIX Risk Computations Via Perturbed Optimal Transport

By Charlie Che, Hanxuan Lin, Yudong Yang, Guofan Hu, Lei Fang

Published 2026-07-30

Everscope rating

1939.8

Relevance to quantitative trading

9 / 10

Implementation complexity

8 / 10

Reproducibility

2 / 5

About this paper

Methodology: Perturbed Optimal Transport (POT). Problem types: Risk Management, Optimization, Density Estimation, Derivatives Pricing, Hedging.

arXiv:2603.10857 · Paper rankings

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