Research

Options and Margin

Options and Prediction Markets
Extrapolating Implied Volatility
Automated Margin Systems in Practice
Option pricing with Markov dynamics

Micro

Banking with Risky Assets
Assessing Mutual Fund Performance in China

Markov Processes

Markov decompositions of expected returns
Transitory components of Markov processes
The spectral gap and asset pricing

For some lighter writing on similar topics: substack
For tech updates: https://x.com/hexshapeshifter
Check out this open source margin repo: https://github.com/Arrow-Markets-Research/openmargin