Research & Projects

Research & Projects

Current research in quantitative finance. Manuscripts linked where available.

Research

Research·Working Paper·April 2026

Why So Serious?

Decomposing the Belief Volatility Smile in Prediction Markets

Prediction market prices are bounded between zero and one, but they are often interpreted with tools borrowed from standard asset pricing. This paper develops a logit-based framework for measuring belief volatility and shows that the apparent smile in implied belief volatility is largely a geometric effect rather than a true information pattern. Using Kalshi FOMC rate-target contracts, the paper also studies how entropy evolves into event resolution and how non-Gaussian belief dynamics can generate meaningful pricing distortions.

Currently being extended to a broader empirical universe of event markets and additional cross-sectional analysis.

PDF
Research Note·Research Note in Progress·April 2026

Structural Credit Model with Time-Varying Default Barriers

A Disclosure-Based Calibration

This note extends structural credit models by linking the shape of the default barrier to information from firms' 10-K maturity disclosures. Rather than treating the barrier as fixed or purely exogenous, the model allows it to reflect the underlying debt profile and rollover structure of the firm. The result is a more flexible framework for interpreting default risk and distance to default in a way that is closer to the firm's actual financing structure.

Currently being extended into a more detailed version and tested against CDS term-structure data.

PDF