Bloomberg quant discusses his new approach for calculating convexity adjustments for RFR swaps

Quant says high volatility requires pricing and risk management models to be revisited

​​​​​​​Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias

Portfolio manager and academic researcher talks about how his technique applies to LDI portfolios

Industry quant teams up with academics to build better risk tools for FX markets

Julius Baer equity quant revels in solving problems for the trading desk.

Igor Halperin talks with Mauro Cesa

A discussion around alternatives designed to overcome the pitfalls of neural networks.

Chris Kenyon: the right way to wrong-way risk and climate risk in XVA

Marc Henrard – 02/08/22 by Quantcast – a Risk.net Cutting Edge podcast

Gordon Ritter – 24/06/22 by Quantcast – a Risk.net Cutting Edge podcast

Lipton on automated FX market-making and the perils of stablecoins

JP Morgan quant explains the importance of de-trending training datasets

Clearing house is “seriously considering” contributing to own default waterfall

Gordon Lee – 11/02/22 by Quantcast – a Risk.net Cutting Edge podcast

Applied maths professor talks about how to calculate the contributions to value-at-risk

Oxford-Man Institute quant, Stefan Zohren, shows how to use deep learning for forecasting

Antonov on pricing not-so-vanilla rates products – new model makes it easier to coherently price correlated derivatives

Quants achieve more speed by reducing number of dimensions in price calculations

TCA methodologies that ignore partial fills “might be off by 20% to 30%”, says Petter Kolm, professor of finance and director of the Mathematics in Finance master’s program at NYU’s Courant Institute of Mathematical Sciences