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

Colin Turfus, senior quant analyst at Deutsche Bank and author of ‘Risky caplet pricing with backward-looking rates’, on short-rate models and Libor’s end

Darwin’s theory of natural section could help quants detect flawed models and strategies, says Claudio Albanese, founder and head of development at Global Valuation

How the Libor transition inspired NatWest quant Vladimir Piterbarg’s latest paper on exotic derivatives valuation

Ex-JP Morgan quant Patrick Hagan discusses his latest work and the risk failures that cost the bank $6 billion in 2012.

Ben Burnett, a director of the XVA quant team at Barclays, discusses the development and application of a hedging valuation adjustment to derivatives transactions.

Star quant proposes a new model for predicting changes in bond ratings

Matthias Arnsdorf talks about how to adjust the capital valuation adjustment. The JP Morgan quant proposes an alternative calculation that would reduce the charge by an order of magnitude.

CFM’s Bouchaud on agent-based models and ESG investing

Dario Villani - 28/07/20 by Quantcast – a Risk.net Cutting Edge podcast

Lipton and De Prado discuss trading strategies and Covid-19 modelling

Quants explain application latest techniques to produce synthetic data

Market generator models may aid areas of finance where data is limited or sensitive, by generating new data with the same statistical properties, say Alexei Kondratyev and Christian Schwarz

Trades’ size limits, membership rules and more transparency are key to avoid another CCPs’ default, says BofA quant Andrew Dickinson

Mats Kjaer discusses a balance-sheet based model in which he derives breakeven price and valuation adjustments of a new trade for the firm and the shareholders

Model validation for ES-based risk models is not only possible but far more informative than traditional model acceptance on the basis of VAR exceedance counting, says head of valuation and quantitative solutions at Banque Pictet in Geneva

Numerix's Andrew McClelland talks to Mauro Cesa in relation to an upcoming Risk.net paper – MVA: future IM for client trades and dynamic hedges

Quants talk about new technique that can model wrong-way risk better

Quant says a new machine learning technique could change the way banks hedge derivatives

How quantum theory could aid portfolio construction

Credit Suisse quant talks about new paper on valuing quanto options

Combination of rough volatility and the classical Heston model gives promising results

Marc Henrard, a managing partner at muRisQ Advisory, visited our London offices to record a podcast on the challenges of Libor transition as part of benchmark reform. He was joined over the phone by Fabio Mercurio, head of the quant analytics team at Bloomberg.

Course director discusses machine learning explainability and reclaiming game theory from economists

Chris Kenyon and Mourad Berrahoui discuss the pitfalls of PFE and propose a replacement to the existing credit risk measure

Dominique Bang discusses a novel method to mix a pure stochastic volatility process with a generic local volatility function, using Lamperti’s transform

Adolfo Montoro, a director in the market risk management and risk methodology team at Deutsche Bank, visited our offices in London to discuss his new paper, The revised P&L attribution test and the suitability of new proposed thresholds, co-written by two of his colleagues, Marco Spinaci and Marc Georgi.

StanChart quant proposes new technique to compute margin valuation adjustment quicker

Pierre Henry-Labordere and Hamza Guennoun discuss exotics calibration, machine learning and autocallable pricing

MIT quant says next project will be to combine behavioural science with tech such as machine learning

Emerging market hard-currency bonds contain exposure to an EM sovereign and the underlying industry. Richard Martin, Tolga Uzuner and Yao Ma investigate how to model this as a modification of the well-known first-to-default basket, using the structural model, and find the approach feasible

Alexei Kondratyev talks about his latest article, which seeks to understand natural curve shapes with the help of artificial neural networks.

Thomas Roos, a London-based consultant specialising in derivatives, talks about models that produce arbitrageable swaptions prices and the crude methods firms currently use to fix them.

Research on adjoint algorithmic differentiation is not complete until it becomes easier to implement, says quant

Post-Libor environment and financial crime detection to drive future research, says top quant

Giorgia Callegaro, Lucio Fiorin and Martino Grasselli, authors of 'American quantized calibration in stochastic volatility', introduce a pricing model for European and American-style options with stochastic volatility.

Damiano Brigo, chair of mathematical finance at Imperial College London, shares his thoughts on the lost causes, the present role and the future prospects of quantitative finance.