Quantcast – a Risk.net Cutting Edge podcast: Recent Episodes
Quantcast – a Risk.net Cutting Edge podcast
Jack Jacquier 14/10/25 Risk Quantcast MS by Quantcast – a Risk.net Cutting Edge podcast
Risk Quantcast Stefano Iabichino 06/11/25 by Quantcast – a Risk.net Cutting Edge podcast
Imperial College’s mathematical finance head introduces new tool to measure slippage and trade quality
BoE quant discusses a top-down counterparty risk framework that uses Gaussian distributions and copulae
Trio of senior quants explain how autoencoders can reduce dimensionality in yield curves
Adia quant explains how to apply hierarchical risk parity to a minimum-variance portfolio
Quantcast: Piterbarg and Nowaczyk on decorrelating variables. A novel data manipulation technique strengthens backtesting on correlated data.
Oxford-Man Institute director worries ML-based trading could have anti-competitive effects
JP Morgan quant Lorenzo Ravagli proposes a unified framework for trading the volatility skew premium
Bloomberg quant discusses his new approach for calculating convexity adjustments for RFR swaps
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
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
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.
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.
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
Quant says a new machine learning technique could change the way banks hedge derivatives
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.
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.