Quant finance editor
Mauro Cesa is quantitative finance editor for Risk.net, based in London. He leads the team responsible for the publication of quantitative research across all brands of the division.
The section of Risk.net he manages, Cutting Edge, publishes peer-reviewed papers on derivatives, asset and risk management, and commodities.
Mauro holds a degree in economics from the University of Trieste and a masters in quant finance from the University of Brescia.
Chris Kenyon proposes a framework for optimising XVAs – from the client perspective
Quant proposes approach anchored by a dealer’s default rate rather than its return on equity
Differential machine learning produces results “thousands of times faster and with similar accuracy”
A new diversification measure appears to produce better results than mean-variance optimisation
Hedge fund quant, and Risk.net’s new columnist, shares his unique take on markets
Autoencoders can detect changes in relationship between assets in real time
Top quants discuss collaboration and their worries about the economic recovery
The market is gravitating to the Bachelier model as an alternative to Black 76
Future financial models will be built using artificially generated data
New research addresses fundamental issues with ANN approximation of pricing models
Quants explain the application of the latest techniques
A digital transaction system developed by quants at DZ Bank could slash margin costs for derivatives
Market generator models may aid areas of finance where data is limited or sensitive
Trades’ size limits, membership rules and more transparency key to avoid another CCP default
CCPs need new tools to scrutinise their members, for everyone’s good health
Risk and portfolio managers at La Francaise and LFIS are squeezing more information out of stress tests
Bloomberg quant has developed a balance-sheet model for XVA pricing