Articles by Mauro Cesa
A market-making model for an options portfolio
Vladimir Lucic and Alex Tse fill a glaring gap in European-style derivatives modelling
BlackRock tests ‘quantum cognition’ AI for high-yield bond picks
Study uses Qognitive machine learning model to find liquid substitutes for hard-to-trade securities
Podcast: Alexandre Antonov turns down the noise in Markowitz
Adia quant explains how to apply hierarchical risk parity to a minimum-variance portfolio
Crossed signals: row over collusion pits scholars against traders
An Oxford study claims to show evidence of collusion in ETF markets. Some traders give it short shrift
UBS’s Iabichino holds a mirror to bank funding risks
Framing funding management as an optimal control problem affords an alternative to proxy hedging
Podcast: Alexei Kondratyev on quantum computing
Imperial College London professor updates expectations for future tech
Baruch maintains top spot in 2025 Quant Master’s Guide
Sorbonne reclaims top spot among European schools, even as US salaries decouple
Quants mine gold for new market-making model
Novel approach to modelling cointegrated assets could be applied to FX and potentially even corporate bond pricing
Quants dive into FX fixing windows debate
Longer fixing windows may benefit clients, but predicting how dealers will respond is tough
Podcast: Piterbarg and Nowaczyk on running better backtests
Quants discuss new way to extract independent samples from correlated datasets
The curious case of the revealing orders
Oxford academics have found evidence pointing to collusion on a European exchange, but market-makers aren’t wholly convinced
BofA quants propose new model for when to hold, when to sell
Closed-form formula helps market-makers optimise exit strategies
The post-Archegos risk model rebuild begins… slowly
Following regulatory prodding, banks start to overhaul counterparty risk models. A flurry of new research on the topic may aid the effort