Cutting Edge
Podcast: Lo on adaptive regulation, machine learning, bitcoin
MIT quant says next project will be to combine behavioural science with tech such as machine learning
Swaptions vol modelling tweak opens up pricing possibilities
Nomura quant proposes local volatility model that can directly calibrate to swaption smiles
The swap market model with local stochastic volatility
An easy to calibrate and accurate swap market model is proposed
CVA pricing for commodities with WWR
A calculation of CVA integrating a commodity futures exposure with probability of an event under WWR and credit downgrades
If regulations don’t bend, they’ll break
Financial regulation should be adaptive, not reactive, argues Andrew Lo
Podcast: Richard Martin on EM debt, copulas, machine learning
Quant sceptical of machine learning algos and black boxes
Emerging market corporate bonds as first-to-default baskets
Modified Merton model offers insights on EM corporate debt
How machine learning could aid interest rate modelling
Standard Chartered quant proposes machine-learning technique to better capture rate dynamics
Model risk in the transition to risk-free rates
Transition is an opportunity to reduce multi-rate complexities, say Bakkar and Brigo
Podcast: Quantum computing to boom in next three to five years
Quant speaks of collaboration with Nasa and machine-learning algos for yield curves
Curve dynamics with artificial neural networks
Artificial neural networks can replace PCA for yield curves analysis
Putting swaptions pricing in the fast lane
Derivatives consultant proposes a model for arbitrage-free pricing
Simple models won’t cut it for systemic risk
Understanding interconnectedness and capturing it within models is a key challenge, say quants
Podcast: Roos on swaptions arbitrage and benchmark reform
Benchmark reform means additional work for rates quants
Discrete time stochastic volatility
Quant proposes faster model to price arbitrage-free swaptions
Podcast: Fries on Monte Carlo, Greeks and the future of AAD
Research on AAD is not complete until it becomes easier to implement, says quant
Risk transformation of a zero-subsidy wind portfolio
Joaquin Narro analyses the hedging of a hypothetical zero-subsidy wind portfolio with base load products in the futures markets
Rogue traders versus value-at-risk and expected shortfall
VAR and ES are ineffective to deter rogue trading
How not to control trading behaviour
Quants show popular risk measures fail to limit risk-seeking behaviour among traders
Curbing rogue behaviour
Regulators should try to combat rogue trading by measuring traders’ risk-taking differently, say quants
XVA: back to CVA?
Fundamental questions on CVA remain unanswered, writes mathematical finance head
Multicurve modelling is about to get more complex
Research into rates pricing is becoming more urgent given recent regulatory changes