Views
Quantcast Master’s Series: Petter Kolm, Courant Institute
The NYU programme is taught almost exclusively by elite financial industry practitioners
Podcast: Iabichino on finance-native neural networks
UBS quant explains how to incorporate financial laws into an AI framework
Quantcast Master’s Series: Dan Stefanica and Jim Gatheral
Baruch College leaders on how they manage the top-ranked quant finance master’s programme
Tomorrow’s Quants: what it takes to be a next-gen modeller
Employers increasingly prize mix of hard and soft skills, Risk.net survey reveals
Copulas find new role in derivatives pricing
Pricing model for exotic options revives poster child of 2008 credit crisis
Lightening the RWA load in securitisations
Credit Agricole quants propose new method for achieving capital neutrality
Podcast: Muhle-Karbe on the maths behind broker selection
Imperial College’s mathematical finance head introduces new tool to measure slippage and trade quality
Podcast: Villani and Musaelian on a quantum boost for machine learning
Classical methods struggle with highly dimensional problems. Quantum cognition takes a different approach, as hedge fund duo explain
A mix of Gaussian distributions can beat GenAI at its own game
Synthetic data is seen as the preserve of AI models. A new paper shows old methods still have legs
Podcast: Fabrizio Anfuso on computing for Archegos-like event exposures
BoE quant discusses top-down counterparty risk framework using Gaussian distributions and copulae
Getting a handle on model parameters
Mean reversion in rate parameters opens the door to dimensionality reduction
Podcast: adventures in autoencoding
Trio of senior quants explain how autoencoders can reduce dimensionality in yield curves
Podcast: Lyudmil Zyapkov on the relativity of volatility
BofA quant’s new volatility model combines gamma processes and fractional Brownian motion
A market-making model for an options portfolio
Vladimir Lucic and Alex Tse fill a glaring gap in European-style derivatives modelling
Degree of influence 2024: volatility and credit risk keep quants alert
Quantum-based models and machine learning also contributed to Cutting Edge’s output
Podcast: Alexandre Antonov turns down the noise in Markowitz
Adia quant explains how to apply hierarchical risk parity to a minimum-variance portfolio
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
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