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Podcast: Lipton on (un)stablecoins and FX market-making
Veteran quant has long warned about fundamental flaws in algorithmic stablecoins
How to model potential exposure, post-Archegos
BofA quant’s model considers the correlation between market shocks and counterparty defaults
A look at asset liquidation from a different angle
Quants propose a novel approach to assess liquidation cost and stress-testing for hard-to-sell assets
Kurtosis optimisation gives portfolios a shock absorber
Hedge fund quant shows how an alternative to PCA makes risk management more robust
Rough volatility moves to exotic frontiers
New simulation scheme clears the way for broader application of the rough Heston model
What quant finance can learn from a 240-year-old problem
Optimal transport theory offers a data-driven way to calibrate derivatives pricing models
Follow the moneyness
Barclays quants extend Bergomi’s skew stickiness ratio to all strikes
Degree of influence 2021: XVA marks the spot
Research into valuation adjustments is back on quants’ to-do list
Estimating loan loss provisions may have just got easier
Commerzbank quant proposes shortcut to calculate lifetime loan loss reserves
An ‘optimal’ way to calculate future P&L distributions?
Quants use neural networks to upgrade classic options pricing model
Machines can read, but do they understand?
A novel NLP application built on a Google transformer model can help predict ratings transitions
Derivatives pricing starts feeling the heat of climate change
Quants find physical and transition risks can lead to significant rise in CVA
The case for reinforcement learning in quant finance
The technology behind Google’s AlphaGo has been strangely overlooked by quants
Synthetic data enters its Cubist phase
Quants are using the theory of rough paths to distil the essence of financial datasets
A look at future exposures, through a 19th century lens
Can a centenarian maths idea speed up the calculation of forward sensitivities?
Put options power up variable annuities
Insurance quants increase risk-adjusted profits using novel hedging technique
As machines disrupt investing, people still have a role to play
Despite AI’s growth, investing still needs human adaptability and judgement, writes Schroders’ Lim
My kingdom for the right copula
Copulas can still deliver if chosen with due attention to intuition and data, says quant fund chair
Putting the H in XVAs
Barclays quant proposes methodology for factoring hedging costs into derivatives valuations
Setting boundaries for neural networks
Quants unveil new technique for controlling extrapolation by neural networks
Random matrix theory provides a clue to correlation dynamics
A growing field of mathematical research could help us understand correlation fluctuations, says quant expert
Degree of influence: volatility shakes markets and quant finance
Volatility and machine learning were among the top research areas for quants this year
A step closer to the perfect volatility model
Research on ‘rough volatility’ gives fresh insight into financial fluctuations, quant expert explains
Breaking barriers in options pricing
A new technique for pricing exotic options unifies two classic models