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Podcast: Hagan on convexity, volatility and the London Whale
Ex-JP Morgan quant discusses his latest work and the risk failures that cost the bank $6bn in 2012
Podcast: Barclays’ Ben Burnett on how banks can implement HVA
New valuation adjustment may lead to more efficient management of derivatives books
A look at future exposures, through a 19th century lens
Can a centenarian maths idea speed up the calculation of forward sensitivities?
Podcast: Richard Martin on improving credit migration models
Star quant proposes a new model for predicting changes in bond ratings
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
Whales or minnows? Sizing up crowded trades
Strategies for measuring crowding in trades can help to avoid its effect, writes quant fund founder
Danske quants discover speedier way to crunch XVAs
Differential machine learning produces results “thousands of times faster and with similar accuracy”
Quants are key to judicious ESG
Meaningful data analysis critical to future of socially responsible investing, writes Antonia Lim
Don’t blame HFT: plug liquidity gaps for market stability
Dynamic fees could incentivise liquidity when and where it’s most needed, writes quant fund founder Bouchaud
Time to move on from mean-variance diversification
A new diversification measure appears to produce better results than mean-variance optimisation
To make sense of complex systems, send in the agents
Standard quant models cannot comprehend a radically complex reality, writes Jean-Phillippe Bouchaud
Spotting co-movement breakdowns with neural networks
Autoencoders can detect changes in relationship between assets in real time
Mind the tax when hedging TRS
New model gauges whether deals are still profitable, after taxes
Sometimes it’s fine to be boring
Diversification puts portfolios in the middle of the pack – where investors feel safe, writes Antonia Lim
A tale of two (or three, or four) models
Performance measure based on quality of replicating portfolios outperforms ‘P&L explain’, new paper claims
Solving the enigma of the volatility smiles
Has the problem of jointly calibrating the volatility smiles of the Vix and S&P 500 been solved?