Cutting Edge is the quantitative finance section of Risk.net. It publishes exclusive peer-reviewed papers selected for their originality, relevance and applicability to financial markets. It also publishes podcasts with leading quants on the most topical issues, and comments from practitioners and our editorial team.
Quant proposes approach anchored by a dealer’s default rate rather than its return on equity
A capital valuation adjustment designed to preserve a firm’s value to shareholders is introduced
A measure for crowding in trades is derived from supply and demand imbalances
A new technique for pricing exotic options unifies two classic models
A model unifies the classic local vol and binomial trees to accurately price options