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.
Latest Cutting Edge
Capturing the effects of climate change on CVA and FVA
A framework to incorporate climate change risk into derivative prices is presented
The curious case of backward short rates
A discretisation approach for both backward- and forward-looking interest rate derivatives is proposed
Podcast: Claudio Albanese on how bad models survive
Darwin’s theory of natural selection could help quants detect flawed models and strategies
The case for reinforcement learning in quant finance
The technology behind Google’s AlphaGo has been strangely overlooked by quants
A Darwinian theory of model risk
An ex ante methodology is proposed to analyse the model risk pattern for a broad class of structures
Investments
Research papers on the buy-side industry, providing quantitative solutions for portfolio management, trading, machine learning applications for investment firms
Banking
Research papers on the derivatives business, banks’ risk management, machine learning applications for dealers
Podcasts
Podcast: Claudio Albanese on how bad models survive
Podcast: Piterbarg on medians and machine learning
Comment
Podcast: Claudio Albanese on how bad models survive
The case for reinforcement learning in quant finance