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
Mind the tax when hedging TRS
New model gauges whether deals are still profitable, after taxes
Funding adjustments in equity linear products
How tax asymmetries and Tobin tax affect the pricing of total return swaps
Sometimes it’s fine to be boring
Diversification puts portfolios in the middle of the pack – where investors feel safe, writes Antonia Lim
Podcast: Lipton and de Prado on Covid and trading strategies
Top quants discuss collaboration and their worries about the economic recovery
A closed-form solution for optimal mean-reverting strategies
The heat potentials method is used to find the optimal profit-taking and stop-loss levels
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: Lipton and de Prado on Covid and trading strategies
Podcast: Horvath and Lee on market generator models
Comment
Mind the tax when hedging TRS
Sometimes it’s fine to be boring