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.
Differential PCA is introduced to reduce the dimension in derivative pricing problems
A novel NLP application built on a Google transformer model can help predict ratings transitions
StanChart analytics head joins Lopez de Prado at Abu Dhabi Investment Authority
TCA methodologies that ignore partial fills “might be off by 20% to 30%”
News feeds are factored into models to predict credit events