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.
Rough volatility, liquidity and trade execution were quants’ top priorities this year
Using reinforcement learning to help replicate asset managers' allocation strategy
Two novel approximation techniques can overcome the curse of dimensionality
Introducing an algorithm for computing vega sensitivities at all strikes and expiries
Julius Baer quant’s arbitrage-free solution overcomes challenge of sparse data