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
Axes that matter: PCA with a difference
Differential PCA is introduced to reduce the dimension in derivative pricing problems
Machines can read, but do they understand?
A novel NLP application built on a Google transformer model can help predict ratings transitions
Abu Dhabi fund lures top quants for burgeoning team
StanChart analytics head joins Lopez de Prado at Abu Dhabi Investment Authority
Podcast: NYU’s Kolm on transaction costs and machine learning
TCA methodologies that ignore partial fills “might be off by 20% to 30%”
NLP and transformer models for credit risk
News feeds are factored into models to predict credit events
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: NYU’s Kolm on transaction costs and machine learning
Podcast: Colin Turfus on short-rate models and Libor’s end
Comment
Machines can read, but do they understand?
Podcast: NYU’s Kolm on transaction costs and machine learning