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.
An accurate data-driven and model-agnostic method to compute conditional expectations is presented
Optimal transport theory offers a data-driven way to calibrate derivatives pricing models
Volatility models and SPX/VIX joint dynamics are calibrated using optimal transport theory
New approach calculates contributions to value-at-risk for nonlinear portfolios
A risk decomposition by fund manager, factor or instrument is proposed