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.
New valuation adjustment may lead to more efficient management of derivatives books
HVA is framed consistently with other valuation adjustments
Can a centenarian maths idea speed up the calculation of forward sensitivities?
‘Rough volatility’ models promise better pricing and hedging of options. But will they catch on?