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 model makes it easier to coherently price correlated derivatives
A new solution to calibrate derivatives with multiple strikes is proposed
Little-known mathematical technique could find applications from pricing options to sniffing out alpha signals
Quants use neural networks to upgrade classic options pricing model
Credit Suisse has stalled on call to expand XVA remit; others think it would have helped, but disagree on how