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.
Counterparty risk and market risk hold centre stage, data science moves up, quantum computing debuts
New paper by Nomura quant applies volatility model used in equities to exotic rate hedging
The combination of two popular volatility models sharpens the hedging of exotic rate derivatives
Risk Awards 2020: New machine learning techniques bring ‘rough volatility’ models to life
A variation of the rough volatility model is introduced by plugging in a different stochastic process