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
Podcast: Matthias Arnsdorf on a new – and cheaper – KVA
Quant proposes approach anchored by a dealer’s default rate rather than its return on equity
KVA as a transfer of wealth
A capital valuation adjustment designed to preserve a firm’s value to shareholders is introduced
Zooming in on equity factor crowding
A measure for crowding in trades is derived from supply and demand imbalances
Breaking barriers in options pricing
A new technique for pricing exotic options unifies two classic models
Finite difference schemes with exact recovery of vanilla option prices
A model unifies the classic local vol and binomial trees to accurately price options
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: Matthias Arnsdorf on a new – and cheaper – KVA
Podcast: CFM’s Bouchaud on agent-based models and ESG investing
Comment
Breaking barriers in options pricing
Whales or minnows? Sizing up crowded trades