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
Market-making by a foreign exchange dealer
An optimal liquidity model for pricing and hedging decisions is presented
Podcast: the remaining challenges for Libor transition
Rates quant says swaptions fallbacks turn cash-settled vanilla products into exotics
Getting the jump on pricing dividend-protected derivatives
Morgan Stanley quants show how to avoid mispricing corporate options and convertible bonds
The contractual dividend bleed
Models for dividend protected options need to compensate for valuation mismatches
How Michael Spector left his mark on quantitative finance
Physicist trained in Soviet scientific centres found elegant solutions to complex problems
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: the remaining challenges for Libor transition
Podcast: Ritter on optimal execution and reinforcement learning
Comment
Getting the jump on pricing dividend-protected derivatives
How Michael Spector left his mark on quantitative finance