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
Quant of the year: Pierre Henry-Labordère
Risk Awards 2023: Two-time award-winner impresses for his whizzy alternative to local volatility model
Rising star in quantitative finance: Sigurd Emil Rømer
Risk Awards 2023: Doctoral dissertation outlines more efficient way to simulate rough volatility models
Podcast: Zetocha on mini-futures (not those) and illiquid options
Julius Baer equity quant revels in solving problems for the trading desk
Collateralised exposure modelling: bridging the gap risk
Concentration, leverage and correlations may affect a collateralised equity swap portfolio
Pricing in the gap risk of mini-futures
Mini-futures need to be priced and hedged taking sudden jumps into account
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: Zetocha on mini-futures (not those) and illiquid options
Podcast: Halperin on reinforcement learning and option pricing
Comment
Degree of influence 2022: in the grip of volatility
A new approach to marking volatility of illiquid options