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
Automatic implicit function theorem
New technique can improve use of adjoint algorithmic differentiation in calibration problems
Data-driven wrong-way risk
A calculation method for regulatory CVA wrong-way risk based on credit and exposure is introduced
Should you hedge or should you wait?
New paper introduces quantitative framework for optimal FX hedging
Optimal exercise of callable bonds
Citi quants and structurers present a term-structure model for callable bonds' work
Adia hires three to join its growing supergroup of quants
Alexandre Antonov, Adil Reghai and Andrey Itkin join unit at world’s third-largest wealth fund
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
Should you hedge or should you wait?
Getting the jump on pricing dividend-protected derivatives