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: Antonov on pricing not-so-vanilla rates products
New model makes it easier to coherently price correlated derivatives
Black basket analytics for mid-curves and spread options
A new solution to calibrate derivatives with multiple strikes is proposed
‘Signatures’ promise quants a tool for all jobs
Little-known mathematical technique could find applications from pricing options to sniffing out alpha signals
An ‘optimal’ way to calculate future P&L distributions?
Quants use neural networks to upgrade classic options pricing model
After Archegos, a bigger role for XVA desks?
Credit Suisse has stalled on call to expand XVA remit; others think it would have helped, but disagree on how
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: Antonov on pricing not-so-vanilla rates products
Podcast: turbo-charging derivatives pricing
Comment
An ‘optimal’ way to calculate future P&L distributions?
Machines can read, but do they understand?