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: Hagan on convexity, volatility and the London Whale
Ex-JP Morgan quant discusses his latest work and the risk failures that cost the bank $6bn in 2012
An end to replication
Convexity adjustments can be valued with an analytical formula, avoiding replication arguments
The Fundamental Review of the Trading Book and fat tails
Conservative capital buffers may not be enough to protect against tail events
What is the volatility of an Asian option?
An adjustment for the volatility smile in Asian options is proposed
Podcast: Barclays’ Ben Burnett on how banks can implement HVA
New valuation adjustment may lead to more efficient management of derivatives books
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: Hagan on convexity, volatility and the London Whale
Podcast: Barclays’ Ben Burnett on how banks can implement HVA
Comment
Podcast: Hagan on convexity, volatility and the London Whale
Podcast: Barclays’ Ben Burnett on how banks can implement HVA