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.
SPX and Vix derivatives are modelled jointly in an arbitrage-free setting
More nowcasting, less backtesting, and strategies that adapt to new regimes: a manifesto from Lipton and López de Prado
New research addresses fundamental issues with ANN approximation of pricing models
Addressing model calibration and the issue of no-arbitrage in a deep learning approach
Quants explain the application of the latest techniques