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.
Model calibration gains efficiency by including biased but adjusted trading data
A causal machine learning algorithm is used to estimate trades’ price impact
An arbitrage-free short-rate model for backward-looking compounded rates is presented
Dan Pirjol presents a snap formula for estimating implied volatility skew in an instant
An analytic approximation for the implied volatility surface of basket options is introduced