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
Follow the moneyness
Barclays quants extend Bergomi’s skew stickiness ratio to all strikes
Degree of influence 2021: XVA marks the spot
Research into valuation adjustments is back on quants’ to-do list
Sticky varswaps
Bergomi's skew-stickiness ratio is extended to the setting of variance swaps
Multi-horizon forecasting for limit order books
A multi-step path is forecast using deep learning and parallel computing
Estimating loan loss provisions may have just got easier
Commerzbank quant proposes shortcut to calculate lifetime loan loss reserves
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
Follow the moneyness
Degree of influence 2021: XVA marks the spot