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
Synthetic data enters its Cubist phase
Quants are using the theory of rough paths to distil the essence of financial datasets
Generating financial markets with signatures
Signatures can provide the synthetic data to train deep hedging strategies
Podcast: Piterbarg on medians and machine learning
How the Libor transition inspired NatWest quant’s latest paper on exotic derivatives valuation
The arcsine law for quantile derivatives
A new pricing model for quantile-based derivatives, such as Napoleon options, is presented
The step stochastic volatility model
Extreme short-dated skew can be obtained by decomposing it in two parts
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: Piterbarg on medians and machine learning
Podcast: Hagan on convexity, volatility and the London Whale
Comment
Synthetic data enters its Cubist phase
Podcast: Piterbarg on medians and machine learning