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.
The SABR model for volatility is adapted to price risk-free rate caplets
Copulas can still deliver if chosen with due attention to intuition and data, says quant fund chair
Barclays quant proposes methodology for factoring hedging costs into derivatives valuations
Transaction costs’ impact on hedging can now be quantified
Risk Awards 2021: optimal trading solution was inspired by concept used in nuclear cooling