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
SABR smiles for RFR caplets
The SABR model for volatility is adapted to price risk-free rate caplets
My kingdom for the right copula
Copulas can still deliver if chosen with due attention to intuition and data, says quant fund chair
Putting the H in XVAs
Barclays quant proposes methodology for factoring hedging costs into derivatives valuations
Hedging valuation adjustment: fact and friction
Transaction costs’ impact on hedging can now be quantified
Buy-side quant of the year: Alex Lipton and Marcos Lopez de Prado
Risk Awards 2021: optimal trading solution was inspired by concept used in nuclear cooling
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: Matthias Arnsdorf on a new – and cheaper – KVA
Podcast: CFM’s Bouchaud on agent-based models and ESG investing
Comment
My kingdom for the right copula
Putting the H in XVAs