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
Funding, wealth transfer and financial stability in the post-Libor era
Adjusting RFR with a funding premium may aid economic growth and stability
Dealing with multi-currency inventory risk in FX cash markets
A market-making model that considers correlation, transaction costs and market impact is presented
Taking the measure of CMS pricing
Bank of America quants propose comprehensive framework for modelling rate derivatives
Momentum transformer: an interpretable deep learning trading model
An attention-based deep learning model for trading is presented
Was Archegos default a one-in-a-million event?
BoE quant says neglecting high leverage and WWR may create conditions for similar blow-ups
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: Zetocha on mini-futures (not those) and illiquid options
Podcast: Halperin on reinforcement learning and option pricing
Comment
Taking the measure of CMS pricing
Was Archegos default a one-in-a-million event?