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.
How tax asymmetries and Tobin tax affect the pricing of total return swaps
Diversification puts portfolios in the middle of the pack – where investors feel safe, writes Antonia Lim
Top quants discuss collaboration and their worries about the economic recovery
The heat potentials method is used to find the optimal profit-taking and stop-loss levels
Performance measure based on quality of replicating portfolios outperforms ‘P&L explain’, new paper claims