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.
Initial margin requirements for OTC derivatives can increase risk of contagion, writes economist
ARR aims to anticipate volatility patterns to provide signals for risk management and trading
A new arbitrage-free volatility surface with closed-form valuation and local volatility is introduced
The FMM is upgraded to model the full term structure, pricing all possible bonds and the bank account
How tax asymmetries and Tobin tax affect the pricing of total return swaps