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 collateral transition to SOFR will create convexity adjustments that need to be modelled
A new diversification measure appears to produce better results than mean-variance optimisation
New diversification measure enables construction of equally diversified portfolios
Terminating Libor will bring great challenges to the pricing of non-linear rate products
Hedge fund quant, and Risk.net’s new columnist, shares his unique take on markets