Articles by Mauro Cesa
ポッドキャストロレンツォ・ラバグリが語る「なぜスキューは多くの人のためにあるのか？
JPモルガン・クオンツ、ボラティリティ・スキュー・プレミアムを取引するための統一フレームワークを提案
Counterparty risk model links defaults to portfolio values
Fed’s Michael Pykhtin proposes using copula models to capture effects of margin calls on default risk
Podcast: Olivier Daviaud on P&L attribution for options
JP Morgan quant discusses his alternative to Greeks decomposition
Filling gaps in market data with optimal transport
Julius Baer quant proposes novel way to generate accurate prices for illiquid maturities
Georgios Skoufis on RFRs, convexity adjustments and Sabr
Bloomberg quant discusses his new approach for calculating convexity adjustments for RFR swaps
A dynamic margin model takes shape
New paper shows how creditworthiness and concentrations can be reflected into margin requirements
How HSBC got better at pricing share buy-backs
Monte Carlo approach generates faster, more reliable pricing for complex deals
量子数学を使って人間のように学習するAIモデル
機械学習における次の大きなブレークスルーは、金融の世界から生まれるのでしょうか？
How to account for banks’ contribution to CO2 emissions
Price adjustments will depend on individual counterparties’ carbon footprints
Exploiting causal biases in market impact models
Model calibration gains efficiency by including biased but adjusted trading data
Skew this: taking the computational burden off basket options
Dan Pirjol presents a snap formula for estimating implied volatility skew in an instant
Podcast: Artur Sepp on rates volatility and decentralised finance
Quant says high volatility requires pricing and risk management models to be revisited
Podcast: Julien Guyon on volatility modelling and World Cup draws
Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias
How a machine learning model closed a hidden FX arbitrage gap
MUFG Securities quant uses variational inference to control the mid volatility of options
Into the quantiverse: real-world pricing goes arbitrage-free
QRM quants claim to have bridged divide across ‘multiverse’ of fixed-income models
Optical computer beats quantum tech in tricky settlement task
Microsoft’s analog technology twice as accurate compared to IBM’s quantum kit in Barclays experiment
A three-point turn in derivative design
Citibank quant’s triangle method allows information geometry to be applied to hedge structuring
Podcast: Jan Rosenzweig on fat tails and LDI portfolios
An optimised portfolio can look very different when extreme moves are given more weight
Baruch topples Princeton in Risk.net’s quant master’s rankings
US schools cement top five dominance as graduate salaries soar
How banks can avoid bad haircuts on hedge fund trades
HSBC quant makes case for looking at collateral and funding rates in concert
Podcast: Barzykin and Guéant on FX market-making
Industry quant teams up with academics to build better risk tools for FX markets
Taking the measure of CMS pricing
Bank of America quants propose comprehensive framework for modelling rate derivatives
Was Archegos default a one-in-a-million event?
BoE quant says neglecting high leverage and WWR may create conditions for similar blow-ups