Subject:
The quadratic rough Heston+ model for short-dated options
CUTTING EDGE ALERT
TOP STORY
The quadratic rough Heston+ model for short-dated options
Skew and curvature of 0DTE are captured with an extended Heston model
26 Oct 2026
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Technical paper
Views
Podcast: Ariye Shater and Hariom Tatsat on AI explainability
Barclays quants discuss their method for monitoring AI with mechanistic interpretability
23 Oct 2026
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Opinion
Cutting Edge
Beyond the black box: interpretability of LLMs in finance
Mechanistic interpretability identifies and locates modifications in computational mechanisms
23 Sep 2026
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Technical paper
Comment
From Navier-Stokes to manuscripts by the kilo: AI’s impact on quant research
As AI produces results in bulk, finance needs trusted ways to assess provenance, reliability and significance
09 Oct 2026
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Opinion
Cutting Edge
Reconciling P- and Q-calibration with path-dependent volatility
A mixed approach designed to improve calibration robustness is presented
16 Sep 2026
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Technical paper
FRTB’s US revamp and European reset – who wins?
Hear from our editorial-led expert panel as they assess what the US revamp and potential European reset mean for capital, models and trading strategies. Available to watch on-demand 3 November
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26 Oct 2026
