Quant finance
Latest Cutting Edge
Cutting Edge 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.
To publish in Cutting Edge, see our submissions guidelines and contact us.
Podcast: Alexander Barzykin on modelling FX market-making
HSBC quant discusses adverse selection, price reading and internal liquidity management
Optimal quoting under adverse selection and price reading
A market-making model is introduced to account for significant real-world effects
Burnett and Piau on their comprehensive framework for XVAs
Barclays quants explain the bank’s approach to a long-standing problem
The fundamental representation of pricing adjustments
A unified representation of derivative pricing adjustments is presented
Tailoring tails within the mixture model framework
Introducing a data generator mixing Gaussian and Student-t distributions to capture fat tails
Tomorrow’s quants
Tomorrow’s quants
Quant finance master’s guide, podcasts and features
