Podcast
Podcast: Abi-Jaber and Li on a ‘sticky’ volatility problem
The pair discuss their model to jointly capture Vix, SPX and SSR
NIT protocol expanded among plans to electronify the full bond lifecycle
Sponsored podcast
Podcast: Ritter on optimal execution and reinforcement learning
Hedge fund quant describes a simple rule of thumb for portfolio turnover
Podcast: UBS’s Gordon Lee on conditional expectations and XVAs
Top quant explains why XVA desks need a neighbour and a reverend
Podcast: Matthew Dixon on decomposition of portfolio risk
New approach calculates contributions to value-at-risk for nonlinear portfolios
Podcast: Man Group’s Zohren on forecasting prices with DeepLOB
Deep learning model can project prices around 100 ticks into the future
Podcast: the difficulties of decarbonisation
What are energy firms doing to measure and mitigate transition risk?
