Quantcast
Podcast: Hong on quanto derivatives and Asia’s quant drought
Credit Suisse quant talks about new paper on valuing quanto options
Podcast: Mathieu Rosenbaum on the rough Heston model
Combination of rough volatility and the classical Heston model gives promising results
Podcast: Mercurio and Henrard on the impact of Libor reform
Some derivatives products will become more complex if there are no forward rates, say quants
Podcast: Princeton’s Carmona on the future of quant education
Course director discusses machine learning explainability and reclaiming game theory from economists
Podcast: Kenyon and Berrahoui on the pitfalls of PFE
Quants propose replacement to existing credit risk measure
Podcast: Dominique Bang on his stochastic local vol model
New approach delivers quick and accurate computation of prices
Podcast: Montoro on FRTB thresholds and non-modellable risks
Senior risk manager also argues Kolmogorov-Smirnov test is better than Chi-squared
Podcast: Antonov on MVA, algorithmic differentiation and model validation
StanChart quant proposes new technique to compute MVA quicker
Podcast: SocGen quants on exotics calibration, machine learning and autocallable pricing
Deep learning techniques are being explored by the quants to speed up exotics pricing
Podcast: Lo on adaptive regulation, machine learning, bitcoin
MIT quant says next project will be to combine behavioural science with tech such as machine learning
Podcast: Richard Martin on EM debt, copulas, machine learning
Quant sceptical of machine learning algos and black boxes
Podcast: Quantum computing to boom in next three to five years
Quant speaks of collaboration with Nasa and machine-learning algos for yield curves
Podcast: Roos on swaptions arbitrage and benchmark reform
Benchmark reform means additional work for rates quants
Podcast: Fries on Monte Carlo, Greeks and the future of AAD
Research on AAD is not complete until it becomes easier to implement, says quant
Podcast: Mercurio on Libor, fraud and writing models on a plane
Post-Libor environment and financial crime detection to drive future research, says top quant
Podcast: Callegaro, Fiorin and Grasselli on quantization
High-dimension problems can be solved with discretisation techniques
Podcast: Brigo on derivatives, AI, machine learning and more
Genuine artificial intelligence remains "very, very far away", says Imperial College's Brigo