Quantcast
Podcast: turbo-charging derivatives pricing
Quants achieve more speed by reducing number of dimensions in price calculations
Podcast: NYU’s Kolm on transaction costs and machine learning
TCA methodologies that ignore partial fills “might be off by 20% to 30%”
Podcast: Colin Turfus on short-rate models and Libor’s end
Deutsche Bank quant proposes a lean model to quickly produce benchmark prices
Podcast: Claudio Albanese on how bad models survive
Darwin’s theory of natural selection could help quants detect flawed models and strategies
Podcast: Piterbarg on medians and machine learning
How the Libor transition inspired NatWest quant’s latest paper on exotic derivatives valuation
Podcast: Hagan on convexity, volatility and the London Whale
Ex-JP Morgan quant discusses his latest work and the risk failures that cost the bank $6bn in 2012
Podcast: Barclays’ Ben Burnett on how banks can implement HVA
New valuation adjustment may lead to more efficient management of derivatives books
Podcast: Richard Martin on improving credit migration models
Star quant proposes a new model for predicting changes in bond ratings
Podcast: Matthias Arnsdorf on a new – and cheaper – KVA
Quant proposes approach anchored by a dealer’s default rate rather than its return on equity
Podcast: CFM’s Bouchaud on agent-based models and ESG investing
Hedge fund quant, and Risk.net’s new columnist, shares his unique take on markets
Podcast: Dario Villani on managing money with ML
Duality’s CEO discusses key to machine learning success, and the influence of Renaissance’s Jim Simons
Podcast: Lipton and de Prado on Covid and trading strategies
Top quants discuss collaboration and their worries about the economic recovery
Podcast: Horvath and Lee on market generator models
Quants explain the application of the latest techniques
Podcast: Kondratyev and Schwarz on generating data
Market generator models may aid areas of finance where data is limited or sensitive
Podcast: Andrew Dickinson on CCPs’ defence mechanisms
Trades’ size limits, membership rules and more transparency key to avoid another CCP default
Podcast: Mats Kjaer on how trades affect the balance sheet
Bloomberg quant has developed a balance-sheet model for XVA pricing
Podcast: Acerbi on backtesting ES and FRTB’s patchwork rules
Banque Pictet quant explains a new backtesting method for expected shortfall
Podcast: McClelland on why you need a good MVA model
Numerix quant presents a model aimed at showing the total cost of a trade
Podcast: Gregory and Chung on wrong-way risk modelling
Quants discuss a better way to model wrong-way risk
Podcast: Hans Buehler on deep hedging and harnessing data
Quant says a new machine learning technique could change the way banks hedge derivatives
Podcast: Venturelli and Kondratyev on quantum annealing
Authors show how quantum theory could aid portfolio construction
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