Quantcast
Podcast: Artur Sepp on rates volatility and decentralised finance
Quant says high volatility requires pricing and risk management models to be revisited
Podcast: Julien Guyon on volatility modelling and World Cup draws
Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias
Podcast: Jan Rosenzweig on fat tails and LDI portfolios
An optimised portfolio can look very different when extreme moves are given more weight
Podcast: Barzykin and Guéant on FX market-making
Industry quant teams up with academics to build better risk tools for FX markets
Podcast: Zetocha on mini-futures (not those) and illiquid options
Julius Baer equity quant revels in solving problems for the trading desk
Podcast: Halperin on reinforcement learning and option pricing
Fidelity quants working on machine learning techniques to optimise investment strategies
Podcast: Piterbarg and Antonov on alternatives to neural networks
Two novel approximation techniques can overcome the curse of dimensionality
Podcast: the right way to wrong-way risk and climate risk in XVA
MUFG quant thinks outside the box on risk management
Podcast: the remaining challenges for Libor transition
Rates quant says swaptions fallbacks turn cash-settled vanilla products into exotics
Podcast: Ritter on optimal execution and reinforcement learning
Hedge fund quant describes a simple rule of thumb for portfolio turnover
Podcast: Lipton on (un)stablecoins and FX market-making
Veteran quant has long warned about fundamental flaws in algorithmic stablecoins
Podcast: Hans Buehler on the data science behind deep hedging
Top JP Morgan quant stresses importance of ‘de-trending’ training datasets used in machine learning
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: Antonov on pricing not-so-vanilla rates products
New model makes it easier to coherently price correlated derivatives
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