Quantitative finance
WHAT IS THIS? Quantitative finance is a field of applied mathematics concerned with financial markets. In banking, it spread from the pricing of derivatives to the modelling of credit, market and operational risks. Today’s quantitative analysts are scattered across a range of functions, from risk management and model validation, to data science, algorithmic trading and regulatory compliance.
Abu Dhabi fund lures top quants for burgeoning team
StanChart analytics head joins Lopez de Prado at Abu Dhabi Investment Authority
Pricing American options under negative rates
This paper derives a new integral equation for American options under negative rates and shows how to solve this new equation through modifications to the modern and efficient algorithm of Andersen and Lake.
Quants split on who wins in the alt-data gold rush
Scale helps in handling new data, but alpha may be found in niche strategies
How XVA quants learned to trust the machine
Initial scepticism about using neural networks for derivatives pricing is giving way to enthusiasm
Quants turn to machine learning to unlock private data
Replication could allow financial firms to use – and monetise – data that was previously off-limits
An approximate solution for options market-making
An algorithm for the market-making of options on different underlyings is proposed
Quant grad conveyor belt stalls as banks retrench
Jobs market is long quant graduates, short vacancies – but hiring freeze shows signs of thawing
Deep hedging strays when volatility gets rough – study
In the most realistic simulations, data-driven approach fared 30% worse than conventional hedging
My kingdom for the right copula
Copulas can still deliver if chosen with due attention to intuition and data, says quant fund chair
Research house of the year: Societe Generale
Risk Awards 2021: quant group’s tail-risk hedging strategies ‘saved the books’ of some big clients
Quant investment firm of the year: Nordea Asset Management
Risk Awards 2021: focus on tail risk – and a little ice in the veins – helped Nordea stare down Covid
Buy-side quant of the year: Alex Lipton and Marcos Lopez de Prado
Risk Awards 2021: optimal trading solution was inspired by concept used in nuclear cooling
Rising stars in quant finance: Iuliia Manziuk and Bastien Baldacci
Risk Awards 2021: new research tackles ‘fundamental’ but largely ignored smart order routing problem
Solving final value problems with deep learning
Pricing vanilla and exotic options with a deep learning approach for PDEs
Union beckons for the three quant tribes
Studies may be deferred, but future for grads is bright, argues UBS’s Gordon Lee
Numerical techniques for the Heston collocated volatility model
In this paper, the authors discuss all aspects of derivative pricing under the Heston–CLV model: calibration with an efficient Fourier method; a Monte Carlo simulation with second-order convergence; and accurate partial differential equation pricing…
Quant Finance Master’s Guide 2021
Risk.net’s guide to the world’s leading quant master’s programmes, with the top 25 schools ranked
Quant Guide 2021: Princeton still top, but runners-up close gap
Baruch takes second spot; Zurich, top-ranked European programme, rises to fourth
Review of 2020: chaos on a roll
Vanishing liquidity, the Ronin collapse, XVAs – the pandemic wreaked havoc in risk transfer markets
Trend followers fall under speeding equity markets
Riding trends in equity markets is proving to be a risky pastime for quant investors
Science friction: some tire of waiting for quantum’s leap
Use cases for new tech are piling up – from CVA to VAR. But so are the obstacles
Broken backtests leave quant researchers at a loss
As historical data loses relevance, quants must find new ways to validate their theories
Danske quants discover speedier way to crunch XVAs
Differential machine learning produces results “thousands of times faster and with similar accuracy”
Fund managers seek to plug holes in ESG data
Social intel proves elusive as virus reawakens sense of corporate virtue