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.
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
Quant finance courses tested by Covid’s echoing classrooms
Universities fret over drop in international students and demands of online learning
Optimal dynamic strategies on Gaussian returns
It is hoped that this paper will form a foundational approach to the study of dynamic strategies and how to optimize them. We make efforts to understand their properties without claiming to understand why they work (ie, why there are stable…
Podcast: Lipton and de Prado on Covid and trading strategies
Top quants discuss collaboration and their worries about the economic recovery
Bachelier – a strange new world for oil options
Model tuned to negative prices has implications for pricing, margining and delta hedging
Alt risk premia chasing 'tail beta' – again
Quant strategies that failed in the coronavirus crash face a reckoning
To model the real world, quants turn to synthetic data
Future financial models will be built using artificially generated data
The SABR forward smile
Thomas Roos presents the expressions for the implied volatilities of European and forward starting options
Quants pitch in to improve pandemic models
The finance industry’s quants are trying their hand at modelling the virus and its economic impact
Covid transparency would soothe markets – Harvey
“Why aren’t our policy-makers sharing their models?” asks Duke University economist
‘Huge role’ for quants in Covid-19 response – MIT’s Lo
Policy-maker actions or missteps will drive markets, academic says
Quant Guide 2020: programmes tap banks for teaching talent
Unis are adding machine learning and data science courses, but need instructors to teach them
Quant Guide 2020: Princeton University
Princeton, New Jersey, US
Quant Guide 2020: Johns Hopkins University
Baltimore, Maryland, US
Quant Guide 2020: University of Illinois at Urbana-Champaign
Urbana and Champaign, Illinois, US
Quant Guide 2020: City University of Hong Kong
Hong Kong, China
Quant Guide 2020: University of Technology Sydney
Sydney, Australia