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.
Stocks and bonds start to move in step, making quants jittery
Long-established inverse correlation between asset classes breaks down during first quarter
A look at asset liquidation from a different angle
Quants propose a novel approach to assess liquidation cost and stress-testing for hard-to-sell assets
Earnings call analysis 2.0 goes beyond good and bad words
Quants develop new ways to extract signals from media-savvy chief executives and their financial statements
Deep hedging pioneer Hans Buehler quits JP Morgan
Former global head of equities analytics will be joining XTX Markets
It’s complicated: why backtesting is so challenging, but so important
Hiroshi Tanase, executive director of product analysis and design at S&P Global Market Intelligence, explores why, with the implementation of phase five of uncleared margin rules (UMR) last September and with the phase six roll-out just around the corner…
Is it worth doing a quant master’s degree?
UBS’s Gordon Lee – veteran quant and grad student supervisor – asks the hard question
Quant of the year: Hans Buehler
Risk Awards 2022: Architect of deep hedging aims to supplant orthodox models with method based purely on data
Quant investment house of the year: Transtrend
Risk Awards 2022: Commodities long shot pays off for trend follower
Rising star in quant finance: Silvana Pesenti
Risk Awards 2022: New approach allows portfolios to be optimised and aligned with benchmarks
Quant Finance Master’s Guide 2022
Risk.net’s guide to the world’s leading quant master’s programmes, with the top 25 schools ranked
Princeton, Baruch and Berkeley top for quant master’s degrees
Eight of 10 leading schools for quantitative finance programmes are based in US, latest rankings show
What quant finance can learn from a 240-year-old problem
Optimal transport theory offers a data-driven way to calibrate derivatives pricing models
Investors question fixes for a quant strategy that’s stalled
Banks are revamping intraday trend strategies; buy-siders aren’t sure it’ll work
Nonlinear risk decomposition for any type of fund
A risk decomposition by fund manager, factor or instrument is proposed
Hints on quantification approaches
Tiziano Bellini, head of risk integration competence line, international markets at Prometeia, examines the key components of successful model risk management, focusing on the importance of integration, processes, governance and IT solutions to…
House of the year, Australia: ANZ Bank
Asia Risk Awards 2021
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
The evolution of stress-testing capabilities, design and monitoring
Risk technology, data strategy and innovation audiocast series (part 3 of a series of 3)
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 fund aims to tame bitcoin, and 39 other digital assets
Ex-Morgan Stanley, Winton vets reimagine institutional risk management for volatile crypto markets