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.
When bonds struggle, so does alt premia – research
Ties between alternative risk premia and fixed income closer than appreciated
From trend follower to trailblazer
New fund targets commodities others are “scared” to trade – from asphalt to glass panels
The machine shines in Hong Kong A-share fund
Strategy run by ChinaAMC (HK) combines machine learning with human judgement to outdo rivals
UBS hires Moussa from Credit Suisse for Asia QIS role
Imene Moussa to work on QIS and off-balance-sheet structuring across the region
Humans struggle to keep pace with machine learning
Banks and regulators grapple with ‘XAI’ challenge
What’s in the box? Bad year reveals alt premia’s gaps
Average fund is down almost 5%, but gap between best and worst performers is 14%
Lesson from alt premia’s horrible year: be patient
Investment approach’s diversification benefits can’t be relied on in the short term
Banks discreetly seek personnel to mine alt data riches
Citi, Credit Suisse, HSBC and Morgan Stanley are hiring data scientists for a plethora of new initiatives
Ryan Labs harvests ‘flight-to-quality premium’
Defensive risk premia strategy buys ultra-long-dated Treasury futures when markets panic
Risk transformation of a zero-subsidy wind portfolio
Joaquin Narro analyses the hedging of a hypothetical zero-subsidy wind portfolio with base load products in the futures markets
Rogue traders versus value-at-risk and expected shortfall
VAR and ES are ineffective to deter rogue trading
Curbing rogue behaviour
Regulators should try to combat rogue trading by measuring traders’ risk-taking differently, say quants
Market mean reversion takes longer than expected – CFM quants
Research on how long trends last could help avoid fallout from drawdowns like February’s
Quants warn over flaws in machine learning predictions
Six quants debate whether the tool can adjust to paradigm shifts in financial markets
Don’t count on vol regime change – BlackRock quant
“This time next year volatility will most likely be low,” says Fishwick
XVA: back to CVA?
Fundamental questions on CVA remain unanswered, writes mathematical finance head
Podcast: Mercurio on Libor, fraud and writing models on a plane
Post-Libor environment and financial crime detection to drive future research, says top quant
The present of futures
Fabio Mercurio introduces a new multi-curve model for pricing futures convexity adjustments
Quants needed: how finance can use power of quantum tech
New machines have big potential in AI, valuations and VAR, but tech giants like IBM need help from practitioners
EU market abuse rules could trip alternative data users
Regulators might treat some new datasets as inside information, lawyers say
Foreign exchange correlation swap: problem solver or troublemaker?
A correlation structure is an important element in pricing products such as correlation swaps
Podcast: Callegaro, Fiorin and Grasselli on quantization
High-dimension problems can be solved with discretisation techniques
American quantized calibration in stochastic volatility
Fiorin, Callegaro and Grasselli show how discretisation methods reduce computing time in high-dimensional problems
Time to move on from risk-neutral valuation?
Risk-neutral valuation could be replaced by models with a subjectivity element, writes mathematical finance head