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.
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
Intraday power storage and demand optionality
George Levy discusses the value of intraday power storage and demand optionality in UK power contracts
Podcast: Brigo on derivatives, AI, machine learning and more
Genuine artificial intelligence remains "very, very far away", says Imperial College's Brigo
Investors take note as quality in Japan wakes up
Upturn in performance creates chance of “fundamental factor timing”, analyst says
Quant analyst Antonov to swap Numerix for Standard Chartered
New role in London only second for Numerix veteran
Review of 2017: All sorts of volatility, bar one
Markets were oddly calm this year, while everything else was in motion
History suggests stock market crash not imminent – Goetzmann
Stock market bubbles have seldom burst, says Yale economist
Study finds holes in quality factor indexes
Metrics commonly used to build indexes bring zero alpha, says Research Affiliates
Machine learning is not just for the buy side
Sell-side quants develop machine learning technique to optimise margin costs
Funds seek ways to stay clear of factor flows
Gyrations in momentum and value are a reminder that investors can be swept up in factor reversals
Quantitative finance still needs mathematicians
Quants develop model that fixes a longstanding problem with pricing American options
Local volatility from American options
De Marco and Henry-Labordère provide an approximation of American options in terms of the local volatility function
XVA quant Kenyon leaves Lloyds for MUFG
Kenyon jumps ship for similar role in XVA quant modelling
Updated: Quant Finance Master’s Guide 2017
Welcome to Risk.net’s guide to the world’s leading quantitative finance master’s programmes
Banks shelving alternative beta products at increasing pace
Data suggests overfitting partly to blame for mothballing of two in five strategies
BlackRock to use machine learning to gauge liquidity risk
Firm close to rolling out new models for redemption risk and market liquidity
Profile: Quant boss touts benefits of tech team merger
TD Securities says combining teams has allowed rapid rollout of platform for risk and P&L management
Trading lightly: cross-impact and optimal portfolio execution
A liquidity model for basket of correlated securities is presented
Analyse this: the future for quants
Quant headcount is up on pre-crisis levels, but jobs in front-office functions have been decimated
Quants head for the shop floor
Demand for technical skills is growing, but roles have changed – and some schools are not keeping up
The quant factory: not muppets, but not perfect
Universities offering quant master’s programmes must adapt to stay relevant, writes UBS’s Gordon Lee