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.
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
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