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Conversations around the latest articles and topics covered by Risk.net's Cutting Edge team.
Matthias Arnsdorf talks about how to adjust the capital valuation adjustment. The JP Morgan quant proposes an alternative calculation that would reduce the charge by an order of magnitude.By Quantcast – a Risk.net Cutting Edge podcast
CFM’s Bouchaud on agent-based models and ESG investingBy Quantcast – a Risk.net Cutting Edge podcast
Dario Villani - 28/07/20 by Quantcast – a Risk.net Cutting Edge podcastBy Quantcast – a Risk.net Cutting Edge podcast
Lipton and De Prado discuss trading strategies and Covid-19 modellingBy Quantcast – a Risk.net Cutting Edge podcast
Quants explain application latest techniques to produce synthetic dataBy Quantcast – a Risk.net Cutting Edge podcast
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Alexei Kondratyev and Christian Schwarz – 16/01/19
26:37
26:37
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By Quantcast – a Risk.net Cutting Edge podcast
By Quantcast – a Risk.net Cutting Edge podcast
Mats Kjaer discusses a balance-sheet based model in which he derives breakeven price and valuation adjustments of a new trade for the firm and the shareholdersBy Quantcast – a Risk.net Cutting Edge podcast
Model validation for ES-based risk models is not only possible but far more informative than traditional model acceptance on the basis of VAR exceedance counting, says head of valuation and quantitative solutions at Banque Pictet in GenevaBy Quantcast – a Risk.net Cutting Edge podcast
Numerix's Andrew McClelland talks to Mauro Cesa in relation to an upcoming Risk.net paper – MVA: future IM for client trades anddynamic hedgesBy Quantcast – a Risk.net Cutting Edge podcast
Quants talk about new technique that can model wrong-way risk betterBy Quantcast – a Risk.net Cutting Edge podcast
Quant says a new machine learning technique could change the way banks hedge derivativesBy Quantcast – a Risk.net Cutting Edge podcast
How quantum theory could aid portfolio constructionBy Quantcast – a Risk.net Cutting Edge podcast
Credit Suisse quant talks about new paper on valuing quanto optionsBy Quantcast – a Risk.net Cutting Edge podcast
Combination of rough volatility and the classical Heston model gives promising resultsBy Quantcast – a Risk.net Cutting Edge podcast
Marc Henrard, a managing partner at muRisQ Advisory, visited our London offices to record a podcast on the challenges of Libor transition as part of benchmark reform. He was joined over the phone by Fabio Mercurio, head of the quant analytics team at Bloomberg.By Quantcast – a Risk.net Cutting Edge podcast
Course director discusses machine learning explainability and reclaiming game theory from economistsBy Quantcast – a Risk.net Cutting Edge podcast
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Chris Kenyon and Mourad Berrahoui – 17/01/19
23:15
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Chris Kenyon and Mourad Berrahoui discuss the pitfalls of PFE and propose a replacement to the existing credit risk measureBy Quantcast – a Risk.net Cutting Edge podcast
Dominique Bang discusses a novel method to mix a pure stochastic volatility process with a generic local volatility function, using Lamperti’s transformBy Quantcast – a Risk.net Cutting Edge podcast
Adolfo Montoro, a director in the market risk management and risk methodology team at Deutsche Bank, visited our offices in London to discuss his new paper, The revised P&L attribution test and the suitability of new proposed thresholds, co-written by two of his colleagues, Marco Spinaci and Marc Georgi.…
StanChart quant proposes new technique to compute margin valuation adjustment quickerBy Quantcast – a Risk.net Cutting Edge podcast
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Pierre Henry-Labordere and Hamza Guennoun - 01/08/2018
16:53
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Pierre Henry-Labordere and Hamza Guennoun discuss exotics calibration, machine learning and autocallable pricingBy Quantcast – a Risk.net Cutting Edge podcast
MIT quant says next project will be to combine behavioural science with tech such as machine learningBy Quantcast – a Risk.net Cutting Edge podcast
Emerging market hard-currency bonds contain exposure to an EM sovereign and the underlying industry. Richard Martin, Tolga Uzuner and Yao Ma investigate how to model this as a modification of the well-known first-to-default basket, using the structural model, and find the approach feasibleBy Quantcast – a Risk.net Cutting Edge podcast
Alexei Kondratyev talks about his latest article, which seeks to understand natural curve shapes with the help of artificial neural networks.By Quantcast – a Risk.net Cutting Edge podcast
Thomas Roos, a London-based consultant specialising in derivatives, talks about models that produce arbitrageable swaptions prices and the crude methods firms currently use to fix them.By Quantcast – a Risk.net Cutting Edge podcast
Research on adjoint algorithmic differentiation is not complete until it becomes easier to implement, says quantBy Quantcast – a Risk.net Cutting Edge podcast
Post-Libor environment and financial crime detection to drive future research, says top quantBy Quantcast – a Risk.net Cutting Edge podcast
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Giorgia Callegaro, Lucio Fiorin And Martino Grasselli - 30/01/18
16:58
16:58
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Giorgia Callegaro, Lucio Fiorin and Martino Grasselli, authors of 'American quantized calibration in stochastic volatility', introduce a pricing model for European and American-style options with stochastic volatility.By Quantcast – a Risk.net Cutting Edge podcast
Damiano Brigo, chair of mathematical finance at Imperial College London, shares his thoughts on the lost causes, the present role and the future prospects of quantitative finance.By Quantcast – a Risk.net Cutting Edge podcast
