Ben Burnett, a director of the XVA quant team at Barclays, discusses the development and application of a hedging valuation adjustment to derivatives transactions.

Ben Burnett – 21/03/21

Ex-JP Morgan quant Patrick Hagan discusses his latest work and the  risk failures that cost the bank $6 billion in 2012.

Patrick Hagan – 06/05/2021

Colin Turfus, senior quant analyst at Deutsche Bank and author of ‘Risky caplet pricing with backward-looking rates’, on short-rate models and Libor’s end

Colin Turfus – 05/08/21

TCA methodologies that ignore partial fills “might be off by 20% to 30%”, says Petter Kolm, professor of finance and director of the Mathematics in Finance master’s program at NYU’s Courant Institute of Mathematical Sciences

Petter Kolm – 23/08/21

Antonov on pricing not-so-vanilla rates products – new model makes it easier to coherently price correlated derivatives

Alexandre Antonov – 21/10/21

Oxford-Man Institute quant, Stefan Zohren, shows how to use deep learning for forecasting

Stefan Zohren – 26/11/21

Gordon Lee – 11/02/22

Clearing house is “seriously considering” contributing to own default waterfall

John Fennell – 25/10/18

JP Morgan quant explains the importance of de-trending training datasets

Hans Buehler – 01/03/22

Lipton on automated FX market-making and the perils of stablecoins

Alex Lipton – 12/05/22

Gordon Ritter – 24/06/22

Marc Henrard – 02/08/22

Chris Kenyon: the right way to wrong-way risk and climate risk in XVA

Chris Kenyon – 16/09/22

A discussion around alternatives designed to overcome the pitfalls of neural networks.

Antonov and Piterbarg – 22/11/22

Igor Halperin – 08/12/22

Julius Baer equity quant revels in solving problems for the trading desk.

Valer Zetocha – 16/01/23

Industry quant teams up with academics to build better risk tools for FX markets

Barzykin and Guéant – 28/03/23

Portfolio manager and academic researcher talks about how his technique applies to LDI portfolios

Jan Rosenzweig – 16/05/23

​​​​​​​Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias

Julien Guyon – 01/08/23

Quant says high volatility requires pricing and risk management models to be revisited

Artur Sepp – 17/08/23

Bloomberg quant discusses his new approach for calculating convexity adjustments for RFR swaps

Giorgios Skoufis 11/03/24

JP Morgan quant discusses his alternative to Greeks decomposition

Olivier Daviaud 29/04/24

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.

Damiano Brigo – 22/01/18

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.

Giorgia Callegaro, Lucio Fiorin and Martino Grasselli – 30/01/18

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 feasible

Richard Martin – 21/06/18

Pierre Henry-Labordere and Hamza Guennoun discuss exotics calibration, machine learning and autocallable pricing

Pierre Henry-Labordere and Hamza Guennoun – 01/08/18

Combination of rough volatility and the classical Heston model gives promising results

Mathieu Rosenbaum – 11/04/19

Quant says a new machine learning technique could change the way banks hedge derivatives

Hans Buehler –  28/05/19

Dario Villani - 28/07/20

CFM’s Bouchaud on agent-based models and ESG investing

Jean-Philippe Bouchaud – 01/09/20

Conversations around the latest articles and topics covered by Risk.net's Cutting Edge team.

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