Quantcast: Piterbarg and Nowaczyk on decorrelating variables. A novel data manipulation technique strengthens backtesting on correlated data.Di Quantcast – a Risk.net Cutting Edge podcast

Oxford-Man Institute director worries ML-based trading could have anti-competitive effectsDi Quantcast – a Risk.net Cutting Edge podcast

JP Morgan quant Lorenzo Ravagli proposes a unified framework for trading the volatility skew premiumDi Quantcast – a Risk.net Cutting Edge podcast

JP Morgan quant discusses his alternative to Greeks decompositionDi Quantcast – a Risk.net Cutting Edge podcast

Bloomberg quant discusses his new approach for calculating convexity adjustments for RFR swapsDi Quantcast – a Risk.net Cutting Edge podcast

Quant says high volatility requires pricing and risk management models to be revisitedDi Quantcast – a Risk.net Cutting Edge podcast

​​​​​​​Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical biasDi Quantcast – a Risk.net Cutting Edge podcast

Portfolio manager and academic researcher talks about how his technique applies to LDI portfoliosDi Quantcast – a Risk.net Cutting Edge podcast

Industry quant teams up with academics to build better risk tools for FX marketsDi Quantcast – a Risk.net Cutting Edge podcast

Julius Baer equity quant revels in solving problems for the trading desk.Di Quantcast – a Risk.net Cutting Edge podcast

Igor Halperin talks with Mauro CesaDi Quantcast – a Risk.net Cutting Edge podcast

A discussion around alternatives designed to overcome the pitfalls of neural networks.Di Quantcast – a Risk.net Cutting Edge podcast

Chris Kenyon: the right way to wrong-way risk and climate risk in XVADi Quantcast – a Risk.net Cutting Edge podcast

Marc Henrard – 02/08/22 by Quantcast – a Risk.net Cutting Edge podcastDi Quantcast – a Risk.net Cutting Edge podcast

Gordon Ritter – 24/06/22 by Quantcast – a Risk.net Cutting Edge podcastDi Quantcast – a Risk.net Cutting Edge podcast

Lipton on automated FX market-making and the perils of stablecoinsDi Quantcast – a Risk.net Cutting Edge podcast

JP Morgan quant explains the importance of de-trending training datasetsDi Quantcast – a Risk.net Cutting Edge podcast

Clearing house is “seriously considering” contributing to own default waterfallDi Quantcast – a Risk.net Cutting Edge podcast

Gordon Lee – 11/02/22 by Quantcast – a Risk.net Cutting Edge podcastDi Quantcast – a Risk.net Cutting Edge podcast

Applied maths professor talks about how to calculate the contributions to value-at-riskDi Quantcast – a Risk.net Cutting Edge podcast

Oxford-Man Institute quant, Stefan Zohren, shows how to use deep learning for forecastingDi Quantcast – a Risk.net Cutting Edge podcast

Antonov on pricing not-so-vanilla rates products – new model makes it easier to coherently price correlated derivativesDi Quantcast – a Risk.net Cutting Edge podcast

Quants achieve more speed by reducing number of dimensions in price calculationsDi Quantcast – a Risk.net Cutting Edge podcast

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 SciencesDi Quantcast – a Risk.net Cutting Edge podcast

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 endDi Quantcast – a Risk.net Cutting Edge podcast