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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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