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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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