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Quantcast – a Risk.net Cutting Edge podcast

Author: Quantcast – a Risk.net Cutting Edge podcast

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Conversations around the latest articles and topics covered by Risk.net's Cutting Edge team.
56 Episodes
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Giorgios Skoufis 11/03/24

Giorgios Skoufis 11/03/24

2024-03-1543:26

Bloomberg quant discusses his new approach for calculating convexity adjustments for RFR swaps
Artur Sepp – 17/08/23

Artur Sepp – 17/08/23

2023-08-1845:43

Quant says high volatility requires pricing and risk management models to be revisited
Julien Guyon – 01/08/23

Julien Guyon – 01/08/23

2023-08-0401:00:07

​​​​​​​Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias
Jan Rosenzweig – 16/05/23

Jan Rosenzweig – 16/05/23

2023-05-1920:39

Portfolio manager and academic researcher talks about how his technique applies to LDI portfolios
Barzykin and Guéant – 28/03/23

Barzykin and Guéant – 28/03/23

2023-03-2845:40

Industry quant teams up with academics to build better risk tools for FX markets
Valer Zetocha – 16/01/23

Valer Zetocha – 16/01/23

2023-01-2438:34

Julius Baer equity quant revels in solving problems for the trading desk.
Igor Halperin – 08/12/22

Igor Halperin – 08/12/22

2022-12-1339:38

Igor Halperin talks with Mauro Cesa
Antonov and Piterbarg – 22/11/22

Antonov and Piterbarg – 22/11/22

2022-11-2433:10

A discussion around alternatives designed to overcome the pitfalls of neural networks.
Chris Kenyon – 16/09/22

Chris Kenyon – 16/09/22

2022-09-2917:27

Chris Kenyon: the right way to wrong-way risk and climate risk in XVA
Marc Henrard – 02/08/22

Marc Henrard – 02/08/22

2022-08-0831:05

Marc Henrard – 02/08/22 by Quantcast – a Risk.net Cutting Edge podcast
Gordon Ritter – 24/06/22

Gordon Ritter – 24/06/22

2022-06-2842:10

Gordon Ritter – 24/06/22 by Quantcast – a Risk.net Cutting Edge podcast
Alex Lipton – 12/05/22

Alex Lipton – 12/05/22

2022-05-1338:56

Lipton on automated FX market-making and the perils of stablecoins
Hans Buehler – 01/03/22

Hans Buehler – 01/03/22

2022-03-0716:37

JP Morgan quant explains the importance of de-trending training datasets
John Fennell – 25/10/18

John Fennell – 25/10/18

2022-02-1640:31

Clearing house is “seriously considering” contributing to own default waterfall
Gordon Lee – 11/02/22

Gordon Lee – 11/02/22

2022-02-1534:22

Gordon Lee – 11/02/22 by Quantcast – a Risk.net Cutting Edge podcast
Matthew Dixon – 16/12/21

Matthew Dixon – 16/12/21

2021-12-2034:35

Applied maths professor talks about how to calculate the contributions to value-at-risk
Stefan Zohren – 26/11/21

Stefan Zohren – 26/11/21

2021-12-1031:43

Oxford-Man Institute quant, Stefan Zohren, shows how to use deep learning for forecasting
Alexandre Antonov – 21/10/21

Alexandre Antonov – 21/10/21

2021-10-2524:30

Antonov on pricing not-so-vanilla rates products – new model makes it easier to coherently price correlated derivatives
Antoine Savine and Brian Huge – 22/09/21

Antoine Savine and Brian Huge – 22/09/21

2021-09-2435:51

Quants achieve more speed by reducing number of dimensions in price calculations
Petter Kolm – 23/08/21

Petter Kolm – 23/08/21

2021-08-2532:11

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
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