Quantcast – a Risk.net Cutting Edge podcast

Risk Quantcast Stefano Iabichino 06/11/25 by Quantcast – a Risk.net Cutting Edge podcast

Imperial College’s mathematical finance head introduces new tool to measure slippage and trade quality

Quant finance

BoE quant discusses a top-down counterparty risk framework that uses Gaussian distributions and copulae

Trio of senior quants explain how autoencoders can reduce dimensionality in yield curves

Lyudmil Zyapkov on modelling forward variance skew

Adia quant explains how to apply hierarchical risk parity to a minimum-variance portfolio

Alexei Kondratyev on quantum computing

Quantcast: Piterbarg and Nowaczyk on decorrelating variables. A novel data manipulation technique strengthens backtesting on correlated data.

Oxford-Man Institute director worries ML-based trading could have anti-competitive effects

JP Morgan quant Lorenzo Ravagli proposes a unified framework for trading the volatility skew premium

JP Morgan quant discusses his alternative to Greeks decomposition

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

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

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