Quantcast – a Risk.net Cutting Edge podcast episodes:

• May 03, 2024Olivier Daviaud 29/04/24

  JP Morgan quant discusses his alternative to Greeks decomposition

  ...more

  

  ---

• March 15, 2024Giorgios Skoufis 11/03/24

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

  ...more

  

  ---

• August 18, 2023Artur Sepp – 17/08/23

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

  ...more

  

  ---

• August 04, 2023Julien Guyon – 01/08/23

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

  ...more

  

  ---

• May 19, 2023Jan Rosenzweig – 16/05/23

  Portfolio manager and academic researcher talks about how his technique applies to LDI portfolios

  ...more

  

  ---

• March 28, 2023Barzykin and Guéant – 28/03/23

  Industry quant teams up with academics to build better risk tools for FX markets

  ...more

  

  ---

• January 24, 2023Valer Zetocha – 16/01/23

  Julius Baer equity quant revels in solving problems for the trading desk.

  ...more

  

  ---

• December 13, 2022Igor Halperin – 08/12/22

  Igor Halperin talks with Mauro Cesa

  ...more

  

  ---

• November 24, 2022Antonov and Piterbarg – 22/11/22

  A discussion around alternatives designed to overcome the pitfalls of neural networks.

  ...more

  

  ---

• September 29, 2022Chris Kenyon – 16/09/22

  Chris Kenyon: the right way to wrong-way risk and climate risk in XVA

  ...more

  

  ---