Quantcast – a Risk.net Cutting Edge podcast

Barzykin and Guéant – 28/03/23 28.03.2023 45:40 ↓

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

Valer Zetocha – 16/01/23 24.01.2023 38:34 ↓

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

Igor Halperin – 08/12/22 13.12.2022 39:38 ↓

Igor Halperin talks with Mauro Cesa

Antonov and Piterbarg – 22/11/22 24.11.2022 33:10 ↓

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

Chris Kenyon – 16/09/22 29.09.2022 17:27 ↓

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

Marc Henrard – 02/08/22 08.08.2022 31:05 ↓

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

Gordon Ritter – 24/06/22 28.06.2022 42:10 ↓

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

Alex Lipton – 12/05/22 13.05.2022 38:56 ↓

Lipton on automated FX market-making and the perils of stablecoins

Hans Buehler – 01/03/22 07.03.2022 16:37 ↓

JP Morgan quant explains the importance of de-trending training datasets

John Fennell – 25/10/18 16.02.2022 40:31 ↓

Clearing house is “seriously considering” contributing to own default waterfall

Gordon Lee – 11/02/22 15.02.2022 34:22 ↓

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

Matthew Dixon – 16/12/21 20.12.2021 34:35 ↓

Applied maths professor talks about how to calculate the contributions to value-at-risk

Stefan Zohren – 26/11/21 10.12.2021 31:43 ↓

Oxford-Man Institute quant, Stefan Zohren, shows how to use deep learning for forecasting

Alexandre Antonov – 21/10/21 25.10.2021 24:30 ↓

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 24.09.2021 35:51 ↓

Quants achieve more speed by reducing number of dimensions in price calculations

Petter Kolm – 23/08/21 25.08.2021 32:11 ↓

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

Colin Turfus – 05/08/21 05.08.2021 17:12 ↓

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 end

Claudio Albanese – 21/06/21 14.07.2021 28:40 ↓

Darwin’s theory of natural section could help quants detect flawed models and strategies, says Claudio Albanese, founder and head of development at Global Valuation

Vladimir Piterbarg – 28/05/21 02.06.2021 30:09 ↓

How the Libor transition inspired NatWest quant Vladimir Piterbarg’s latest paper on exotic derivatives valuation

Patrick Hagan – 06/05/2021 11.05.2021 32:46 ↓

Ex-JP Morgan quant Patrick Hagan discusses his latest work and the risk failures that cost the bank $6 billion in 2012.

Ben Burnett – 21/03/21 01.04.2021 27:05 ↓

Ben Burnett, a director of the XVA quant team at Barclays, discusses the development and application of a hedging valuation adjustment to derivatives transactions.

Richard Martin – 05/03/2021 12.03.2021 18:32 ↓

Star quant proposes a new model for predicting changes in bond ratings

Matthias Arnsdorf – 24/11/20 27.11.2020 28:48 ↓

Matthias Arnsdorf talks about how to adjust the capital valuation adjustment. The JP Morgan quant proposes an alternative calculation that would reduce the charge by an order of magnitude.

Jean-Philippe Bouchaud – 01/09/20 02.09.2020 47:12 ↓

CFM’s Bouchaud on agent-based models and ESG investing

Dario Villani - 28/07/20 06.08.2020 1:00:17 ↓

Dario Villani - 28/07/20 by Quantcast – a Risk.net Cutting Edge podcast