All episodes of Quantcast – a Risk.net Cutting Edge podcast

Quantcast – a Risk.net Cutting Edge podcast

Episodes

Olivier Daviaud 29/04/24

JP Morgan quant discusses his alternative to Greeks decomposition

Published 05/03/24

Quantcast – a Risk.net Cutting Edge podcast

Published 05/03/24

Giorgios Skoufis 11/03/24

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

Published 03/15/24

Artur Sepp – 17/08/23

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

Published 08/18/23

Julien Guyon – 01/08/23

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

Published 08/04/23

Jan Rosenzweig, 16/05/2023

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

Published 05/19/23

Barzykin And Guéant Podcast 0323

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

Published 03/28/23

Valer Zetocha 16/01/2023

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

Published 01/24/23

Igor Halperin 08/12/2022

Igor Halperin talks with Mauro Cesa

Published 12/13/22

Antonov and Piterbarg 22/11/22

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

Published 11/24/22

Chris Kenyon 22:09:16

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

Published 09/29/22

Marc Henrard 22/08/02

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

Published 08/08/22

Gordon Ritter 24/06/22

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

Published 06/28/22

Alex Lipton – 12/05/2022

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

Published 05/13/22

Hans Buehler – 01/03/2022

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

Published 03/07/22

Risk.net podcast: John Fennell – 25/10/18

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

Published 02/16/22

Gordon Lee - 11/02/22

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

Published 02/15/22

Matthew Dixon – 16/12/21

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

Published 12/20/21

Stefan Zohren – 26/11/21

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

Published 12/10/21

Alexandre Antonov – 21/10/21

Antonov on pricing not-so-vanilla rates products – new model makes it easier to coherently price correlated derivatives

Published 10/25/21

Antoine Savine And Brian Huge – 22/09/21

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

Published 09/24/21

Petter Kolm – 23/08/21

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

Published 08/25/21

Colin Turfus – 05/08/21

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

Published 08/05/21

Claudio Albanese – 21/07/21

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

Published 07/14/21

Vladimir Piterbarg – 28/05/21

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

Published 06/02/21