Quantcast – a Risk.net Cutting Edge podcast

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