Quantcast – a Risk.net Cutting Edge podcast

Oct 24 2024 60 ep. 32 mins 564
Quantcast – a Risk.net Cutting Edge podcast artwork

Conversations around the latest articles and topics covered by Risk.net's Cutting Edge team.

  Business
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Vladimir Piterbarg And Nikolai Nowaczyk 24 - 10 - 24

Oct 24 2024 28 mins  
Quantcast: Piterbarg and Nowaczyk on decorrelating variables. A novel data manipulation technique strengthens backtesting on correlated data.

Alvaro Cartea, 19/07/2024

Jul 24 2024 44 mins  
Oxford-Man Institute director worries ML-based trading could have anti-competitive effects

Lorenzo Ravagli, 09/07/2024

Jul 11 2024 44 mins  
JP Morgan quant Lorenzo Ravagli proposes a unified framework for trading the volatility skew premium

Olivier Daviaud 29/04/24

May 02 2024 20 mins  
JP Morgan quant discusses his alternative to Greeks decomposition

Giorgios Skoufis 11/03/24

Mar 14 2024 43 mins  
Bloomberg quant discusses his new approach for calculating convexity adjustments for RFR swaps

Artur Sepp – 17/08/23

Aug 17 2023 45 mins  
Quant says high volatility requires pricing and risk management models to be revisited

Julien Guyon – 01/08/23

Aug 03 2023 60 mins  
​​​​​​​Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias

Jan Rosenzweig – 16/05/23

May 19 2023 20 mins  
Portfolio manager and academic researcher talks about how his technique applies to LDI portfolios

Barzykin and Guéant – 28/03/23

Mar 28 2023 45 mins  
Industry quant teams up with academics to build better risk tools for FX markets

Valer Zetocha – 16/01/23

Jan 23 2023 38 mins  
Julius Baer equity quant revels in solving problems for the trading desk.