Quantcast – a Risk.net Cutting Edge podcast - podcast cover

Quantcast – a Risk.net Cutting Edge podcast

Quantcast – a Risk.net Cutting Edge podcast•www.risk.net
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Conversations around the latest articles and topics covered by Risk.net's Cutting Edge team.
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Episodes

Alvaro Cartea, 19/07/2024

Oxford-Man Institute director worries ML-based trading could have anti-competitive effects

Jul 24, 2024•44 min

Lorenzo Ravagli, 09/07/2024

JP Morgan quant Lorenzo Ravagli proposes a unified framework for trading the volatility skew premium

Jul 12, 2024•45 min

Giorgios Skoufis 11/03/24

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

Mar 15, 2024•43 min

Artur Sepp – 17/08/23

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

Aug 18, 2023•46 min

Julien Guyon – 01/08/23

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

Aug 04, 2023•1 hr

Jan Rosenzweig – 16/05/23

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

May 19, 2023•21 min

John Fennell – 25/10/18

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

Feb 16, 2022•41 min

Gordon Lee – 11/02/22

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

Feb 15, 2022•34 min

Matthew Dixon – 16/12/21

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

Dec 20, 2021•35 min

Stefan Zohren – 26/11/21

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

Dec 10, 2021•32 min

Alexandre Antonov – 21/10/21

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

Oct 25, 2021•25 min

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

Aug 25, 2021•32 min
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