Quantcast – a Risk.net Cutting Edge podcast

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

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

  1. Vladimir Piterbarg And Nikolai Nowaczyk 24 - 10 - 24

    25 OCT

    Vladimir Piterbarg And Nikolai Nowaczyk 24 - 10 - 24

    Quantcast: Piterbarg and Nowaczyk on decorrelating variables. A novel data manipulation technique strengthens backtesting on correlated data.

    29 min
  2. Alvaro Cartea, 19/07/2024

    24 JUL

    Alvaro Cartea, 19/07/2024

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

    44 min
  3. Lorenzo Ravagli, 09/07/2024

    12 JUL

    Lorenzo Ravagli, 09/07/2024

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

    45 min
  4. Olivier Daviaud 29/04/24

    3 MAY

    Olivier Daviaud 29/04/24

    JP Morgan quant discusses his alternative to Greeks decomposition

    20 min
  5. Giorgios Skoufis 11/03/24

    15 MAR

    Giorgios Skoufis 11/03/24

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

    43 min
  6. Artur Sepp – 17/08/23

    18/08/2023

    Artur Sepp – 17/08/23

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

    46 min
  7. Julien Guyon – 01/08/23

    04/08/2023

    Julien Guyon – 01/08/23

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

    1 hr
  8. Jan Rosenzweig – 16/05/23

    19/05/2023

    Jan Rosenzweig – 16/05/23

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

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

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