Quantcast – a Risk.net Cutting Edge podcast

JP Morgan quant Olivier Daviaud discusses his alternative to Greeks decomposition, exploring path dependency in P&L and implications for vanilla options. He delves into differences in options trading perspectives between market makers and buy side investors, and explores the link between option performance and volatility premium. Daviaud suggests rethinking P&L attribution for options, advocating for a new approach, and discusses portfolio analysis formula's application across asset classes and future research directions.

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

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

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

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

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

Igor Halperin talks with Mauro Cesa

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

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