Quantcast – a Risk.net Cutting Edge podcast
Conversations around the latest articles and topics covered by Risk.net's Cutting Edge team.
Latest episodes
Mar 7, 2022 • 17min
Hans Buehler – 01/03/22
JP Morgan quant explains the importance of de-trending training datasets
Feb 16, 2022 • 41min
John Fennell – 25/10/18
Clearing house is “seriously considering” contributing to own default waterfall
Feb 15, 2022 • 34min
Gordon Lee – 11/02/22
Gordon Lee – 11/02/22 by Quantcast – a Risk.net Cutting Edge podcast
Dec 20, 2021 • 35min
Matthew Dixon – 16/12/21
Applied maths professor talks about how to calculate the contributions to value-at-risk
Dec 10, 2021 • 32min
Stefan Zohren – 26/11/21
Oxford-Man Institute quant, Stefan Zohren, shows how to use deep learning for forecasting
Oct 25, 2021 • 25min
Alexandre Antonov – 21/10/21
Antonov on pricing not-so-vanilla rates products – new model makes it easier to coherently price correlated derivatives
Sep 24, 2021 • 36min
Antoine Savine and Brian Huge – 22/09/21
Quants achieve more speed by reducing number of dimensions in price calculations
Aug 25, 2021 • 32min
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 5, 2021 • 17min
Colin Turfus – 05/08/21
Colin Turfus, senior quant analyst at Deutsche Bank and author of ‘Risky caplet pricing with backward-looking rates’, on short-rate models and Libor’s end
Jul 14, 2021 • 29min
Claudio Albanese – 21/06/21
Darwin’s theory of natural section could help quants detect flawed models and strategies, says Claudio Albanese, founder and head of development at Global Valuation
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