Numerix's Andrew McClelland talks to Mauro Cesa in relation to an upcoming Risk.net paper – MVA: future IM for client trades and dynamic hedges

Quants talk about new technique that can model wrong-way risk better

Quant says a new machine learning technique could change the way banks hedge derivatives

How quantum theory could aid portfolio construction

Credit Suisse quant talks about new paper on valuing quanto options

Combination of rough volatility and the classical Heston model gives promising results

Marc Henrard, a managing partner at muRisQ Advisory, visited our London offices to record a podcast on the challenges of Libor transition as part of benchmark reform. He was joined over the phone by Fabio Mercurio, head of the quant analytics team at Bloomberg.

Course director discusses machine learning explainability and reclaiming game theory from economists

Chris Kenyon and Mourad Berrahoui discuss the pitfalls of PFE and propose a replacement to the existing credit risk measure

Dominique Bang discusses a novel method to mix a pure stochastic volatility process with a generic local volatility function, using Lamperti’s transform