Quantcast – a Risk.net Cutting Edge podcast

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

Adolfo Montoro, a director in the market risk management and risk methodology team at Deutsche Bank, visited our offices in London to discuss his new paper, The revised P&L attribution test and the suitability of new proposed thresholds, co-written by two of his colleagues, Marco Spinaci and Marc Georgi.

StanChart quant proposes new technique to compute margin valuation adjustment quicker

Pierre Henry-Labordere and Hamza Guennoun discuss exotics calibration, machine learning and autocallable pricing

MIT quant says next project will be to combine behavioural science with tech such as machine learning

Emerging market hard-currency bonds contain exposure to an EM sovereign and the underlying industry. Richard Martin, Tolga Uzuner and Yao Ma investigate how to model this as a modification of the well-known first-to-default basket, using the structural model, and find the approach feasible