Quantcast – a Risk.net Cutting Edge podcast

Alexei Kondratyev talks about his latest article, which seeks to understand natural curve shapes with the help of artificial neural networks.

Thomas Roos, a London-based consultant specialising in derivatives, talks about models that produce arbitrageable swaptions prices and the crude methods firms currently use to fix them.

Research on adjoint algorithmic differentiation is not complete until it becomes easier to implement, says quant

Post-Libor environment and financial crime detection to drive future research, says top quant

Giorgia Callegaro, Lucio Fiorin and Martino Grasselli, authors of 'American quantized calibration in stochastic volatility', introduce a pricing model for European and American-style options with stochastic volatility.

Damiano Brigo, chair of mathematical finance at Imperial College London, shares his thoughts on the lost causes, the present role and the future prospects of quantitative finance.