Quantcast – a Risk.net Cutting Edge podcast

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Conversations around the latest articles and topics covered by Risk.net's Cutting Edge team.

Quantcast – a Risk.net Cutting Edge podcast


    • Mar 27, 2025 LATEST EPISODE
    • monthly NEW EPISODES
    • 33m AVG DURATION
    • 64 EPISODES


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    Latest episodes from Quantcast – a Risk.net Cutting Edge podcast

    Sokol, Lyashenko, Mercurio 25/03/25

    Play Episode Listen Later Mar 27, 2025 62:22


    Trio of senior quants explain how autoencoders can reduce dimensionality in yield curves

    Lyudmil Zyapkov, 27/02/25

    Play Episode Listen Later Mar 5, 2025 28:54


    Lyudmil Zyapkov on modelling forward variance skew

    Alexandre Antonov 04/02/2025

    Play Episode Listen Later Feb 7, 2025 30:03


    Adia quant explains how to apply hierarchical risk parity to a minimum-variance portfolio

    11/12/24 Risk Podcast - Alexei Kondratyev

    Play Episode Listen Later Dec 19, 2024 50:05


    Alexei Kondratyev on quantum computing

    Vladimir Piterbarg And Nikolai Nowaczyk 24 - 10 - 24

    Play Episode Listen Later Oct 25, 2024 28:41


    Quantcast: Piterbarg and Nowaczyk on decorrelating variables. A novel data manipulation technique strengthens backtesting on correlated data.

    Alvaro Cartea, 19/07/2024

    Play Episode Listen Later Jul 24, 2024 44:29


    Oxford-Man Institute director worries ML-based trading could have anti-competitive effects

    Lorenzo Ravagli, 09/07/2024

    Play Episode Listen Later Jul 12, 2024 44:45


    JP Morgan quant Lorenzo Ravagli proposes a unified framework for trading the volatility skew premium

    Olivier Daviaud 29/04/24

    Play Episode Listen Later May 3, 2024 20:12


    JP Morgan quant discusses his alternative to Greeks decomposition

    Giorgios Skoufis 11/03/24

    Play Episode Listen Later Mar 15, 2024 43:26


    Bloomberg quant discusses his new approach for calculating convexity adjustments for RFR swaps

    Artur Sepp – 17/08/23

    Play Episode Listen Later Aug 18, 2023 45:43


    Quant says high volatility requires pricing and risk management models to be revisited

    Julien Guyon – 01/08/23

    Play Episode Listen Later Aug 4, 2023 60:07


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

    Jan Rosenzweig, 16/05/2023

    Play Episode Listen Later May 19, 2023 20:39


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

    Barzykin And Guéant Podcast 0323

    Play Episode Listen Later Mar 28, 2023 45:40


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

    Valer Zetocha 16/01/2023

    Play Episode Listen Later Jan 24, 2023 38:34


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

    Igor Halperin 08/12/2022

    Play Episode Listen Later Dec 13, 2022 39:38


    Igor Halperin talks with Mauro Cesa

    Antonov and Piterbarg 22/11/22

    Play Episode Listen Later Nov 24, 2022 33:10


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

    Chris Kenyon 22:09:16

    Play Episode Listen Later Sep 29, 2022 17:27


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

    Marc Henrard 22/08/02

    Play Episode Listen Later Aug 8, 2022 31:05


    Marc Henrard 22/08/02 by Quantcast – a Risk.net Cutting Edge podcast

    Gordon Ritter 24/06/22

    Play Episode Listen Later Jun 28, 2022 42:10


    Gordon Ritter 24/06/22 by Quantcast – a Risk.net Cutting Edge podcast

    Alex Lipton – 12/05/2022

    Play Episode Listen Later May 13, 2022 38:56


    Lipton on automated FX market-making and the perils of stablecoins

    Hans Buehler – 01/03/2022

    Play Episode Listen Later Mar 7, 2022 16:37


    JP Morgan quant explains the importance of de-trending training datasets

    Risk.net podcast: John Fennell – 25/10/18

    Play Episode Listen Later Feb 16, 2022 40:31


    Clearing house is “seriously considering” contributing to own default waterfall

    Gordon Lee - 11/02/22

    Play Episode Listen Later Feb 15, 2022 34:22


    Gordon Lee - 11/02/22 by Quantcast – a Risk.net Cutting Edge podcast

    Matthew Dixon – 16/12/21

    Play Episode Listen Later Dec 20, 2021 34:35


    Applied maths professor talks about how to calculate the contributions to value-at-risk

    Stefan Zohren – 26/11/21

    Play Episode Listen Later Dec 10, 2021 31:43


    Oxford-Man Institute quant, Stefan Zohren, shows how to use deep learning for forecasting

    Alexandre Antonov – 21/10/21

    Play Episode Listen Later Oct 25, 2021 24:30


    Antonov on pricing not-so-vanilla rates products – new model makes it easier to coherently price correlated derivatives

    Antoine Savine And Brian Huge – 22/09/21

    Play Episode Listen Later Sep 24, 2021 35:51


    Quants achieve more speed by reducing number of dimensions in price calculations

    Petter Kolm – 23/08/21

    Play Episode Listen Later Aug 25, 2021 32:11


    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

    Colin Turfus – 05/08/21

    Play Episode Listen Later Aug 5, 2021 17:12


    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

    Claudio Albanese – 21/07/21

    Play Episode Listen Later Jul 14, 2021 28:40


    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

    Vladimir Piterbarg – 28/05/21

    Play Episode Listen Later Jun 2, 2021 30:09


    How the Libor transition inspired NatWest quant Vladimir Piterbarg's latest paper on exotic derivatives valuation

    Patrick Hagan – 06/05/2021

    Play Episode Listen Later May 11, 2021 32:46


    Ex-JP Morgan quant Patrick Hagan discusses his latest work and the risk failures that cost the bank $6 billion in 2012.

    Ben Burnett – 21/03/21

    Play Episode Listen Later Apr 1, 2021 27:05


    Ben Burnett, a director of the XVA quant team at Barclays, discusses the development and application of a hedging valuation adjustment to derivatives transactions.

    Richard Martin – 05/03/2021

    Play Episode Listen Later Mar 12, 2021 18:32


    Star quant proposes a new model for predicting changes in bond ratings

    Matthias Arnsdorf – 24/11/20

    Play Episode Listen Later Nov 27, 2020 28:48


    Matthias Arnsdorf talks about how to adjust the capital valuation adjustment. The JP Morgan quant proposes an alternative calculation that would reduce the charge by an order of magnitude.

    Jean-Philippe Bouchaud - 20:09:01

    Play Episode Listen Later Sep 2, 2020 47:12


    CFM’s Bouchaud on agent-based models and ESG investing

    Dario Villani - 28/07/20

    Play Episode Listen Later Aug 6, 2020 60:17


    Dario Villani - 28/07/20 by Quantcast – a Risk.net Cutting Edge podcast

    Lipton And De Prado – 16/06/20

    Play Episode Listen Later Jun 19, 2020 48:02


    Lipton and De Prado discuss trading strategies and Covid-19 modelling

    Horvath and Lee – 19/03/20

    Play Episode Listen Later Mar 19, 2020 36:37


    Quants explain application latest techniques to produce synthetic data

    Alexei Kondratyev and Christian Schwarz – 16/01/19

    Play Episode Listen Later Feb 5, 2020 26:37


    Market generator models may aid areas of finance where data is limited or sensitive, by generating new data with the same statistical properties, say Alexei Kondratyev and Christian Schwarz

    Andrew Dickinson – 09/01/20

    Play Episode Listen Later Jan 14, 2020 28:30


    Trades’ size limits, membership rules and more transparency are key to avoid another CCPs’ default, says BofA quant Andrew Dickinson

    Mats Kjaer 03/10/19

    Play Episode Listen Later Oct 15, 2019 17:14


    Mats Kjaer discusses a balance-sheet based model in which he derives breakeven price and valuation adjustments of a new trade for the firm and the shareholders

    Carlo Acerbi – 28/08/19

    Play Episode Listen Later Aug 29, 2019 34:34


    Model validation for ES-based risk models is not only possible but far more informative than traditional model acceptance on the basis of VAR exceedance counting, says head of valuation and quantitative solutions at Banque Pictet in Geneva

    Andrew McClelland – 31/07/19

    Play Episode Listen Later Aug 6, 2019 33:58


    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

    risk mva andrew mcclelland
    Chung And Gregory – 19/06/19

    Play Episode Listen Later Jul 2, 2019 17:57


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

    Hans Buehler – 28/05/19

    Play Episode Listen Later Jun 4, 2019 16:11


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

    Venturelli and Kondratyev – 24:05:19

    Play Episode Listen Later May 31, 2019 46:53


    How quantum theory could aid portfolio construction

    George Hong – 29:04:19

    Play Episode Listen Later Apr 30, 2019 19:41


    Credit Suisse quant talks about new paper on valuing quanto options

    Mathieu Rosenbaum – 11/04/19

    Play Episode Listen Later Apr 12, 2019 22:47


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

    Mercurio And Henrard – 19/03/19

    Play Episode Listen Later Mar 21, 2019 42:07


    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.

    René Carmona – 21/02/19

    Play Episode Listen Later Feb 25, 2019 46:37


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

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