Quantitative finance
WHAT IS THIS? Quantitative finance is a field of applied mathematics concerned with financial markets. In banking, it spread from the pricing of derivatives to the modelling of credit, market and operational risks. Today’s quantitative analysts are scattered across a range of functions, from risk management and model validation, to data science, algorithmic trading and regulatory compliance.
Solving final value problems with deep learning
Pricing vanilla and exotic options with a deep learning approach for PDEs
Union beckons for the three quant tribes
Studies may be deferred, but future for grads is bright, argues UBS’s Gordon Lee
Numerical techniques for the Heston collocated volatility model
In this paper, the authors discuss all aspects of derivative pricing under the Heston–CLV model: calibration with an efficient Fourier method; a Monte Carlo simulation with second-order convergence; and accurate partial differential equation pricing…
Quant Finance Master’s Guide 2021
Risk.net’s guide to the world’s leading quant master’s programmes, with the top 25 schools ranked
Quant Guide 2021: Princeton still top, but runners-up close gap
Baruch takes second spot; Zurich, top-ranked European programme, rises to fourth
Review of 2020: chaos on a roll
Vanishing liquidity, the Ronin collapse, XVAs – the pandemic wreaked havoc in risk transfer markets
Trend followers fall under speeding equity markets
Riding trends in equity markets is proving to be a risky pastime for quant investors
Model misfires raise questions over training data
Quants wrestle with how far into the past their machine learning models should peer
Quants tout alternative carry trades for the ‘new normal’
Low rates and flatlining yield curves leave investors seeking carry in swaps and swaptions
Science friction: some tire of waiting for quantum’s leap
Use cases for new tech are piling up – from CVA to VAR. But so are the obstacles
Broken backtests leave quant researchers at a loss
As historical data loses relevance, quants must find new ways to validate their theories
Danske quants discover speedier way to crunch XVAs
Differential machine learning produces results “thousands of times faster and with similar accuracy”
Fund managers seek to plug holes in ESG data
Social intel proves elusive as virus reawakens sense of corporate virtue
For a post-Covid world, quant fund revives a contentious idea
Crisis puts out-of-vogue practice of “porting” alpha back in play
Quant finance courses tested by Covid’s echoing classrooms
Universities fret over drop in international students and demands of online learning
Optimal dynamic strategies on Gaussian returns
It is hoped that this paper will form a foundational approach to the study of dynamic strategies and how to optimize them. We make efforts to understand their properties without claiming to understand why they work (ie, why there are stable…
Volatility scaling flops in credit alt risk premia
Strategies miss recovery from March plunge, prompting rethink on speed of mean reversion
Podcast: Lipton and de Prado on Covid and trading strategies
Top quants discuss collaboration and their worries about the economic recovery
Bachelier – a strange new world for oil options
Model tuned to negative prices has implications for pricing, margining and delta hedging
Extreme volatility – Rising to the fair valuations challenge
Capital markets firms of all sizes continue to grapple with the challenge of developing fair valuations for the illiquid and hard-to-value securities they hold. While this scenario isn’t likely to be resolved anytime soon, there are specialist providers…
Two quants use options pricing tools to model Covid-19
New tool aims to gauge wider cost of virus control measures
Alt risk premia chasing 'tail beta' – again
Quant strategies that failed in the coronavirus crash face a reckoning
To model the real world, quants turn to synthetic data
Future financial models will be built using artificially generated data
The SABR forward smile
Thomas Roos presents the expressions for the implied volatilities of European and forward starting options