Articles

Articles

Putting the H in XVAs

Barclays quant proposes methodology for factoring hedging costs into derivatives valuations.

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Setting boundaries for neural networks

Quants unveil new technique for controlling extrapolation by neural networks.

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Breaking barriers in options pricing

A new technique for pricing exotic options unifies two classic models.

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Degree of influence: volatility shakes markets and quant finance

Volatility and machine learning were among the top research areas for quants this year.

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Danske quants discover speedier way to crunch XVAs

Differential machine learning produces results “thousands of times faster and with similar accuracy”.

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Time to move on from mean-variance diversification

A new diversification measure appears to produce better results than mean-variance optimisation.

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