Putting the H in XVAs
Barclays quant proposes methodology for factoring hedging costs into derivatives valuations.
Setting boundaries for neural networks
Quants unveil new technique for controlling extrapolation by neural networks.
Breaking barriers in options pricing
A new technique for pricing exotic options unifies two classic models.
Degree of influence: volatility shakes markets and quant finance
Volatility and machine learning were among the top research areas for quants this year.
Danske quants discover speedier way to crunch XVAs
Differential machine learning produces results “thousands of times faster and with similar accuracy”.
Time to move on from mean-variance diversification
A new diversification measure appears to produce better results than mean-variance optimisation.