Quantcast – a Risk.net Cutting Edge podcast
Episodes
Gordon Lee 19/02/2026 Risk Quantcast
09 Mar 2026
Contributed by Lukas
Gordon Lee 19/02/2026 Risk Quantcast by Quantcast – a Risk.net Cutting Edge podcast
Pietro Rossi Risk Quantcast
13 Feb 2026
Contributed by Lukas
Podcast: Pietro Rossi on credit transition matrices and volatility models
Walter Farkas Risk Quantcast MS
12 Dec 2025
Contributed by Lukas
Walter Farkas Risk Quantcast MS by Quantcast – a Risk.net Cutting Edge podcast
Jack Jacquier 14/10/25 Risk Quantcast MS
10 Dec 2025
Contributed by Lukas
Jack Jacquier 14/10/25 Risk Quantcast MS by Quantcast – a Risk.net Cutting Edge podcast
Kihun Nam, Risk Quantcast
05 Dec 2025
Contributed by Lukas
Kihun Nam, Risk Quantcast by Quantcast – a Risk.net Cutting Edge podcast
Petter Kolm 27/11/25 Risk Quantcast_MS
28 Nov 2025
Contributed by Lukas
Petter Kolm 27/11/25 Risk Quantcast_MS by Quantcast – a Risk.net Cutting Edge podcast
Laura Ballotta Risk Master’s Series
21 Nov 2025
Contributed by Lukas
Laura Ballotta Risk Master’s Series by Quantcast – a Risk.net Cutting Edge podcast
Risk Quantcast Stefano Iabichino 06/11/25
18 Nov 2025
Contributed by Lukas
Risk Quantcast Stefano Iabichino 06/11/25 by Quantcast – a Risk.net Cutting Edge podcast
Johannes Muhle-Karbe – 24/07/25
01 Aug 2025
Contributed by Lukas
Imperial College’s mathematical finance head introduces new tool to measure slippage and trade quality
Dario Villani and Kharen Musaelian, 19/06/2025
24 Jun 2025
Contributed by Lukas
Quant finance
Fabrizio Anfuso podcast 20/05/25
23 May 2025
Contributed by Lukas
BoE quant discusses a top-down counterparty risk framework that uses Gaussian distributions and copulae
Sokol, Lyashenko, Mercurio 25/03/25
27 Mar 2025
Contributed by Lukas
Trio of senior quants explain how autoencoders can reduce dimensionality in yield curves
Lyudmil Zyapkov, 27/02/25
05 Mar 2025
Contributed by Lukas
Lyudmil Zyapkov on modelling forward variance skew
Alexandre Antonov 04/02/2025
07 Feb 2025
Contributed by Lukas
Adia quant explains how to apply hierarchical risk parity to a minimum-variance portfolio
11/12/24 Risk Podcast - Alexei Kondratyev
19 Dec 2024
Contributed by Lukas
Alexei Kondratyev on quantum computing
Vladimir Piterbarg And Nikolai Nowaczyk 24 - 10 - 24
25 Oct 2024
Contributed by Lukas
Quantcast: Piterbarg and Nowaczyk on decorrelating variables. A novel data manipulation technique strengthens backtesting on correlated data.
Alvaro Cartea, 19/07/2024
24 Jul 2024
Contributed by Lukas
Oxford-Man Institute director worries ML-based trading could have anti-competitive effects
Lorenzo Ravagli, 09/07/2024
12 Jul 2024
Contributed by Lukas
JP Morgan quant Lorenzo Ravagli proposes a unified framework for trading the volatility skew premium
Olivier Daviaud 29/04/24
03 May 2024
Contributed by Lukas
JP Morgan quant discusses his alternative to Greeks decomposition
Giorgios Skoufis 11/03/24
15 Mar 2024
Contributed by Lukas
Bloomberg quant discusses his new approach for calculating convexity adjustments for RFR swaps
Artur Sepp – 17/08/23
18 Aug 2023
Contributed by Lukas
Quant says high volatility requires pricing and risk management models to be revisited
Julien Guyon – 01/08/23
04 Aug 2023
Contributed by Lukas
Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias
Jan Rosenzweig – 16/05/23
19 May 2023
Contributed by Lukas
Portfolio manager and academic researcher talks about how his technique applies to LDI portfolios
Barzykin and Guéant – 28/03/23
28 Mar 2023
Contributed by Lukas
Industry quant teams up with academics to build better risk tools for FX markets
Valer Zetocha – 16/01/23
24 Jan 2023
Contributed by Lukas
Julius Baer equity quant revels in solving problems for the trading desk.
Igor Halperin – 08/12/22
13 Dec 2022
Contributed by Lukas
Igor Halperin talks with Mauro Cesa
Antonov and Piterbarg – 22/11/22
24 Nov 2022
Contributed by Lukas
A discussion around alternatives designed to overcome the pitfalls of neural networks.
Chris Kenyon – 16/09/22
29 Sep 2022
Contributed by Lukas
Chris Kenyon: the right way to wrong-way risk and climate risk in XVA
Marc Henrard – 02/08/22
08 Aug 2022
Contributed by Lukas
Marc Henrard – 02/08/22 by Quantcast – a Risk.net Cutting Edge podcast
Gordon Ritter – 24/06/22
28 Jun 2022
Contributed by Lukas
Gordon Ritter – 24/06/22 by Quantcast – a Risk.net Cutting Edge podcast
Alex Lipton – 12/05/22
13 May 2022
Contributed by Lukas
Lipton on automated FX market-making and the perils of stablecoins
Hans Buehler – 01/03/22
07 Mar 2022
Contributed by Lukas
JP Morgan quant explains the importance of de-trending training datasets
John Fennell – 25/10/18
16 Feb 2022
Contributed by Lukas
Clearing house is “seriously considering” contributing to own default waterfall
Gordon Lee – 11/02/22
15 Feb 2022
Contributed by Lukas
Gordon Lee – 11/02/22 by Quantcast – a Risk.net Cutting Edge podcast
Matthew Dixon – 16/12/21
20 Dec 2021
Contributed by Lukas
Applied maths professor talks about how to calculate the contributions to value-at-risk
Stefan Zohren – 26/11/21
10 Dec 2021
Contributed by Lukas
Oxford-Man Institute quant, Stefan Zohren, shows how to use deep learning for forecasting
Alexandre Antonov – 21/10/21
25 Oct 2021
Contributed by Lukas
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
24 Sep 2021
Contributed by Lukas
Quants achieve more speed by reducing number of dimensions in price calculations
Petter Kolm – 23/08/21
25 Aug 2021
Contributed by Lukas
TCA methodologies that ignore partial fills “might be off by 20% to 30%”, says Petter Kolm, professor of finance and director of the Mathematics i...
Colin Turfus – 05/08/21
05 Aug 2021
Contributed by Lukas
Colin Turfus, senior quant analyst at Deutsche Bank and author of ‘Risky caplet pricing with backward-looking rates’, on short-rate models and Lib...
Claudio Albanese – 21/06/21
14 Jul 2021
Contributed by Lukas
Darwin’s theory of natural section could help quants detect flawed models and strategies, says Claudio Albanese, founder and head of development at ...
Vladimir Piterbarg – 28/05/21
02 Jun 2021
Contributed by Lukas
How the Libor transition inspired NatWest quant Vladimir Piterbarg’s latest paper on exotic derivatives valuation
Patrick Hagan – 06/05/2021
11 May 2021
Contributed by Lukas
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
01 Apr 2021
Contributed by Lukas
Ben Burnett, a director of the XVA quant team at Barclays, discusses the development and application of a hedging valuation adjustment to derivatives ...
Richard Martin – 05/03/2021
12 Mar 2021
Contributed by Lukas
Star quant proposes a new model for predicting changes in bond ratings
Matthias Arnsdorf – 24/11/20
27 Nov 2020
Contributed by Lukas
Matthias Arnsdorf talks about how to adjust the capital valuation adjustment. The JP Morgan quant proposes an alternative calculation that would reduc...
Jean-Philippe Bouchaud – 01/09/20
02 Sep 2020
Contributed by Lukas
CFM’s Bouchaud on agent-based models and ESG investing
Dario Villani - 28/07/20
06 Aug 2020
Contributed by Lukas
Dario Villani - 28/07/20 by Quantcast – a Risk.net Cutting Edge podcast
Lipton and De Prado – 16/06/20
19 Jun 2020
Contributed by Lukas
Lipton and De Prado discuss trading strategies and Covid-19 modelling
Horvath and Lee – 19/03/20
20 Mar 2020
Contributed by Lukas
Quants explain application latest techniques to produce synthetic data
Alexei Kondratyev and Christian Schwarz – 16/01/19
06 Feb 2020
Contributed by Lukas
Market generator models may aid areas of finance where data is limited or sensitive, by generating new data with the same statistical properties, say ...
Andrew Dickinson – 09/01/20
15 Jan 2020
Contributed by Lukas
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
16 Oct 2019
Contributed by Lukas
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 sha...
Carlo Acerbi – 28/08/19
30 Aug 2019
Contributed by Lukas
Model validation for ES-based risk models is not only possible but far more informative than traditional model acceptance on the basis of VAR exceedan...
Andrew McClelland – 31/07/19
07 Aug 2019
Contributed by Lukas
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
Chung and Gregory – 19/06/19
03 Jul 2019
Contributed by Lukas
Quants talk about new technique that can model wrong-way risk better
Hans Buehler – 28/05/19
05 Jun 2019
Contributed by Lukas
Quant says a new machine learning technique could change the way banks hedge derivatives
Venturelli and Kondratyev – 24:05:19
31 May 2019
Contributed by Lukas
How quantum theory could aid portfolio construction
George Hong – 29/04/19
01 May 2019
Contributed by Lukas
Credit Suisse quant talks about new paper on valuing quanto options
Mathieu Rosenbaum – 11/04/19
12 Apr 2019
Contributed by Lukas
Combination of rough volatility and the classical Heston model gives promising results
Mercurio and Henrard – 19/03/19
21 Mar 2019
Contributed by Lukas
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 b...
René Carmona – 21/02/19
25 Feb 2019
Contributed by Lukas
Course director discusses machine learning explainability and reclaiming game theory from economists
Chris Kenyon and Mourad Berrahoui – 17/01/19
18 Jan 2019
Contributed by Lukas
Chris Kenyon and Mourad Berrahoui discuss the pitfalls of PFE and propose a replacement to the existing credit risk measure
Dominique Bang – 29/11/18
30 Nov 2018
Contributed by Lukas
Dominique Bang discusses a novel method to mix a pure stochastic volatility process with a generic local volatility function, using Lamperti’s trans...
Adolfo Montoro – 04/10/18
05 Oct 2018
Contributed by Lukas
Adolfo Montoro, a director in the market risk management and risk methodology team at Deutsche Bank, visited our offices in London to discuss his new ...
Alexandre Antonov – 15/08/2018
31 Aug 2018
Contributed by Lukas
StanChart quant proposes new technique to compute margin valuation adjustment quicker
Pierre Henry-Labordere and Hamza Guennoun – 01/08/18
01 Aug 2018
Contributed by Lukas
Pierre Henry-Labordere and Hamza Guennoun discuss exotics calibration, machine learning and autocallable pricing
Andrew Lo – 29/06/18
06 Jul 2018
Contributed by Lukas
MIT quant says next project will be to combine behavioural science with tech such as machine learning
Richard Martin – 21/06/18
22 Jun 2018
Contributed by Lukas
Emerging market hard-currency bonds contain exposure to an EM sovereign and the underlying industry. Richard Martin, Tolga Uzuner and Yao Ma investiga...
Alexei Kondratyev – 23/05/18
29 May 2018
Contributed by Lukas
Alexei Kondratyev talks about his latest article, which seeks to understand natural curve shapes with the help of artificial neural networks.
Thomas Roos - 25/04/18
02 May 2018
Contributed by Lukas
Thomas Roos, a London-based consultant specialising in derivatives, talks about models that produce arbitrageable swaptions prices and the crude metho...
Christian Fries – 06/04/18
12 Apr 2018
Contributed by Lukas
Research on adjoint algorithmic differentiation is not complete until it becomes easier to implement, says quant
Fabio Mercurio – 26/02/18
02 Mar 2018
Contributed by Lukas
Post-Libor environment and financial crime detection to drive future research, says top quant
Giorgia Callegaro, Lucio Fiorin and Martino Grasselli – 30/01/18
09 Feb 2018
Contributed by Lukas
Giorgia Callegaro, Lucio Fiorin and Martino Grasselli, authors of 'American quantized calibration in stochastic volatility', introduce a pricing model...
Damiano Brigo – 22/01/18
25 Jan 2018
Contributed by Lukas
Damiano Brigo, chair of mathematical finance at Imperial College London, shares his thoughts on the lost causes, the present role and the future prosp...