Degree of influence 2024: volatility and credit risk keep quants alert
Quantum-based models and machine learning also contributed to Cutting Edge’s output
Volatility modelling is a topic that continues to fascinate and frustrate quantitative finance experts, as Risk.net’s Cutting Edge section demonstrated in 2024. Among the 22 papers published last year, volatility modelling was a recurring theme.
Julien Guyon, professor of finance at France’s École nationale des ponts, established an arbitrage-free continuous-time model, which maintains accurate smile calibrations for pricing and hedging exotic options. The paper continued his previous work in
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