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.
The curious case of the revealing orders
Oxford academics have found evidence pointing to collusion on a European exchange, but market-makers aren’t wholly convinced
Quant shop preps NLP-powered index for physical climate risk
Sharp rise in extreme weather events prompts PGIM Quant to aim for better climate-risk pricing
The chatbot and the quant: GPT shakes finance education
With smarter large language models, quant grads risk turning into AI-assisted slackers, writes Gordon Lee
A three-point turn in derivative design
Citibank quant’s triangle method allows information geometry to be applied to hedge structuring
Quant Finance Master’s Guide 2023
Risk.net’s guide to the world’s leading quant master’s programmes, with the top 25 schools ranked
Baruch topples Princeton in Risk.net’s quant master’s rankings
US schools cement top five dominance as graduate salaries soar
Transforming risk controls for next-level decision-making
In an exclusive Risk.net panel session, convened in collaboration with ServiceNow, experts discussed the unique challenges facing risk and resilience practitioners, and the utilisation of frameworks and risk quantification for optimal decision-making…
XVAs and counterparty credit risk for an energy market in crisis
Europe’s current energy crisis, coming on the heels of global market volatility caused by the Covid-19 pandemic, has introduced additional complexities to valuation adjustments and counterparty credit risk modelling. Additionally, underdeveloped forward…
The quant investor harnessing the power of ants
Swarm Technology designs network of trading algorithms that mimics hive mind of insects
JP Morgan appoints two new equities quant research co-heads
New heads will share responsibilities previously held by deep hedging pioneer Hans Buehler
Stocks and bonds start to move in step, making quants jittery
Long-established inverse correlation between asset classes breaks down during first quarter
A look at asset liquidation from a different angle
Quants propose a novel approach to assess liquidation cost and stress-testing for hard-to-sell assets
Earnings call analysis 2.0 goes beyond good and bad words
Quants develop new ways to extract signals from media-savvy chief executives and their financial statements
Deep hedging pioneer Hans Buehler quits JP Morgan
Former global head of equities analytics will be joining XTX Markets
It’s complicated: why backtesting is so challenging, but so important
Hiroshi Tanase, executive director of product analysis and design at S&P Global Market Intelligence, explores why, with the implementation of phase five of uncleared margin rules (UMR) last September and with the phase six roll-out just around the corner…
Is it worth doing a quant master’s degree?
UBS’s Gordon Lee – veteran quant and grad student supervisor – asks the hard question
Quant of the year: Hans Buehler
Risk Awards 2022: Architect of deep hedging aims to supplant orthodox models with method based purely on data
Quant investment house of the year: Transtrend
Risk Awards 2022: Commodities long shot pays off for trend follower
Rising star in quant finance: Silvana Pesenti
Risk Awards 2022: New approach allows portfolios to be optimised and aligned with benchmarks
Quant Finance Master’s Guide 2022
Risk.net’s guide to the world’s leading quant master’s programmes, with the top 25 schools ranked
Princeton, Baruch and Berkeley top for quant master’s degrees
Eight of 10 leading schools for quantitative finance programmes are based in US, latest rankings show