エピソード

  • Vladimir Piterbarg And Nikolai Nowaczyk 24 - 10 - 24

    Vladimir Piterbarg And Nikolai Nowaczyk 24 - 10 - 24
    2024/10/25
    Quantcast: Piterbarg and Nowaczyk on decorrelating variables. A novel data manipulation technique strengthens backtesting on correlated data.
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    29 分
  • Alvaro Cartea, 19/07/2024

    Alvaro Cartea, 19/07/2024
    2024/07/24
    Oxford-Man Institute director worries ML-based trading could have anti-competitive effects
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    44 分
  • Lorenzo Ravagli, 09/07/2024

    Lorenzo Ravagli, 09/07/2024
    2024/07/12
    JP Morgan quant Lorenzo Ravagli proposes a unified framework for trading the volatility skew premium
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    45 分
  • Olivier Daviaud 29/04/24

    Olivier Daviaud 29/04/24
    2024/05/03
    JP Morgan quant discusses his alternative to Greeks decomposition
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    20 分
  • Giorgios Skoufis 11/03/24

    Giorgios Skoufis 11/03/24
    2024/03/15
    Bloomberg quant discusses his new approach for calculating convexity adjustments for RFR swaps
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    43 分
  • Artur Sepp – 17/08/23

    Artur Sepp – 17/08/23
    2023/08/18
    Quant says high volatility requires pricing and risk management models to be revisited
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    46 分
  • Julien Guyon – 01/08/23

    Julien Guyon – 01/08/23
    2023/08/04
    ​​​​​​​Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias
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    1 時間
  • Jan Rosenzweig – 16/05/23

    Jan Rosenzweig – 16/05/23
    2023/05/19
    Portfolio manager and academic researcher talks about how his technique applies to LDI portfolios
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    21 分