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Quant Finance

Connections and ideas that are powering quant innovation

Articles & Video

Showing 21 of 117 articles & video

The latest insights from thought leaders in quant finance

New techniques in risk modelling

Hear from Andrew McClelland, Numerix, and Christian Kappen, d-fine, about their new methods to model risk and pricing.

Innovations in Financial Modelling

Faster, more accurate pricing using polynomial approximations

Introducing a fast and generic expansion of discounted moments of stochastic processes that is applicable to a wide array of pricing problems.

QuantMinds International

A rising tide lifts some (Japanese) boats: The Bank of Japan’s ETF purchases and their impact on market signals for individual stocks

Executive summary by Steven Shen, Manager of Quantitative Strategies, Sayad Baronyan, EPFR Director of Quantitative Research, Vikram Srimurthy, EPFR Consultant, Cameron Brandt, EPFR Director of Research

21st century finance: How will quants lead the way?

With QuantMinds International approaching fast, we at QuantMinds HQ are very excited to be talking to experts to discuss their upcoming presentations and find out more about their latest research.

How quants and actuaries can team up for the valuation of complex derivatives

With the introduction of exotic derivatives, we abandon the existence of a replicating portfolio and therefore valuation becomes problematic and ambiguous.

Trust in quant investment strategies: How do you cultivate it?

Why should people trust quant investment strategies?

Risk management

Optimal VaR adaptation in transient environments

Although potential remedies have been available for some time, the concrete implementation of solutions in running VaR systems seems to be more challenging.

QuantMinds International

From investment strategies to tech and regulation: what did the experts at QuantMinds International say?

What’s being discussed at QuantMinds International? Our speakers joined us for a quick Q&A to talk about key issues in their fields of expertise.

Rethinking multi-asset portfolio strategies to capture velocity changes

Going beyond the passive vs. active asset management paradigm, a mix between fundamentals and systematic quantitative investment strategies may be appropriate to help capture velocity changes.

QuantMinds in Focus

How should banks be handling the IBOR transition?

An interview with Suman Datta, Head of portfolio, Quantitative research, Lloyds Bank

QuantMinds International

QuantMinds 2021 calendar

Virtual learning opportunities and in-person get togethers for the quant finance community.

QuantMinds International

AI explainability and adoption challenges: Thoughts from the AI & ML Summit

What’s standing in the way of artificial intelligence adoption?

AI & Machine learning

From scarce to large data and back: machine learning in finance

Fuelled by data, machine learning methods require an efficient handling of massively large datasets. But what are the challenges posed by datasets themselves?

AI & Machine learning

The future is bright... for those who survive

Last year we caught up with Marcos Lopez de Prado, talked about his book Machine Learning For Asset Managers, and predicting black swan events.

QuantMinds International

3 trends that will change quants’ future

Few things we learnt from QuantMinds International 2020.

QuantMinds International

Building the future of quant finance

Key insights from QuantMinds International 2020

Risk management

Optimising variable annuity reserves through deep hedging

In this white paper we look at an application of the deep hedging approach to a new business problem: optimising reserves that life insurers are required to hold against variable annuity liabilities.

Non-financial risk

The rising awareness of model risk

Financial institutions are increasingly reliant on statistical risk models. But in turn, what risks do models pose to financial institutions?

Computational & numerical efficiency

Truly Explainable AI: Putting the “Cause” in “Because”

There are two serious problems with state-of-the-art machine learning approaches.

Innovations in financial modelling

Model robustification and the future of quant finance: an interview with J.D. Opdyke, Allstate

Were your models caught by surprise when the pandemic hit? J.D. Opdyke, Allstate, explains how he built a robust framework and shares key learnings from this year.

Can FX hedges of bonds deliver a free lunch?

Risk-free returns don’t exist – and if they did, even briefly, they would be traded on until they disappeared. Except sometimes, somehow, under just the right circumstances, the elusive free lunch may temporarily appear on the table…