Mauro Cesa is quantitative finance editor for Risk.net, based in London. He leads the team responsible for the publication of quantitative research across all brands of the division. The section of Risk.net he manages, Cutting Edge, publishes peer-reviewed papers on derivatives, asset and risk management, and commodities.
Mauro holds a degree in economics from the university of Trieste and a masters in quant finance from the University of Brescia.
Bloomberg quant has developed a balance-sheet model for XVA pricing
A rigorous backtest for ES cannot exist, but a good approximation might do the job
Banque Pictet quant explains a new backtesting method for expected shortfall
Numerix quant presents a model aimed at showing the total cost of a trade
Quant says a new machine learning technique could change the way banks hedge derivatives
Credit Suisse quant talks about new paper on valuing quanto options
Course director discusses machine learning explainability and reclaiming game theory from economists
This year's analysis recognises a turning point in machine learning applications
Post-Libor environment and financial crime detection to drive future research, says top quant
Genuine artificial intelligence remains "very, very far away", says Imperial College's Brigo
Initial margin, optimal execution and applications of machine learning were the hottest topics of 2017
UK bank's head of quantitative analytics leaves after 10 years
Automated trading not to blame for higher equity volatility during the crisis, says senior quant
Focusing on the deviation from the fair-yield curve, Koichi Miyazaki and Satoshi Nomura discuss the transition in efficiency observed in the Japanese government bond market and find out that the turning point was in 1996, when the Japanese repo market…