Cutting Edge is the quantitative finance section of Risk.net. It publishes exclusive peer-reviewed papers selected for their originality, relevance and applicability to financial markets. It also publishes podcasts with leading quants on the most topical issues, and comments from practitioners and our editorial team.
Convexity adjustments can be valued with an analytical formula, avoiding replication arguments
Conservative capital buffers may not be enough to protect against tail events
An adjustment for the volatility smile in Asian options is proposed
New valuation adjustment may lead to more efficient management of derivatives books
HVA is framed consistently with other valuation adjustments