• Sep 9, 2024
• 15 MIN

Google’s project is one of the many ways AI is helping to reshape the future of research publication. By turning complex research papers into AI-generated audio interviews, the platform offers a glimpse into a more interactive and accessible academic world. This innovation could revolutionize how we consume, learn, and interact with research, particularly for young graduates and those eager to understand what they read

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• Sep 5, 2024
• 15 MIN

One of the key questions every model validator must ask is: How accurate and reliable is the model under real-world conditions? Models drive decisions that lead to financial actions, impacting every facet of our economic and social systems.

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• Jun 11, 2024
• 30 MIN

Idiosyncratic risk affects asset prices profoundly in the CAPM. Historically, this conclusion was obscured by the assumption that MPT expected return and covariance parameters were known in equilibrium.

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• Jun 11, 2024
• 60 MIN

how to manage a large (or small) portfolio in low interest rate conditions, while equity markets bear significant draw-down risk? How to build an “antifragile” portfolio that can weather the most extreme market scenarios without impacting long-term performances?

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• Jun 11, 2024
• 30 MIN

As major shifts are occurring in the derivatives industry, the economic framework developed in this article shows that those financial institutions that can develop the necessary structure to provide integrated solutions through its many business lines will have a competitive advantage.

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• Jun 11, 2024
• 90 MIN

This paper introduces a new methodology for solving Mixed Integer Linear Programming problems with constraints using quantum computing in the context of systemic risk.

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• Jun 10, 2024
• 20 MIN

Traditional model validation has become a staple of the finance industry, a well-understood and rigorously developed line of defense intended to help institutions avoid unnecessary financial losses caused by poorly performing models.

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• Jun 11, 2024
• 40 MIN

VOlGAN is able to simulate realistic comovements for implied volatilities across a range of moneyness and maturities, as well as the underlying index and VIX

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• Jun 11, 2024
• 40 MIN

We investigate the asymptotic properties of deep Residual networks (ResNets) as the number of layers increases. We first show the existence of scaling regimes for trained weights markedly different from those implicitly assumed in the neural ODE literature.

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