Articles by Mauro Cesa
Quants mine gold for new market-making model
Novel approach to modelling cointegrated assets could be applied to FX and potentially even corporate bond pricing
Quants dive into FX fixing windows debate
Longer fixing windows benefit clients, but predicting how dealers will respond is tough
BofA quants propose new model for when to hold, when to sell
Closed-form formula helps market-makers optimise exit strategies
Podcast: Lorenzo Ravagli on why the skew is for the many
JP Morgan quant proposes a unified framework for trading the volatility skew premium
How a machine learning model closed a hidden FX arbitrage gap
MUFG Securities quant uses variational inference to control the mid volatility of options
Podcast: Barzykin and Guéant on FX market-making
Industry quant teams up with academics to build better risk tools for FX markets
Quants search for way to size crypto bets
Standard models say as much as 4% of a diversified portfolio could go into digital assets
Should you hedge or should you wait?
New approach introduces quantitative framework for optimal FX hedging
Deep XVAs and the promise of super-fast pricing
Intelligent robots can value complex derivatives such as exotic options in minutes rather than hours
Basel Committee to rethink CVA capital charge
Regulators may adapt the bond-equivalent approach amid claims the methodology will lead to perverse incentives