New paper: Gamma-controlled pathwise hedging in generalised Black-Scholes models. arxiv.org/abs/1808.09378

Next week Dec 4-5, Conference in Jerusalem on 45 years of Black Scholes and Merton. Scholes and Merton will be there, with many others. bschool.huji.ac.il/bs/FintechConf…

New paper on #optimal_trade_execution. We compare #optimal_trading_strategies: static vs adaptive. Joint work with Eyal Neuman , Claudio Bellani and Alex Done. arxiv.org/abs/1811.11265

Projections of SDEs onto Submanifolds. The last research paper of the year, but this is in pure mathematics, there is no finance here. Joint work with John Armstrong and Emilio Rossi Ferrucci. arxiv.org/abs/1810.03923

Recent paper with John Armstrong at King's College on statistical arbitrage of coherent risk measures. See John's blog post nms.kcl.ac.uk/john.armstrong…

Is it possible to formulate option pricing models without probability theory, but in a pure pathwise sense (robustness, model risk)? This paper is an introduction to the theme, the full technical paper will follow shortly. arxiv.org/abs/1904.01889

Interview QuantMinds on "What are the latest trends in quantitative finance?", I mostly discuss the impact of #machine_learning and #fintech on #quantitative_finance, and #interpretability in particular. youtu.be/nnu_2GH6hQ4

New paper "Forecasting Recovery Rates on Non-Performing Loans with Machine Learning" (with Tony Bellotti, Paolo Gambetti and Frederic Vrins) ssrn.com/abstract=34344…

#Good_trade_execution. Introduced by my PhD student Claudio Bellani, this is an interesting new approach to #optimal_trade_execution with important implications on #robustness, #agnostic_dynamics, static vs adaptive solutions and fuel constraints. arxiv.org/abs/1909.10464

I would like to signal a paper where we try to build a theory of #price_impact for the #term_structure, #term_structure_price_impact. This is in collaboration with Eyal Neuman & Federico Graceffa. The paper is here arxiv.org/abs/2011.10113

Paper on #interpretability (the elephant in the room of #deep_learning) in #quantitative_finance: a case study on the #Heston_model #volatility_smile. papers.ssrn.com/sol3/papers.cf…

#Interpretability in deep learning for the volatility smile-to-parameters map in the #rHeston model. SSRN: lnkd.in/eq4Zpwsh ArXiv: lnkd.in/ej_Nxgcx Previous paper on normal Heston: SSRN: lnkd.in/dNY-NtN ArXiv: lnkd.in/e4_-dXHD

Talk on the cost of capital via indifference pricing/RAROC at London-Paris Bachelier this Thursday. Registration: ucl.ac.uk/maths/events/o…

Excessive tail risk seeking players (S-shaped utility) beat VaR & ExpectedShorfall constraints. Solution? Full paper arxiv.org/abs/1711.00443

OA paper in ORL: Funding, repo & credit inclusive valuation as modified option pricing, with C Buescu & M Rutkowski. doi.org/10.1016/j.orl.…

Next week three seminars in NYC (Columbia Univ, Tandon NYU) on three different topics. Details here facebook.com/professorbrigo

Risk Magazine podcast on Machine and Statistical Learning, AI and the direction of mathematics in the financial industry: risk.net/comment/538904…

Risk Magazine technical article: Rogue traders vs VaR and Expected Shortfall. This is summarised in the column risk.net/comment/547789…

The Banker (Financial Times), Bracken Column on rogue traders vs VaR and Expected Shortfall thebanker.com/Comment-Profil…

#QuantMinds Lisbon, talk this afternoon at 4.25 "#Risk_Measures for #rogue_traders" and tomorrow on "#cost_of_capital: an indifference target-performance approach"