At Risk.net Cutting Edge’s section:
Liquidity stress-testing using optimal portfolio liquidation by Mike Weber, Bastien Baldacci and Iuliia Manziuk
Optimal turnover, liquidity and autocorrelation by Bastien Baldacci, Jerome Benveniste and Gordon Ritter
Deep calibration of the quadratic rough Heston model by Mathieu Rosenbaum and Jianfei Zhang
An approximate solution for options market-making in high dimension by Bastien Baldacci, Joffrey Derchu and Iuliia Manziuk