Cutting Edge is the quantitative finance section of 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.

Podcast: Olivier Daviaud on P&L attribution for options

  • The study addresses the P&L attribution problem from the perspective of a buy-side market player
  • A time horizon of months is key for portfolio managers, as opposed to daily pricing which is mostly used in dealers’ applications  
  • The solution builds on previous findings on the relationships between performance and difference between realised and implied volatilities 

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