Subject: Podcast: Olivier Daviaud on P&L attribution for options

Podcast: Olivier Daviaud on P&L attribution for options
JP Morgan quant discusses his alternative to Greeks decomposition
 03 May 2024   |  Opinion
Rethinking P&L attribution for options
A buy-side perspective on how to decompose the P&L of index options is presented
24 Apr 2024   |  Technical paper
Filling gaps in market data with optimal transport
Julius Baer quant proposes novel way to generate accurate prices for illiquid maturities
11 Apr 2024   |  Opinion
Cutting Edge
Volatility shape-shifters: arbitrage-free shaping of implied volatility surfaces
Manipulating implied volatility surfaces using optimal transport theory has several applications
27 Mar 2024   |  Technical paper
Cutting Edge
Georgios Skoufis on RFRs, convexity adjustments and Sabr
Bloomberg quant discusses his new approach for calculating convexity adjustments for RFR swaps
15 Mar 2024   |  Opinion
Cutting Edge
Infrequent MtM reduces neither value-at-risk nor backtesting exceptions
Frequency of repricing impacts volatility and correlation measures
11 Mar 2024   |  Technical paper
A dynamic margin model takes shape
New paper shows how creditworthiness and concentrations can be reflected into margin requirements
19 Feb 2024   |  Opinion
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Cutting Edge
Dynamic margining long/short equity trading strategies
A repo haircut model extends a previous solution for long-only strategies
14 Feb 2024   |  Technical paper


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