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Podcast: Olivier Daviaud on P&L attribution for options

JP Morgan quant discusses his alternative to Greeks decomposition

Societe generaleOlivier daviaudAbhishek mukhopadhyayJp morganCross gammaDelta hedgingImplied volatilityOption pricingP ampl attribution testPerformance attributionProfit amp lossp amplRealised volatilityCutting edge

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