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Rethinking P&L attribution for options
A buy-side perspective on how to decompose the P&L of index options is presented
Paris
France-general
France
Greece
Dirac
Poitou-charentes
United-states
American
Greeks
Gatheral-jacquier
Olivier-daviaud
Daviaud-mukhopadhyay
Deep calibration of the quadratic rough Heston model
Rough vol models are calibrated and fitted to SPX and Vix smiles
Abi-jaber-el
Abi-jaber
Monte-carlo
Mathieu-rosenbaum
Jianfei-zhang
Gatheral-jacquier
Jaber-el
Rough-volatility
Eston-process
Ulti-factor-model
Model-calibration
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