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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 ....

France General , Poitou Charentes , United States , Gatheral Jacquier , Olivier Daviaud , Daviaud Mukhopadhyay , Aldous Diaconis , Guyon Henry Labord , Chapman Hall , Carr Wu , Jpmorgan Chase Co , Jp Morgan , Black Scholes Gamma , Gamma Covariance , Mathematical Monthly , Volatility Surface , Recent Advances , Applied Probability , Delta Hedging , Implied Volatility , Option Pricing , Performance Attribution , Profit Amp Lossp Ampl , Realised Volatility , Trading Strategy , Cutting Edge ,

Skew this: taking the computational burden off basket options

Dan Pirjol presents a snap formula for estimating implied volatility skew in an instant ....

Julius Baer , Monte Carlo , Valer Zetocha , Dan Pirjol , Marco Avellaneda , Stevens Institute Of Technology , Stevens Institute , Basket Options , Orst Of Baskets , Volatility Skew , Option Pricing , Implied Volatility , Volatility Smile , Volatility Surface , Local Volatility Models ,

Smile-consistent basket skew

An analytic approximation for the implied volatility surface of basket options is introduced ....

Monte Carlo , Marco Avellaneda , Laurence Wang , Dan Pirjol , Bayer Laurence , Stevens Institute Of Technology , Communications In Pure , Communications On Pure , Stevens Institute , Applied Mathematics , Statistical Computing , Advanced Methods , Option Pricing , Financial Mathematics Series , Basket Options , Local Volatility Models , Implied Volatility , Volatility Surface , Option Pricing , Black Scholes , Cutting Edge ,

How a machine learning model closed a hidden FX arbitrage gap

MUFG Securities quant uses variational inference to control the mid volatility of options ....

Yoshihiro Tawada , Machine Learning , Foreign Exchange , Call Options , Butterfly Spread , Ibid Offer , O Arbitrage Pricing , Implied Volatility , Volatility Surface , Sur Take ,

A new approach to marking volatility of illiquid options

Julius Bear quant’s arbitrage-free solution overcomes challenge of sparse data ....

Valer Zetocha , Julius Baer , Anaging Illiquid Assets Book , Implied Volatility , Volatility Surface , Volatility Smile , Option Pricing , Ark To Model , Rbitrage Free Model ,