Podcast: Olivier Daviaud on P&L attribution for options
JP Morgan quant discusses his alternative to Greeks decomposition
Source: risk.net
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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
Source: risk.net
Pricing Americans with Finite-Difference
We discuss pricing of American options with Finite-Difference method in C++.
Source: tastyhedge.com
Hedge funds' use of barrier options comes under spotlight
Former traders say Glen Point CEO’s arrest highlights compliance gulf between funds and dealers
Source: risk.net
Cantor to offer equity swap hedges to prime brokers
Provider to enter race with Capitolis and Nearwater as it preps early 2023 launch for ABCP service
Cantor Fitzgerald Institutional Secured Funding Federal Open Market Committee Fomc Lehman Brothers Nited States Us Sset Backed Commercial Paper Abcp
Source: risk.net
Quants turn to single stocks to revive intraday trend strategy
Retail trading boom has made intraday single-stock strategies more viable
Source: risk.net