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
Dividend Growth Split : Annual Information Form – 2023 -March 26, 2024 at 04:57 pm EDT
FORWARD-LOOKING STATEMENTS Certain statements contained in this annual information form constitute forward-looking statements. The use of any of the words...
Source: marketscreener.com
FX options traders rethink vol drivers amid macro uncertainty
Market-makers believe more and more events will influence options pricing as political risk bubbles up during 2024
Source: risk.net
Opra outages cause consternation in options markets
UBS warned clients they were looking at “bad data” on options screens
Options Price Reporting Authority United States Us Operational Risk Trading Systems Market Data Option Pricing
Source: risk.net
Skew this: taking the computational burden off basket options
Dan Pirjol presents a snap formula for estimating implied volatility skew in an instant
Source: risk.net
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
Source: risk.net
Papers by Martin Scheicher
Papers by Martin Scheicher
Czech Republic Monte Carlo Small Stock Exchange International Journal Of Finance Economics Financial Stability Financial Economics
Source: ecb.europa.eu
The following discussion and analysis of our financial condition and results of operations should be read in conjunction with our accompanying consolidated financial statements and the related notes... | March 24, 2023
United States Monte Carlo Small Business Administration Fresenius Medical Care Hunter Merger Sub Inc Silicon Valley Bank
Source: marketscreener.com
Crédit Agricole Announces Quantum POC Results with Pasqal and Multiverse Computing - High-Performance Computing News Analysis
Paris, 26 January 2023 – Crédit Agricole CIB and European quantum companies Pasqal and Multiverse Computing have announced results on two quantum computing [...]
France General Ali El Hamidi Georges Olivier Reymond Tensor Neural Networks Tensor Neural Networks For Partial Differential Equations Multiverse Computing
Source: insidehpc.com