Rethinking P&L attribution for options
A buy-side perspective on how to decompose the P&L of index options is presented
Source: risk.net
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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
Source: risk.net
How a machine learning model closed a hidden FX arbitrage gap
MUFG Securities quant uses variational inference to control the mid volatility of options
Source: risk.net
A new approach to marking volatility of illiquid options
Julius Bear quant’s arbitrage-free solution overcomes challenge of sparse data
Source: risk.net