Olivier Daviaud 29/04/24

JP Morgan quant Olivier Daviaud discusses his alternative to Greeks decomposition, exploring path dependency in P&L and implications for vanilla options. He delves into differences in options trading perspectives between market makers and buy side investors, and explores the link between option performance and volatility premium. Daviaud suggests rethinking P&L attribution for options, advocating for a new approach, and discusses portfolio analysis formula's application across asset classes and future research directions.