

Olivier Daviaud 29/04/24
May 3, 2024
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.
Chapters
Transcript
Episode notes
1 2 3 4 5
Introduction
00:00 • 3min
Exploring Differences in Options Trading Perspectives
02:46 • 2min
Exploring the Link Between Option Performance and Volatility Premium
04:47 • 3min
Rethinking P&L Attribution for Options
07:24 • 9min
Exploring Portfolio Analysis Formula's Application Across Asset Classes and Future Research Directions
16:15 • 4min