Investing Rethinking P&L attribution for options A buy-side perspective on how to decompose the P&L of index options is presented 24 Apr 2024   |  Technical paper

Views Filling gaps in market data with optimal transport Julius Baer quant proposes novel way to generate accurate prices for illiquid maturities 11 Apr 2024   |  Opinion

Cutting Edge Volatility shape-shifters: arbitrage-free shaping of implied volatility surfaces Manipulating implied volatility surfaces using optimal transport theory has several applications 27 Mar 2024   |  Technical paper

Cutting Edge Georgios Skoufis on RFRs, convexity adjustments and Sabr Bloomberg quant discusses his new approach for calculating convexity adjustments for RFR swaps 15 Mar 2024   |  Opinion

Cutting Edge Infrequent MtM reduces neither value-at-risk nor backtesting exceptions Frequency of repricing impacts volatility and correlation measures 11 Mar 2024   |  Technical paper

Views A dynamic margin model takes shape New paper shows how creditworthiness and concentrations can be reflected into margin requirements 19 Feb 2024   |  Opinion

Cutting Edge Dynamic margining long/short equity trading strategies A repo haircut model extends a previous solution for long-only strategies 14 Feb 2024   |  Technical paper