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Talking to the Traders

  • Damiano Brigo
  • Fabio Mercurio
Part of the Springer Finance book series (FINANCE)

Abstract

In this appendix, we would like to reproduce an hypothetical conversation between a trader in interest rate derivatives and a quantitative analyst eager to get acquainted with some specific market practice. This virtual interview reflects our personal experience of interaction with traders, considering some of the traders’ opinions we have collected over the years.

Keywords

Market Model Implied Volatility Short Rate Volatility Surface Interest Rate Model 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2001

Authors and Affiliations

  • Damiano Brigo
    • 1
  • Fabio Mercurio
    • 1
  1. 1.Banca IMISan Paolo IMI GroupMilanItaly

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