Options III

  • Moorad Choudhry
  • Didier Joannas
  • Richard Pereira
  • Rod Pienaar
Part of the Finance and Capital Markets Series book series (FCMS)


We continue with options in this chapter, with a look at how options behave in response to changes in market conditions. To start we consider the main issues that a market maker in options must consider when writing options. We then review ‘the Greeks’, the measures by which the sensitivity of an option book is calculated. We conclude with a discussion on an important set of interest-rate options in the market, caps and floors.


Interest Rate Asset Price Call Option American Option Future Contract 
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Selected References and Bibliography

  1. Galitz, L. Financial Engineering, rev. edn, FT Pitman, 1995.Google Scholar
  2. Hull, J. Options, Futures and Other Derivatives, 4th edn, Prentice Hall, 2000.Google Scholar
  3. Kolb, R. Futures, Options and Swaps, 3rd edn, Blackwell, 2000.Google Scholar
  4. Marshall, J. and Bansal, V. Financial Engineering, New York Institute of Finance, 1992.Google Scholar
  5. Tucker, A. Financial Futures, Options and Swaps, West Publishing, 1991.Google Scholar

Copyright information

© Moorad Choudhry, Didier Joannas, Richard Pereira and Rod Pienaar 2005

Authors and Affiliations

  • Moorad Choudhry
    • 1
  • Didier Joannas
    • 2
  • Richard Pereira
    • 3
  • Rod Pienaar
    • 4
  1. 1.KBC Financial ProductsUK
  2. 2.Hong KongChina
  3. 3.Nomura plcUK
  4. 4.UBS AGUK

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