Abstract
The bulk of this book is not about derivatives — it’s about the simple building blocks which are fundamental to working in a financial institution. We’ve been less concerned with esoteric deals which are much talked-about but little-traded. Vanilla options, however, are in a middle ground: while forming a small fraction of the total volume of a typical equities business, they are traded enough to justify proper discussion.
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Further reading
Avellaneda, M. (n.d.) ‘Trinomial Trees and Finite-Difference Schemes’, http://www.math.nyu.edu/faculty/avellane/.
Homescu, C. (n.d.) Implied Volatility Surface: Construction Methodologies and Characteristics.
Wystup, U. (n.d.) ‘FX Smile Modelling’, Wiley Encyclopedia of Quantitative Finance.
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© 2013 Andrew Sutherland and Jason Court
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Sutherland, A., Court, J. (2013). Vanilla Options. In: The Front Office Manual. Global Financial Markets. Palgrave Macmillan, London. https://doi.org/10.1057/9781137030696_11
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DOI: https://doi.org/10.1057/9781137030696_11
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-44055-9
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