Help: Equity derivative pricing.

nyxjf1983 · October 8th, 2010, 9:14 am

I previously worked with a fund that heavily used options on equity/futures (commodities, currencies & equities). In the fund, one of my responsibilities was to monitor the greeks on the options- so I am familiar with options and their greeks & vol surface. However, I don't have actual pricing experience.Now I have an interview with equity derivative valuation group at a big bank. Has anyone have experience with equity derivative pricing? If so, what's the best way to learn it quick? FYI, the position doesn't require you to have programming language skills. HELP!!

EndOfTheWorld · October 8th, 2010, 9:41 am

I guess the recent book of E. Sinclair - Volatlity Trading - would be usefull, it's practical and relatively easy and quick to read.

nyxjf1983 · October 8th, 2010, 9:56 am

I just read the reviews on amazon and the first impression that I get is that the book is written for option traders not for pricers (based on reviews of hedging methodology). Although I do think that many of of their functions are similar, I am interested purely in derivative pricing. Please correct me if I'm wrong. Has anyone worked as a derivative pricer at a bank?

fab10ab · October 8th, 2010, 12:32 pm

Well, there are tons of books out there, but I would start by The Complete Guide to Option Pricing Formulas by the Collector, Espen Gaarder Haug.

nyxjf1983 · October 8th, 2010, 4:22 pm

Thanks- any other books? Has anyone worked as equity derivative pricer?