Index

A

  1. Accrual barriers
  2. Accrual forwards
  3. Accrual options
    1. accrual forwards
    2. range accrual
  4. Adapted Greeks
    1. delta
    2. gamma
    3. risk management with
    4. vega
  5. Agreeing broker market data
  6. American barrier options
    1. discrete
    2. double knock-out and knock-in
    3. in-the-money
    4. knock-in/knock-out replication
    5. knock-out–knock-in
    6. Monte Carlo option pricer
    7. regular:
      1. knock-in call options
      2. knock-out call options
      3. pricing
    8. reverse:
      1. knock-in
      2. knock-out
      3. pricing
    9. selling
    10. strike-out options
    11. transatlantic
  7. American digitals
  8. American keep accrual barrier
  9. American keep range accruals
  10. American vanilla options
    1. call and put
    2. and Greeks
    3. pricing
  11. Arithmetic average
  12. Asian options
    1. average rate options
    2. average strike options
    3. double average rate options
  13. Ask, see Offer(s)
  14. ATM, see At-the-money
  15. ATM calendar spreads:
    1. price making
    2. trading exposures
    3. vanilla
  16. ATM curve
    1. construction of
      1. adding weights
      2. core ATM curve
      3. events and holidays
      4. in Excel
      5. and FX derivatives market pricing
      6. implied volatility patterns over a week
      7. intraday variance patterns
      8. New York cut vs. Tokyo cut pricing
      9. overnight ATM on a Friday
      10. pricing same-day options
      11. for short-dates
      12. using a model
      13. using interpolation
      14. variance
      15. weekday variance patterns
    2. in market instrument analysis
    3. seasonality
    4. slope
    5. theta and roll down
    6. weighted changes in
  17. ATM gamma
  18. ATM position:
    1. defined
    2. trading
  19. ATM volatility and correlation framework
    1. ATM volatility triangles
    2. cross-currency positions management
    3. dephased vega
  20. ATM volatility triangles
  21. At-the-money (ATM). Seealso ATM curve
    1. forward implied volatility
    2. implied volatilities of
    3. market conventions
    4. vega exposures
    5. and volatility smile
    6. volatility spreads
    7. zero-delta straddles
  22. Average rate options
  23. Average strike options
  24. Axe

B

  1. Bank trading desks. Seealso Interbank broker market
    1. client types
    2. structure
      1. internal trading
      2. sales desks
      3. support functions
  2. Barrier delta gap (touch options)
  3. Barrier options
    1. American. Seealso American barrier options
    2. continuous
    3. discrete
    4. European. Seealso European barrier options
    5. in-the-money
    6. late-starting
    7. shadow
    8. transatlantic
    9. window
      1. front-window
      2. generic
      3. Monte Carlo option pricer
      4. rear-window
      5. risk management
  4. Basis point
  5. Basket digitals
  6. Basket options
  7. Bending barriers
  8. Best-of (BO) options
    1. switching hedge
    2. trading risks
  9. Bet spread
  10. Bid(s)
    1. in choice markets
    2. defined
    3. in inverted market
    4. language of
    5. leaving orders
    6. midmarket
  11. Bid–offer spread
    1. European barrier options
    2. European digital options
    3. exotic FX derivatives
    4. front-window barrier options
    5. multi-asset options
    6. one-touch options
    7. self-quanto vanilla options
    8. vanilla
  12. Binary options
  13. Black-Scholes delta
  14. Black-Scholes formula
  15. Black-Scholes framework
    1. Black-Scholes formula
    2. solving Black-Scholes SDE
    3. stochastic differential equation
    4. terminal spot distributions in calculating option values
  16. Black-Scholes option pricer (Excel)
    1. generate first-order Greeks
    2. plot exposures
    3. set up simple option pricer
    4. set up VBA pricing function
  17. Black-Scholes stochastic differential equation (SDE)
    1. drift in
    2. solving
    3. uncertainty in
  18. Bleed, delta
  19. BO options, see Best-of options
  20. Breakeven calculation
  21. Broker fly
  22. Broker market, see Interbank broker market
  23. Broker market data, agreeing
  24. Bucketed vega exposures
  25. Butterfly (fly)
    1. 25d vs. 10d
    2. drivers of
    3. price making
    4. trading
    5. trading exposures
    6. vega exposures
    7. and volatility smile
  26. Buying:
    1. in faster markets
    2. methods of
  27. Buying interest

C

  1. Call
  2. Call/put spreads:
    1. price making
    2. vanilla
  3. Carry trades
  4. Cash balance theta
  5. Cash-or-nothing options
  6. Cash price, in Excel Black-Scholes option pricer
  7. Cash settlement:
    1. of European digital options
    2. of vanilla FX derivatives
  8. CCY, see Currencies
  9. Choice (in spread)
  10. Choice markets
  11. Choice price (risk reversals)
  12. Client types (derivatives market)
  13. Cliquets
  14. Closed-form approach
  15. Closing out risk
  16. Collar, see Risk reversal (RR)
  17. Compound options
  18. Confidence intervals
  19. Confidence interval spreading
  20. Continuous barriers
  21. Continuous compounded interest rate
  22. Conventions:
    1. market
    2. quoting delta
  23. Copula approach
  24. Core ATM curve construction
    1. using a model
    2. using interpolation
  25. Corporate clients
  26. Correlation. Seealso ATM volatility and correlation framework
    1. realized spot vs. interest rate
    2. trading implied correlation
  27. Correlation swaps
  28. Cross-currency pairs
    1. ATM volatility triangles
    2. dephased vega
    3. managing exposures in
  29. Cross risk reversal
  30. Currencies (CCY)
    1. delta and CCY1 vs. CCY2 premium
    2. European digital option replication:
      1. CCY1
      2. CCY2
    3. G10
    4. one-touch options variations CCY1 vs. CCY2 payout
    5. relative strength of
    6. self-quanto:
      1. CCY1 call options
      2. CCY1 put options
  31. Currency blocks
  32. Currency pairs
    1. ATM volatility triangles
    2. cross. Seealso Cross-currency pairs
    3. in describing vanilla FX options
    4. G10
    5. major
    6. market conventions
    7. multiple, payoff in, see Multi-asset options
    8. names of
    9. pegged
    10. quoting
  33. Cut(s):
    1. in describing vanilla FX options
    2. New York vs. Tokyo

D

  1. Daily variance
  2. DCDs (dual currency deposits)
  3. Decay
  4. Delivery dates
  5. Delta:
    1. adapted
    2. bleed
    3. CCY1 vs. CCY2 premium
    4. in Excel Black-Scholes option pricer
    5. forward delta vs.
    6. low delta vanilla options
    7. quoting conventions
    8. sticky
    9. touch options
    10. vanilla FX derivatives
    11. vanilla price making
    12. vanilla trading low delta options
  6. Delta bleed
  7. Delta exchange
  8. Delta gap:
    1. American barriers
    2. touch options
  9. Delta hedging
  10. Delta neutral
  11. Delta risk:
    1. best-of and worst-of options
    2. target redemption options
  12. Dephased vega
  13. Deposits (depos)
    1. principal protected
    2. structured
  14. Depth (market)
  15. Derivatives. Seealso foreign exchange (FX) derivatives
  16. Digital bets
  17. Digital options:
    1. American
    2. basket
    3. dual
      1. trading risks
      2. vega risk
    4. European
      1. bid–offer spread
      2. European digital range
      3. Greeks
      4. pricing
      5. replication
    5. European digital range
    6. European digital spread
  18. Direct market
  19. Discrete barrier options
  20. DNT (double-no-touch) options
  21. Double average rate options
  22. Double knock-out and knock-in options:
    1. American
    2. American barrier
  23. Double-no-touch (DNT) options
  24. Drift (SDE)
  25. Dual currency deposits (DCDs)
  26. Dual digital options
    1. trading risks
    2. vega risk

E

  1. Early ending barriers
  2. Economic time
  3. EKI, see European knock-in
  4. EKO, see European knock-out
  5. Emerging market (EM) countries:
    1. currency flows mechanisms
    2. currency pair names
  6. European accrual barrier
  7. European barrier options
    1. bid–offer spread
    2. Greeks
      1. gamma and pin risk
      2. vega risk
    3. intrinsic value
    4. knock-in
    5. knock-out
    6. Monte Carlo option pricer
    7. pricing
    8. replication:
      1. European knock-in
      2. European knock-out
  8. European digital options
    1. bid–offer spread
    2. European digital range
    3. Greeks
      1. gamma and pin risk
      2. vega risk
    4. pricing
    5. replication
      1. CCY1
      2. CCY2
  9. European digital range
  10. European digital spread
  11. European knock-in (EKI)
  12. European knock-out (EKO)
  13. European range accruals
  14. European vanilla options:
    1. call and put
    2. variations for changing trading risks on
      1. American exercise
      2. late-delivery
      3. self-quanto payoff
  15. Events:
    1. and ATM curve construction
    2. defined
  16. EWMA (Exponentially Weighted Moving Average) volatility
  17. Excel:
    1. Black-Scholes option pricer
      1. generate first-order Greeks
      2. plot exposures
      3. set up simple option pricer
      4. set up VBA pricing function
    2. constructing ATM curve
    3. generating probability density functions from option prices
    4. generating tenor dates
    5. Monte Carlo option pricer
      1. extensions
      2. multi-asset simulation
      3. pricing barrier options
      4. set up multiple payoffs
      5. set up simulation
      6. set up vanilla option payoff and Monte Carlo loop
    6. numerical integration option pricer
      1. set up option payoff and calculate option price
      2. set up terminal spot distribution
      3. testing
    7. trading simulator
      1. extensions
      2. introduce price-making functionality
      3. set up ticking market price
      4. set up two-way price and price-taking functionality
    8. volatility smile construction
      1. investigate strike placement
      2. plot implied volatility vs. delta
      3. plot implied volatility vs. strike with VBA functions
      4. set up Malz smile model
      5. use Black-Scholes to get strike from delta
  18. Exchange rate
  19. Exercise:
    1. vanilla call options
    2. vanilla put options
  20. Exotic FX derivatives
    1. defined
    2. pricing
      1. example of
      2. path dependence
      3. stopping time
      4. volatility smile pricing
      5. VVV (vega/volga/vanna) pricing
    3. pricing models
      1. interest rate models
      2. jump diffusion models
      3. local volatility models
      4. mixed volatility models
      5. smile models
      6. stochastic interest rate models
      7. stochastic volatility models
    4. product classification
      1. accrual options
      2. American vanilla options
      3. Asian options
      4. barrier options
      5. basket options
      6. best-of and worst-of options
      7. compound options
      8. correlation swaps
      9. dual digital options
      10. European digital options
      11. first-generation exotics
      12. forward start options
      13. forward volatility agreements
      14. quanto options
      15. second-generation exotics
      16. target redemption options
      17. third-generation exotics
      18. touch options
      19. volatility and variance swaps
      20. window barrier options
    5. trading
      1. bid–offer spread
      2. interbank broker market
      3. investment products
      4. recycling risk
      5. risk management
      6. and selling American barriers
      7. shadow barriers
      8. structured FX hedging strategies
  21. Expected life
  22. Expiry/expiry date:
    1. in describing vanilla FX options
    2. “good” and “bad” dates
    3. New York vs. Tokyo cuts
    4. stick strike analysis
    5. vanilla call options
    6. vanilla FX derivatives
    7. vanilla put options
  23. Exponentially Weighted Moving Average (EWMA) volatility
  24. Extensions, in Excel trading simulator

F

  1. Fat-tailed distributions
  2. Figure (spot moves)
  3. Fill-or-kill orders
  4. Finite difference approach
  5. First exit time
  6. First-generation exotics
  7. Fix (FX rate)
  8. Fixing risk (target redemption options)
  9. Fly, see Butterfly
  10. Foreign exchange (FX) derivatives
    1. trading volumes
    2. vanilla call and put options
  11. Foreign exchange (FX) derivatives market. Seealso Market analysis (FX derivatives)
    1. ATM curve construction and pricing
    2. liquidity
    3. structure of
      1. client types
      2. interbank broker market
      3. interbank direct market
      4. junior trader tips
      5. trading desk structure
      6. trading internship tips
    4. transaction sizes
    5. transaction speed
  12. Foreign exchange (FX) market
    1. aspects of
    2. cross currency pairs
    3. currencies
    4. currency pairs
    5. derivatives market language
    6. exchange rate
    7. forwards (forward outrights)
    8. FX swap contracts
    9. long positions
    10. main product areas
    11. major currency pairs
    12. names of currency pairs
    13. short positions
    14. size of
    15. spot rate (spot)
    16. swap points (forward points)
  13. Forwards (forward outrights)
  14. Forward delta, spot delta vs.
  15. Forward extra strategy
  16. Forward implied volatility (forward vol)
  17. Forward points. Seealso Swap points
  18. Forward roll, theta
  19. Forward start options (cliquets)
  20. Forward volatility, spot volatility vs.
  21. Forward volatility agreements (FVAs)
  22. Front-window barrier options
    1. payoff risk
    2. risk
    3. trading risks
  23. Future cash, interest rate risk and
  24. Future valuing (vanilla FX derivatives)
  25. FVAs, see Forward volatility agreements
  26. FX derivatives, see Foreign exchange derivatives
  27. FX market, see Foreign exchange market
  28. FX swap contracts. Seealso Swaps

G

  1. Gamma
    1. adapted
    2. ATM
    3. European barrier options
    4. European digital options
    5. gamma/strike profile
    6. long:
      1. P&L distributions from
      2. trading
    7. positive
    8. “renting”
    9. short:
      1. P&L distributions from
      2. trading
    10. smile gamma effect
    11. touch options
    12. trading
      1. delta hedging
      2. long gamma
      3. short gamma
    13. in trading short-date position
    14. vanilla FX derivatives
  2. Gamma adaption effect
  3. Gamma risk (target redemption options)
  4. Garman and Kohlhagen formula
  5. Gartman's rules of trading
  6. “Given” bids
  7. Greeks:
    1. and American vanilla options
    2. European barrier options
      1. gamma and in risk
      2. vega risk
    3. European digital options
      1. gamma and pin risk
      2. vega risk
    4. in Excel Black-Scholes option pricer
    5. vanilla FX derivatives
      1. delta
      2. gamma
      3. vega
    6. variance swaps
    7. volatility swaps

H

  1. Hedges:
    1. delta hedged transactions
    2. rho hedge
    3. structured strategies for exotics
    4. switching hedge
    5. vega hedge
  2. Hedge funds
  3. Historic spot volatility, see Realized spot volatility
  4. “Hit” bids
  5. Holding period, bid–offer spread and
  6. Holidays, ATM curve construction and
  7. Horizon date (vanilla call and put options)
  8. Horizontal spreads

I

  1. Implied correlation, trading
  2. Implied skew
  3. Implied volatility:
    1. at-the-money contracts
    2. forward ATM
    3. implied vs. realized market analysis
      1. Exponentially Weighted Moving Average volatility
      2. realized spot volatility calculation
      3. realized spot vs. interest rate calculations
      4. realized spot vs. realized forward volatility
      5. realized volatility convexity
      6. trading implied correlation
      7. trading implied volatility
    4. at longer tenors
    5. midmarket
    6. patterns over a week
    7. quoting
    8. trading
    9. volatility smiles
  4. Implied volatility differential
  5. Instant one-touch options
  6. Instant touch options
  7. Institutional clients
  8. Interbank broker market
    1. agreeing broker market data
    2. broker fly contracts
    3. exotic FX derivatives
    4. main firms
    5. pricing
    6. quoting implied volatility in
    7. relative power of brokers
    8. structure
    9. trader/broker relationship
    10. transaction process in
  9. Interbank direct market
  10. Interest rate(s)
    1. continuous compounded
    2. correlation between spot and
    3. and risk reversals
    4. zero
  11. Interest rate carry
  12. Interest rate correlation, realized spot correlation vs.
  13. Interest rates markets
  14. Interest rate pricing models
  15. Interest rate risk (rho)
    1. future cash and forwards
    2. long ATM straddle
    3. long vanilla call options
    4. long vanilla put options
  16. Interest rate volatility
  17. Internal trading, among trading desks
  18. In-the-money (ITM):
    1. barrier options
    2. vanilla call and put options
  19. Intraday variance patterns, ATM curve construction and
  20. Intrinsic value
    1. defined
    2. European barrier options
    3. front-window barrier options
  21. Inventory management
  22. Inverted market
  23. Investment products, exotic
  24. ITM, see In-the-money

J

  1. Jargon
  2. Jump diffusion pricing models
  3. Junior trader tips

K

  1. KIKO, see Knock-out–knock-in barrier options
  2. Knock-in options:
    1. American barrier options:
      1. regular barrier
      2. reverse barrier
    2. European
    3. European barrier options
  3. Knock-out–knock-in (KIKO) barrier options
    1. American:
      1. double
      2. replication
    2. European
  4. Knock-out options:
    1. American barrier options:
      1. front-window
      2. rear-window
      3. regular barrier
      4. reverse barrier
    2. European

L

  1. Late cash vanilla options
  2. Late delivery
  3. Late-delivery vanilla options
    1. late cash
    2. option on forwards
  4. Late-starting barriers
  5. Leaving orders
  6. Legs
  7. Leptokurtotic distributions
  8. Leverage
  9. Leveraged forward
  10. “Lifted” offers
  11. Limit orders
  12. Linear variance
  13. Liquidity
    1. in FX derivatives market
    2. market
  14. Live trading (vanilla price requests)
  15. Local volatility pricing models
  16. Log contract
  17. Long-dated FX derivatives
  18. Long positions:
    1. defined
    2. interest rate risk:
      1. long ATM straddle
      2. vanilla call options
      3. vanilla put options
  19. Long strike position
  20. Low delta options

M

  1. Major currency pairs
  2. Malz smile model
  3. Malz volatility smile formula
  4. Markets:
    1. choice
    2. interest rates
    3. inverted
  5. Market analysis (FX derivatives)
    1. breakeven calculation
    2. carry trades
    3. implied vs. realized analysis
      1. Exponentially Weighted Moving Average volatility
      2. realized spot volatility calculation
      3. realized spot vs. interest rate correlations
      4. realized spot vs. realized forward volatility
      5. realized volatility convexity
      6. trading implied correlation
      7. trading implied volatility
    4. market instrument analysis
      1. ATM curve
      2. historical
      3. market positioning
      4. value analysis
      5. volatility smile
  6. Market conventions
    1. at-the-money
    2. vanilla price making
  7. Market instruments:
    1. defining volatility smile
    2. vega exposures
  8. Market instrument analysis
    1. ATM curve
    2. historical
    3. market positioning
    4. value analysis
    5. volatility smile
  9. Market liquidity
  10. Market making
  11. Market positioning
  12. Market sentiment
  13. Market tenor:
    1. ATM contracts
    2. generating dates in Excel
    3. vanilla FX derivatives
      1. expiry dates and delivery dates calculation
      2. spot dates calculation
  14. Mark-to-market P&L
  15. Maturity. Seealso Tenor
  16. Merton model
  17. Middle office
  18. Midmarket bid
  19. Midmarket offers
  20. “Mine!”
  21. Mixed volatility pricing models
  22. Monte Carlo option pricer (Excel)
    1. extensions
    2. multi-asset simulation
    3. pricing barrier options
    4. set up multiple payoffs
    5. set up simulation
    6. set up vanilla option payoff and Monte Carlo loop
  23. Moving Average, Exponentially Weighted
  24. Multi-asset options
    1. basket options
    2. best-of and worst-of options
      1. switching hedge
      2. trading risks
    3. bid–offer spread
    4. dual digital options
      1. trading risks
      2. vega risk
    5. quanto options
    6. trading risks

N

  1. Non-Deliverable Forward (NDF) contracts
  2. Non-optimal exercise
  3. Notional
    1. butterfly
    2. in describing vanilla FX options
    3. European digital replication
    4. vanilla call and put options
  4. No-touch (NT) options
  5. Numerical integration option pricer (Excel)
    1. set up option payoff and calculate option price
    2. set up terminal spot distribution
    3. testing

O

  1. Offer(s)
    1. bid–offer spread
    2. in choice markets
    3. defined
    4. in inverted market
    5. language of
    6. leaving orders
    7. midmarket
  2. One-touch (OT) options
    1. bid–offer spread
    2. pricing
    3. variations
      1. CCY1 vs. CCY2 payout
      2. pay-at-maturity vs. pay-at-touch
  3. O/N options, see Overnight options
  4. Optionality of contracts
  5. Option on forward
  6. Option on strategy
  7. Option orders
  8. Option payoff, in Excel numerical integration option pricer
  9. Option premium:
    1. conversions for vanilla FX derivatives
    2. and delta
    3. vanilla calls
    4. and variance
  10. Option price:
    1. generating probability density functions from
    2. in numerical integration option pricer
  11. Option pricers (Excel):
    1. Black-Scholes option pricer
      1. generate first-order Greeks
      2. plot exposures
      3. set up simple option pricer
      4. set up VBA pricing function
    2. Monte Carlo option pricer
      1. extensions
      2. multi-asset simulation
      3. pricing barrier options
      4. set up multiple payoffs
      5. set up simulation
      6. set up vanilla option payoff and Monte Carlo loop
    3. numerical integration option pricer
      1. set up option payoff and calculate option price
      2. set up terminal spot distribution
      3. testing
  12. Option values:
    1. terminal spot distributions in calculating
    2. vanilla FX derivatives
  13. Order book
  14. OTC (over-the-counter) market
  15. OT options, see One-touch options
  16. Out-of-the-money (OTM)
  17. Overnight (O/N) options:
    1. ATM on a Friday
    2. expiry and delivery dates
    3. vanilla trading
  18. Over-the-counter (OTC) market

P

  1. “Paid” offers
  2. Parallel ATM shift
  3. Partially exercised options
  4. Path dependence, in pricing exotic FX derivatives
  5. Path-dependent options, in SDE
  6. Pay-at-maturity one-touch options
  7. Pay-at-touch one-touch options
  8. Payoff risk (front-window barrier options)
  9. Payout direction risk (best-of and worst-of options)
  10. pdfs, see Probability density functions
  11. Pearson's coefficient
  12. Pegged currency pairs
  13. Physical delivery, of vanilla FX derivatives
  14. Pin risk:
    1. European barrier options
    2. European digital options
    3. touch options
    4. vanilla trading
  15. Pips (points)
  16. P&L, see Profit and loss
  17. Positions, quoting
  18. Positive spreads
  19. Premium firm orders
  20. Present valuing (vanilla FX derivatives)
  21. Price makers
  22. Price making:
    1. ATM calendar spreads
    2. butterfly
    3. call/put spreads
    4. risk reversal
    5. seagull
    6. straddles
    7. strangles
    8. success in
    9. vanilla FX derivatives
      1. market conventions
      2. overview
      3. transacting delta hedged or live
  23. Price-making functionality, in Excel trading simulator
  24. Price takers
  25. Price-taking functionality, in Excel trading simulator
  26. Pricing. Seealso Option pricers (Excel)
    1. American regular barrier options
    2. American reverse barrier options
    3. American vanilla options
    4. and ATM curve construction
    5. European barrier options
    6. European digital options
    7. exotic FX derivatives
      1. example of
      2. path dependence
      3. stopping time
      4. volatility smile pricing
      5. VVV (vega/volga/vanna) pricing
    8. one-touch options
    9. same-day options
    10. target redemption options
    11. vanilla FX derivatives
      1. maintaining volatility surfaces
      2. price making
    12. variance swaps
    13. volatility swaps
  27. Pricing models
    1. interest rate
    2. jump diffusion
    3. local volatility
    4. mixed volatility
    5. smile
    6. stochastic interest rate
    7. stochastic volatility
  28. Principal protected deposits
  29. Probability density functions (pdfs)
    1. confidence intervals
    2. in Excel numerical integration option pricer
    3. fat-tailed distributions
    4. generated from option prices in Excel
    5. and volatility smile parameterization limitations
  30. Profit and loss (P&L)
    1. distributions from long or short gamma
    2. quoting
    3. trading
    4. in trading short-date position
    5. vanilla call and put options
  31. Public holidays
  32. Put–call parity

Q

  1. Quants (quantitative analysts)
  2. Quanto options
    1. self-quanto
      1. bid–offer spread
      2. CCY1 call options
      3. CCY1 put options
    2. third currency

R

  1. Rainbow options
  2. Ranges:
    1. DNT options as
    2. European digital
  3. Range accrual options
    1. American keep range
    2. European
  4. Realized skew
  5. Realized (historic) spot volatility:
    1. calculating
    2. in market analysis
      1. Exponentially Weighted Moving Average volatility
      2. realized spot vs. interest rate correlations
      3. realized spot vs. realized forward volatility
      4. realized volatility convexity
      5. trading implied correlation
      6. trading implied volatility
    3. and sample frequency/sample time
  6. Realized volatility convexity
  7. Real money
  8. Rear-window barrier options
  9. Rebates
  10. Recycling risk
  11. Rega
  12. Regional banks
  13. Regular barrier options (American):
    1. knock-in call options
    2. knock-out and knock-in
    3. knock-out call options
    4. pricing
  14. Replication:
    1. American barrier knock-in/knock-outs
    2. European digital options
      1. CCY1
      2. CCY2
    3. European options:
      1. barrier
      2. digital
  15. Replication spreading
  16. Retail clients
  17. Reverse barrier options (American)
    1. knock-in
    2. knock-out
    3. knock-out and knock-in
    4. pricing
  18. Rho, see Interest rate risk
  19. Rho hedge
  20. Risk:
    1. closing out
    2. cross risk reversal
    3. delta risk:
      1. best-of and worst-of options
      2. target redemption options
    4. fixing risk, target redemption options
    5. front-window barrier options
    6. gamma risk, target redemption options
    7. interest rate risk
      1. future cash and forwards
      2. long ATM straddle
      3. long vanilla call options
      4. long vanilla put options
    8. payoff risk, front-window barrier options
    9. payout direction risk, best-of and worst-of options
    10. pin risk:
      1. European barrier options
      2. European digital options
      3. touch options
      4. vanilla trading
    11. recycling risk, exotic FX derivatives
    12. trading risks:
      1. best-of and worst-of options
      2. dual digital options
      3. European vanilla options
      4. front-window barrier options
      5. multi-asset options
    13. vega risk:
      1. best-of and worst-of options
      2. dual digital options
      3. European barrier options
      4. European digital options
      5. target redemption options
      6. touch options
    14. warehousing
    15. writing off risk
  21. Risk management:
    1. with adapted Greeks
    2. exotic FX derivatives
    3. success in
    4. vanilla FX derivatives
      1. FX derivatives market language
      2. trading ATM position
      3. trading gamma
      4. trading P&L
      5. trading short-date position
    5. volatility smile
    6. window barrier options
    7. writing off
  22. Risk reversal (RR)
    1. 25d vs. 10d
    2. cross
    3. drivers of
    4. price making
    5. trading
    6. trading exposures
    7. vega exposures
    8. and volatility smile
  23. Risk reversal multipliers
  24. Risk/reward preference, bid–offer spread and
  25. RR, see Risk reversal
  26. Run (of prices)

S

  1. SABR model
  2. Sales desks, interaction of trading desks and
  3. Same-day options, pricing
  4. SDE, see Black-Scholes stochastic differential equation
  5. Seagull
  6. Second-generation exotics
  7. Sega
  8. Self-quanto options
  9. Self-quanto vanilla options
    1. bid–offer spread
    2. CCY1 call options
    3. CCY1 put options
  10. Selling:
    1. American barriers
    2. in faster markets
    3. methods of
  11. Selling interest
  12. Shadow barriers
  13. Short-date positions:
    1. ATM curve construction
      1. events and holidays
      2. FX derivatives market pricing
      3. implied volatility patterns over a week
      4. intraday variance patterns
      5. New York cut vs. Tokyo cut pricing
      6. overnight ATM on a Friday
      7. pricing same-day options
      8. weekday variance patterns
    2. defined
    3. long ATM vs. short wings
    4. spot ladder
    5. trading
      1. gamma
      2. gamma/strike profile
      3. P&L balance
      4. strikes
      5. theta
    6. vanilla trading
  14. Short positions
  15. “Short ten dollar-cad”
  16. Skew:
    1. in analyzing value
    2. implied
    3. and pdf tilt
    4. pricing the
    5. realized
    6. volatility smile. Seealso Risk reversal
  17. Slang
  18. Smile gamma effect
  19. Smile position
  20. Smile pricing models
    1. jump diffusion
    2. local volatility
    3. mixed volatility
    4. stochastic volatility
  21. Smile volatility roll, theta
  22. Smoothing barriers
  23. Sovereigns
  24. Speed of transactions, in FX derivatives market
  25. Spot (spot rate)
  26. Spot dates
  27. Spot delta, see Delta
  28. Spot dynamic
  29. Spot firm orders
  30. Spot jumps
  31. Spot ladder
  32. Spot market:
    1. limited open hours
    2. speed of transactions
  33. Spot rate (spot)
  34. Spot volatility, forward volatility vs.
  35. Spread(s):
    1. ATM calendar:
      1. price making
      2. trading exposures
      3. vanilla
    2. bet
    3. bid–offer
      1. European barrier options
      2. European digital options
      3. exotic FX derivatives
      4. front-window barrier options
      5. multi-asset options
      6. one-touch options
      7. self-quanto vanilla options
      8. vanilla
    4. call/put:
      1. price making
      2. vanilla
    5. confidence interval spreading
    6. defined
    7. horizontal
    8. positive
    9. replication spreading
    10. vanilla trading:
      1. positive
      2. quoting
    11. vertical
  36. Spread contracts, see Risk reversal (RR)
  37. Spread price:
    1. call/put
    2. risk reversals
  38. Standardized language
  39. Stick strike analysis
  40. Sticky delta
  41. Sticky strike
  42. Stochastic interest rate pricing models
  43. Stochastic local volatility models
  44. Stochastic Volatility Inspired (SVI)
  45. Stochastic volatility pricing models
  46. Stop-loss orders
  47. Stopping time, in pricing exotic FX derivatives
  48. Straddles:
    1. long ATM, interest rate risk
    2. price making
    3. trading exposures
    4. vanilla
    5. zero-delta:
      1. ATM contracts
      2. strike placement
  49. Strangles
    1. price making
    2. trading exposures
  50. Strike(s):
    1. in describing vanilla FX options
    2. gamma/strike profile
    3. stick strike analysis
    4. sticky
    5. in trading short-date position
    6. vanilla call and put options
  51. Strike fly
  52. Strike-in options
  53. Strike-out options
  54. Strike placement:
    1. and risk reversal trading
    2. zero-delta straddles
  55. Strike topography
  56. Structural market sentiment
  57. Structured deposit
  58. Structured FX hedging strategies
  59. Structurers
  60. SVI (Stochastic Volatility Inspired)
  61. Swaps
    1. correlation
    2. defined
    3. variance
      1. Greeks
      2. pricing
    4. volatility
      1. Greeks
      2. pricing
  62. Swap points (forward points)
  63. Switching hedge (best-of and worst-of options)
  64. Synthetic forwards

T

  1. Take-profit orders
  2. Target month
  3. Target redemption forward (TARF)
  4. Target redemption options
    1. delta and gamma risk
    2. fixing risk
    3. pricing
    4. vega risk
  5. Temporary market sentiment
  6. Tenor, on forwards. Seealso Market tenor
  7. Terminal spot distributions:
    1. in calculating option values
    2. in Excel numerical integration option pricer
  8. Terminology
  9. Theoretical Value (TV)
  10. Theta
    1. ATM curve roll
    2. cash balance
    3. defined
    4. forward roll
    5. in trading short-date position
    6. volatility smile roll
  11. Third currency quanto options
  12. Third-generation exotics
  13. Ticking market price, in Excel trading simulator
  14. Time:
    1. economic
    2. stopping
  15. Time decay
  16. Time value
  17. Time zones, expiry and delivery dates and
  18. Touch options
    1. barrier delta gap
    2. delta risk
    3. gamma and pin risk
    4. no-touch options
    5. one-touch options:
      1. bid–offer spread
      2. pricing
    6. one-touch variations
      1. CCY1 vs. CCY2 payout
      2. pay-at-maturity vs. pay-at-touch
    7. vega risk
  19. Tradable rates
  20. Trade queries
  21. Traders
  22. Trading
    1. bids and offers
      1. bid and offer language
      2. bid–offer spread
      3. leaving orders
    2. FX derivatives market
    3. market making
    4. price making
    5. risk management
  23. Trading desk structure
  24. Trading exposures:
    1. ATM calendar spreads
    2. butterfly
    3. risk reversal
    4. straddles
    5. strangles
    6. vanilla FX derivatives
      1. adapted Greeks
      2. delta
      3. gamma and theta
      4. interest rate risk
      5. vega and weighted vega
      6. zeta
  25. Trading internship tips
  26. Trading risks:
    1. best-of and worst-of options
    2. dual digital options
    3. European vanilla options
    4. front-window barrier options
    5. multi-asset options
  27. Trading short-date position
  28. Trading simulator (Excel)
    1. extensions
    2. introduce price-making functionality
    3. set up ticking market price
    4. set up two-way price and price-taking functionality
  29. Trading volumes
  30. Transactions:
    1. quoting
    2. size of
    3. speed of
  31. Transatlantic barrier options
  32. TV (Theoretical Value)
  33. TV adjustment
  34. Two-way price

U

  1. Uncertainty (in SDE)
  2. Updating volatility surfaces

V

  1. Value:
    1. intrinsic
      1. defined
      2. European barrier options
      3. front-window barrier options
    2. terminal spot distributions in calculating
    3. Theoretical
    4. time
    5. vanilla FX derivatives
  2. Value analysis
  3. Vanilla FX derivatives:
    1. call and put options
      1. American
      2. details required to describe
      3. European
      4. interest rate risk on
    2. future valuing
    3. Greeks:
      1. delta
      2. gamma
      3. vega
    4. market tenor calculations
    5. option premium conversions
    6. option value
    7. physical delivery vs. cash settlement of
    8. present valuing
    9. pricing
      1. maintaining volatility surfaces
      2. price making
    10. risk management
      1. FX derivatives market language
      2. trading ATM position
      3. trading gamma
      4. trading P&L
      5. trading short-date position
    11. structures
      1. ATM calendar spreads
      2. butterfly
      3. call/put spreads
      4. leveraged forward
      5. risk reversal
      6. seagull
      7. straddle
      8. strangles
    12. trading
      1. agreeing broker market data
      2. client option orders
      3. Gartman's rules of trading
      4. long-dated FX derivatives
      5. low delta options
      6. overnight options
      7. pegged currency pairs
      8. pin risk
      9. positive spreads
      10. quoting spreads
      11. short-date trading
      12. vega positioning
      13. writing off risk
    13. trading exposures
      1. adapted Greeks
      2. delta
      3. gamma and theta
      4. interest rate risk
      5. vega and weighted vega
      6. zeta
  4. Vanilla FX derivatives variations
    1. American
      1. and Greeks
      2. pricing
    2. late-delivery
      1. late cash
      2. option on forwards
    3. self-quanto
      1. bid–offer spread
      2. CCY1 call options
      3. CCY1 put options
  5. Vanna
    1. defined
    2. VVV (vega/volga/vanna) pricing
  6. Variance:
    1. and ATM construction
    2. defined
    3. linear
    4. and option premium
    5. weekday variance patterns
  7. Variance (var) swaps
    1. Greeks
    2. pricing
  8. Vega
    1. adapted
    2. bucketed vega exposures
    3. defined
    4. dephased
    5. in Excel Black-Scholes option pricer
    6. market instruments
      1. at-the-money
      2. butterfly
      3. risk reversal
    7. vanilla FX derivatives
    8. VVV (vega/volga/vanna) pricing
    9. weighted
  9. Vega hedge
  10. Vega positioning
  11. Vega risk:
    1. best-of and worst-of options
    2. dual digital options
    3. European barrier options
    4. European digital options
    5. target redemption options
    6. touch options
  12. Vega/volga/vanna (VVV) pricing
  13. Vertical spreads
  14. Volatility. Seealso ATM volatility and correlation framework; Implied volatility
    1. and bid–offer spread
    2. Exponentially Weighted Moving Average
    3. and liquidity
    4. realized spot volatility calculation
    5. realized spot vs. realized forward volatility
    6. realized volatility convexity
    7. spot vs. forward
    8. vanilla call options
    9. zero
  15. Volatility cones
  16. Volatility firm orders
  17. Volatility of volatility
  18. Volatility smile:
    1. at-the-money contracts
    2. butterfly contracts
      1. 25d vs. 10d
      2. drivers of
      3. exposures
      4. trading
    3. construction methods
    4. defined
    5. in exotic FX derivatives pricing
    6. in market instrument analysis
    7. market instruments defining
    8. market instrument vega exposures
      1. at-the-money
      2. butterfly
      3. risk reversal
    9. parameterization limitations
    10. risk management
    11. risk reversal contracts
      1. 25d vs. 10d
      2. cross
      3. drivers of
      4. exposures
      5. trading
    12. skew. Seealso Risk reversal
    13. stick strike analysis
    14. vanilla FX derivatives
    15. wings. Seealso Butterfly (fly)
  19. Volatility smile construction (Excel)
    1. investigate strike placement
    2. plot implied volatility vs. delta
    3. plot implied volatility vs. strike with VBA functions
    4. set up Malz smile model
    5. use Black-Scholes to get strike from delta
  20. Volatility surfaces
    1. ATM curve. Seealso ATM curve
    2. in pricing vanilla FX derivatives
      1. ATM curve
      2. bid–offer spreads
      3. updating
      4. volatility smile
    3. volatility smile. Seealso Volatility smile
  21. Volatility (vol) swaps
    1. Greeks
    2. pricing
  22. Volatility triangles, ATM
  23. Volga
    1. defined
    2. VVV (vega/volga/vanna) pricing
  24. VVV (vega/volga/vanna) pricing

W

  1. Warehousing risk
  2. Weekday variance patterns
  3. Weights, added to ATM curve
  4. Weighted ATM shift
  5. Weighted vega
  6. Window barrier options
    1. front-window
      1. payoff risk
      2. risk
      3. trading risks
    2. generic
    3. Monte Carlo option pricer
    4. rear-window
    5. risk management
  7. Wings (volatility smile). Seealso Butterfly (fly)
    1. in analyzing value
    2. and pdfs
    3. pricing
  8. WO options, see Worst-of options
  9. Worst-case purchasing rate
  10. Worst-case selling rate
  11. Worst-of (WO) options
    1. switching hedge
    2. trading risks
  12. Write-off book
  13. Writer
  14. Writing off risk

Y

  1. “Yours!”

Z

  1. Zero-delta straddles:
    1. ATM contracts
    2. strike placement
  2. Zero interest rates
  3. Zero-premium collar
  4. Zero premium transactions
  5. Zero volatility
  6. Zeta
  7. Z-score
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