Could somebody shed some light on the swaption volatility and how receiver \ payer skew works in simple English? Also anyone could suggest a good reading on SABR model from a user’s perspective? Thanks a lot!
Bump, something I’d like to learn abt as well. Also, can anyone reccomend a good options strategy book or piece to read? I am going to start putting some skin back in the game and I want to incorporate writing some options into my portfolio. Thaaaaanks (Big Gal Al, South Park)
ASSet_MANagement Wrote: ------------------------------------------------------- > Bump, something I’d like to learn abt as well. > > Also, can anyone reccomend a good options strategy > book or piece to read? I am going to start putting > some skin back in the game and I want to > incorporate writing some options into my > portfolio. > > Thaaaaanks (Big Gal Al, South Park) Nups, check out (in order of increasing quantitativeness): - Natenburg — Options Volatility & Pricing to get a practical/trading perspective - Hull — Options, Futures, and Other Derivatives textbook is the bible - Wilmott — Mathematics of Financial Derivatives for a rigorous approach
I got a headache from reading the last title.
ASSet_MANagement Wrote: ------------------------------------------------------- > I got a headache from reading the last title. Understandable. Start with Natenberg. (I spelled his name wrong last post.) You should be able to find a copy on your desk somewhere.